Re: [amibroker] SPSO vs Trib vs CMAE, was: random optimization?, AmiBroker Email List Archive

Hi there,

For the first Steve.. I have a question: can u tell me what type of CPU u have.. u told about a quad CPU.. and can u do an optimization.. on my strategy.. using any kind of engine u like.. and tell me the time.. I want to compare with my dual core CPU with 6MB cache.. with yours.. on same strategy.. and engine.. and data range.. and interval..

Thx

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Steve Davis
Sent: Tuesday, February 03, 2009 12:02 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] SPSO vs Trib vs CMAE, was: random optimization?

Steve,

I would like to hear more about your system optimization process. How
were you able to determine the size of the plateaus discovered by the
built-in optimizers, and how did you decide which solutions had the
best trade-off between plateau size and profitability?

Thanks,
another Steve

--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi - I have spent lots of time playing with the built-in intelligent
> optimizers, in my experience SPSO will return the same results every
time if
> the settings are the same. Trib and CMAE will probably return different
> results each time. FWIW, I find CMAE to be the worst of the three and I
> don't use it anymore, it will find plateaus but nearly always misses
the
> much more profitable but smaller plateaus. Using a quad-core I can
run 4
> simultaneous instances and I find that by running 1 SPSO and 3
Trib's and
> then comparing the 4 results together, it will generally point me to
some
> pretty good param values. Good luck!
>
> Steve
>
> ----- Original Message -----
> From: "gabriel_id@xxx" <finance@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, February 02, 2009 7:25 AM
> Subject: [amibroker] Re: random optimization?
>
>
> > OK..
> >
> > Can u give me what type of engine and with what kind of settings will
> > get the same results when i optimize this lines:
> >
> > N = Optimize("N-minutes", 33, 1, 60, 1);
> > TimeFrameSet( N * in1Minute );
> > MA1 = MA( Close, 10);
> > MA2 = MA( Close, 20);
> > BuySignal = Cross( MA1, MA2);
> > sellSignal = Cross( MA2, MA1);
> > TimeFrameRestore();
> >
> > Buy = TimeFrameExpand(BuySignal , N*in1Minute);
> > Sell = TimeFrameExpand(sellSignal , N*in1Minute);
> >
> > I tried cmae, 5 , 1000, have variable results.. on walkforward
> > i tried spso, 5, 1000, same variables results..
> > and also trib, 5, 1000..
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >>
> >> Tribes is a non exhaustive optimizer, meaning that it does not
> >> evaluate every possible combination.
> >>
> >> As such, it is possible that it will find different "optimal"
> >> solutions every time, depending on the nature of the surface being
> >> optimized. For example; If the surface has many similar peaks, it may
> >> land on a different one each time (local optima) instead of the one
> >> true optimal solution (global optima).
> >>
> >> Try increasing the number of Runs and/or MaxEval. If you have more
> >> than 2 or 3 optimization variables, 1000 MaxEval is not enough.
> >>
> >> http://amibroker.com/guide/h_optimization.html
> >>
> >> Mike
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "gabriel_id@" <finance@> wrote:
> >> >
> >> > hi there,
> >> >
> >> > i am a bit confused, i run the same optimization process.. on same
> >> > data range.. and i got different results each time :)
> >> >
> >> > and the engine was trib, 5, 1000...
> >> >
> >> > thx,
> >> > GV
> >> >
> >>
> >
> >
> >
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