Hi Steve - Once you have done an IO and found some results that look
promising, then you can run a mini exhaustive opt if you want. For a
simple
example, you run an IO on a MA crossover system, testing both MA's
with
periods from 1 to 100. You won't see all possible combos reported but
maybe
the results show that MA1=10 and MA2=20 might be good. So to see all
the
other values in that neighborhood you could then run a little
exhaustive
opt, say MA1 = 5 thru 15 and MA2 = 15 thru 25, something like
that, which
will run in a reasonable time.
To test the built-in IO
engines, I ran a few exhausive opts and saved the
results, then ran lots
of IO tests and compared them to the exhaustive
results to see what the
IO's found and also what they missed. You could say
that CMAE seems to
take the "safe" approach, IMHO it finds the broad
plateaus pretty well but
as you might guess they are usually far from the
most profitable. In my
experience, the other two IO engines will generally
find those too but
they also find a lot of the smaller and more profitable
ones, which you
can then run a mini exhaustive opt on to get a more complete
picture.
Regarding the trade-off you mentioned, I would think it is
a matter of
personal taste. How greedy are you? 8 - ) How risk-averse? I
am
inclined to try the smaller and higher plateaus first, as long as they
have
a little play on each side and are doing well right now, and knowing
that
they will fail eventually and I need to keep a close eye on them...
Good
luck!
Steve
----- Original Message -----
From:
"Steve Davis" <_sdavis@xxxxxxcom>
To: <amibroker@xxxxxxxxxps.com>
Sent:
Monday, February 02, 2009 5:01 PM
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@xxxxxxxxxps.com,
"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@..."
<finance@xxx>
>> To: <amibroker@xxxxxxxxxps.com>
>>
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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com,
"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
>> >> >
>>
>>
>> >
>> >
>> >
>> >
------------------------------------
>>
>
>> > **** IMPORTANT ****
>> > This group is for
the discussion between users only.
>> > This is *NOT* technical
support channel.
>> >
>> >
*********************
>> > TO GET TECHNICAL SUPPORT from
AmiBroker please send an e-mail
> directly to
>> > SUPPORT
{at} amibroker.com
>> > *********************
>>
>
>> > For NEW RELEASE ANNOUNCEMENTS and other news always
check DEVLOG:
>> > http://www.amibroker.com/devlog/
>>
>
>> > For other support material please check
also:
>> > http://www.amibroker.com/support.html
>>
>
>> >
*********************************
>> > Yahoo!
Groups Links
>> >
>> >
>> >
>>
>
>>
>
>
>
>
------------------------------------
>
> ****
IMPORTANT ****
> This group is for the discussion between users
only.
> This is *NOT* technical support channel.
>
>
*********************
> TO GET TECHNICAL SUPPORT from AmiBroker
please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
*********************
>
> For NEW RELEASE ANNOUNCEMENTS and
other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
>
For other support material please check also:
> http://www.amibroker.com/support.html
>
>
*********************************
> Yahoo! Groups
Links
>
>
>
>
