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
>>
>> >
>> >>
>> >
>>
>
>> >
>> >
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>>
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AmiBroker please send an e-mail
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>>
>
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check DEVLOG:
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>>
>
>> > For other support material please check
also:
>> > http://www.amibroker.com/support.html
>>
>
>> >
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>> >
>> >
>> >
>>
>
>>
>
>
>
>
------------------------------------
>
> ****
IMPORTANT ****
> This group is for the discussion between users
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> 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
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