Thanks for the explanation. You must be intimately
familiar with the
sensitivity characteristics of your trading system using this
approach. Maybe some future version of AmiBroker will provide greater
visibility and control of the sensitivity testing during optimization.
-Steve
--- In amibroker@xxxxxxxxxps.com,
"Steve Dugas" <sjdugas@xxx> wrote:
>
> 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@xxx>
> 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@> 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@>
> >> 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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> >
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