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Hi Thomas, that's an interesting.observation as well, thank you for posting
it. Good luck with your trading!
Steve
----- Original Message -----
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 04, 2009 10:44 AM
Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random optimization?
> Steve,
>
> that's an interesting observation. So far I had exclusively used CMAE,
> but now I've applied SPSO to some of my trading systems by performing an
> extensive walk-forward optimization.
>
> My (surely not representative) observations are that the IS results are
> rather similar regardless if I use CMAE and SPSO. However, I found that
> the OOS results with SPSO were always worse than with CMAE. This seems
> to support your findings that CMAE tends to find the broad plateaus - and
> this leads eventually to better OOS performance (through better
> generalization). Since I never trade a system without thorough WF
> testing, that's the crucial aspect for me as IS results alone are more
> or less worthless.
>
> I should add that I used OptimizerSetOption("Runs", 1 ) and
> OptimizerSetOption("MaxEval", 1000 ). Different parameters might lead to
> different conclusions.
>
> Greetings,
>
> Thomas
>
>
> Steve Dugas wrote:
>> 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.
>
>
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