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Steve,
You're a lucky man. My last CMAE optimization took 19 days to iterate
37,000 times on a 3.11 Ghz octo core CPU with 4Gb of memory (32 bit
Win XP). Though, only 1 core really ever gets stressed at a time.
I suspect that a lot depends on
- The nature of your result space
- Your code
- The number of symbols being used
- The time span covered
- Usage of QuickAFL
In my case, the fitness function was UPI multiplied by a number of
penalty weights for such things as number of trades, trade duration,
etc. The optimization was over 2 years of all NYSE, AMEX, NASDAQ,
included calls to Foreign, AddToComposite and employed custom
backtesting for determining position size and calculation of the
fitness function. I did not use QuickAFL.
I've been too busy to look into it yet. But, I'm assuming that
something like MCO would not apply to my scenario since I use
composites. If anyone knows differently, please feel free to speak up.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi Ton - It is the norm for me, when I start an optimization, for AB
to tell me that it will take several months or more to run, I think I
remember a few where it said 50 or 100 *years*, something like that.
But with the IO engines you can go ahead and run it anyway, for me
they always finish probably within an hour, sometimes much quicker.
The times can vary a bit, I think maybe it depends on where in the opt
space they start, what paths they take from there and what it leads
them to... Sometimes they will finish and report results in 5 or 10
minutes, other times can be an hour or maybe a little more, most will
be somewhere in the middle. At least that is how it always works for
me. I definitely agree with you, I am not looking for peaks like the
one you posted either but sometimes there are smaller and more
profitable plateaus that are tradable for months and I like to at
least find them and know they are there...
>
> Steve
> ----- Original Message -----
> From: Ton Sieverding
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, February 04, 2009 11:27 AM
> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random
optimization?
>
>
> Your are talking about ".... up into the trillions and more.". How
are you handling the time problem ? These should be optimizations of
several months ... Even with CMAE etc. it will be still a question of
weeks ( about 1/4 of the time ). Let's say I want to optimize 100
different systems on 10 different Symbols or 1.000 combinations times
your trillions. It's a life time. I just do not have a solution for
this. Do you ?
>
> And again optimization on points is not what I would like to do.
Because of the underneath picture ... I would like to optimize on
areas in stead of points. I hoped to get this with CMAE. The result
was negative ...
>
> Regards, Ton.
>
> ----- Original Message -----
> From: Steve Dugas
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, February 04, 2009 12:21 AM
> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random
optimization?
>
>
>
> Hi Ton - The 2 MA crossover system was just a simple example for
illustration purposes. In real life I would do an exhaustive opt on
that one since it would only have maybe 100 x 100 = 10,000
combinations, and perhaps the small optimization space is why CMAE was
able to find the peak. The systems I test with the IO engines
generally have at least millions of possible combos and some up into
the trillions and more. FWIW, I have done lots of these tests and I
will have to stand by my earlier remarks because that is my honest
experience, but perhaps others may see different results...
>
> Steve
> ----- Original Message -----
> From: Ton Sieverding
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, February 03, 2009 3:40 PM
> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random
optimization?
>
>
> Interesting ...
>
> ..... 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 ....
>
> Is that true ? Does CMAE really take the 'safe' approach ?
Look to following
> picture and see what CMAE gave me as an optimum ...
>
>
>
> I got the left peak and hoped to get the plateau in the middle
...
>
> Regards, Ton.
>
>
>
>
> ----- Original Message -----
> From: Steve Dugas
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, February 03, 2009 7:54 PM
> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random
optimization?
>
>
> 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@xxxxxxxxxxxxxxx>
> 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@xxxxxxxxxxxxxxx, "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@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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> >> > TO GET TECHNICAL SUPPORT from AmiBroker please send an
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> >> >
> >> >
> >>
> >
> >
> >
> > ------------------------------------
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> > **** IMPORTANT ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
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> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-
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> > *********************
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> > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
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>
------------------------------------
**** 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
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