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Oh, you know what it might be then? I usually always run mine on a single
ticker because I like to see all results for each ticker rather than basket
results. Sorry, I have been doing it that way for so long I didn't even
think about running it on all stocks...
Steve
----- Original Message -----
From: "Mike" <sfclimbers@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, February 04, 2009 3:39 PM
Subject: [amibroker] Re: SPSO vs Trib vs CMAE, was: random optimization?
> 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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>> >> >
>> >> >
>> >>
>> >
>> >
>> >
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>> > This is *NOT* technical support channel.
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>> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-
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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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>
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------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
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SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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