Hello,
Please send me the optimize() statements block (no need
for entire system, just the optimize() block)
that you are using so I can check why you get this largely
overestimated times.
Best regards, Tomasz
Janeczko amibroker.com
----- Original Message -----
Sent: Wednesday, February 04, 2009 7:31
PM
Subject: Re: [amibroker] SPSO vs Trib vs
CMAE, was: random optimization?
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 -----
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 -----
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 -----
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 -----
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@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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TECHNICAL SUPPORT from AmiBroker please send an e-mail directly
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*********************
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