Hi Ton,
I am talking about the ones built-in to AB -
SPSO, TRIB abd CMAE. But, did you see Mike's reply about running them
on all stocks? After seeing that, it hit me that I usually run
my opt's on 1 ticker at a time in order to see detailed results for that
ticker, Mike pointed out that it can take days or weeks if you run it on a
large number of tickers. I don't know how many tickers you run your opts on
but anyway I am sorry if my answer was misleading...
Steve
----- Original Message -----
Sent: Thursday, February 05, 2009 6:01
AM
Subject: Re: [amibroker] SPSO vs Trib vs
CMAE, was: random optimization?
Thanks for yr answer Steve. Your are talking
about "IO Engines". Can you tell me which engines you are using ? AB's, Fred's
IO or ...
Regards, Ton.
----- 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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For NEW RELEASE ANNOUNCEMENTS and other news always check
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TECHNICAL SUPPORT from AmiBroker please send an e-mail directly
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********************* > > For NEW RELEASE
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*********************
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