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Sure, Steve. That's what I am doing also. Please
check my underneath email and
you will get the following sentence :
"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 ?" It's precisely this problem that
kills me. I have no solution for that ... Especially not if you want to optimize
say every quarter ...
And even that does not solve my 'area in stead of
point' optimization problem. First I do not want to check the landscape visually
and second that's only possible with 3D pictures. Above all, CMAE etc. does not
give me the complete landscape. So even if I would like to check it, it's
impossible. And the fact that I should check what CMAE is giving me shows
the underneath picture. It's not true that CMAE is looking for area's. Perhaps
it tries to do that but for me not really in a successful way. Therefore I
really have a hard time with optimization ... In theory it works fine.
Until you enter the 'Real World' ...
Regards, Ton.
----- Original Message -----
Sent: Thursday, February 05, 2009 5:24
PM
Subject: Re: [amibroker] SPSO vs Trib vs
CMAE, was: random optimization?
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
>> >>
>
>> >>
>> >
>>
>
>> >
>> >
------------------------------------
>>
>
>> > **** 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
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> 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
>>
>
>> >
*********************************
>> >
Yahoo! Groups Links
>> >
>> >
>>
>
>> >
>>
>
>
>
>
------------------------------------
>
>
**** 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
>
>
*********************************
> Yahoo!
Groups Links
>
>
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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:
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