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Re: [amibroker] SPSO vs Trib vs CMAE, was: random optimization?



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Hi Fred. Please read Steve's text. He is talking about 'trillions' of pairs. I did not say that. I agree with you that 'most' IO's have a time in the range of several minutes. Your average of 5 minutes is fine for me. As long as I am using single combinations and doing the job with IO, I have no problem. My problem is when I want to optimize many AFLs with many Symbols. I gave 100/10 just as an example. Take that for 10 users with different OF's. Don't forget that IO does not give me the complete landscape. Perhaps I should have given the environment we are really using : 100 AFLs with 1000 ETFs. The only way to handle this in an acceptable time is splitting the task over 6 PC's. And even that takes several days and nights ...
 
Yes that's what we are doing. Trying to get an algorithm that optimizes on areas in stead of points. Searching for prairies in stead of peaks. See the picture I sent to Steve. But for our optimization job we need the complete landscape. So forget IO. It only gives me a small part of the total picture. We need Exhaustive Search. And thanks for the URL. That was the first thing I did. Make a study of Fred Tonetti's IO system ... Perhaps I should do that again -)
 
Kind regards, Ton.
 
 
----- Original Message -----
Sent: Thursday, February 05, 2009 11:19 PM
Subject: RE: [amibroker] SPSO vs Trib vs CMAE, was: random optimization?

See imbedded


From: amibroker@xxxxxxxxxps.com [mailto:amibroker@xxxxxxxxxps.com] On Behalf Of Ton Sieverding
Sent: Thursday, February 05, 2009 11:59 AM
To:
amibroker@xxxxxxxxxps.com
Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random optimization?

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 ...

Most intelligent optimization runs take a few minutes for a single system on a single tradable.  The number of combinations of optimizable variable values is typically irrelevant to run times for an intelligent optimization engine.  As such optimizing 100 different systems on 10 different symbols at 5 minutes each would be 5000 minutes or less than 100 hours ? How do you arrive at ?life time? run times ?

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' ...

The area you refer to can be checked mathematically by randomly selecting data points for each optimizable variable in some user selected +/- % range of the selected value.  For a thorough discussion of this see http://www.amibroker.org/userkb/2007/08/13/4-io-robustness-a-sensitive-subject/ and the related full documentation.

Regards, Ton.

----- Original Message -----

From: Steve Dugas

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 -----

From: Steve Dugas

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 -----

From: Steve Dugas

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 -----

From: Steve Dugas

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 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
>> >
>> >
>> >
>> >
>>
>
>
>
> ------------------------------------
>
> **** 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:
http://www.amibroker.com/support.html

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