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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
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.
-----
Original Message -----
Sent: Thursday,
February 05, 2009 5:24 PM
Subject: Re:
[amibroker] SPSO vs Trib vs CMAE, was: random
optimization?
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...
-----
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 ...
-----
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...
-----
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 ...
----- 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...
----- Original Message -----
Sent:
Tuesday, February 03, 2009 3:40
PM
Subject: Re:
[amibroker] SPSO vs Trib vs CMAE, was: random
optimization?
..... 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 ...
----- 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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>> >
This is *NOT* technical support channel.
>>
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>>
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NEW RELEASE ANNOUNCEMENTS and other news always check
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>> >
>> > For other support
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>> > http://www.amibroker.com/support.html
>> >
>> >
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>>
> Yahoo! Groups Links
>> >
>>
>
>> >
>>
>
>>
>
>
>
>
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