|
Thanks for yr answer Fred. Our problem is that we
are no longer sure that your 'you dont' is correct. An answer that we also got
from Randy Haupt ( Practical Genetic Algo's ) as well as Pardo ( Eval&Opt of
Trading ) and others. They all agree with what you are saying. And this also was
our initial opinion. But we got some very nasty results. Please look again to
the picture I already have sent to Steve ...
On the left the result of NOO with CMAE. Only after
having done the OO we got the desired area in the middle ( Prairies in
stead of peaks ). The problem with NOO for us is that you're missing robust
area's. We hoped to get this by using CMAE. What we got was a poor
result. That at least is our experience of using the NOO's included in
AB as well as your's. So we decided to do it in the old fashioned way ( OO ) and
use a special algorithm that is looking for area's in stead of points ... And
that complete job of course takes at least 5 times the NOO time ... Let's hope
Intel is coming soon with the next generation of MultiCore's ...
Regards, Ton.
----- Original Message -----
Sent: Friday, February 06, 2009 9:57
PM
Subject: Re: [amibroker] SPSO vs Trib vs
CMAE, was: random optimization?
I'd be the first to agree that there is a signficant difference between
5,000 minutes and 500,000 minutes.
As far as needing exhaustive search is concerned ... you don't ... what
you need is a statisitically significant number of randomly generated points
in the +/- % range for the value arrived at in optimization ... This will give
you a very good feel for how robust the parameter values are ...
What it won't do without help is force optimimzation to find areas in the
solution space like this. That requires testing like what is described
above for every "fairly good" solution so that in the next generation it uses
the results "adjusted" by the sensitivity or robustness to decide where to
look next. ----- Original Message ----- From: Ton Sieverding
Date: Friday, February 6, 2009 7:46 am
Subject: Re: [amibroker]
SPSO vs Trib vs CMAE, was: random optimization?
To:
amibroker@xxxxxxxxxps.com
> 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 -----
> From: Fred T onetti
> To:
amibroker@xxxxxxxxxps.com
> 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@yahoogroups.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
>
> To:
amibroker@xxxxxxxxxps.com
>
> 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 -----
>
> From: Ton Sieverding
>
> To:
amibroker@xxxxxxxxxps.com
>
> Sent: Thursday, February 05,
2009 6:01 AM
>
> Subject: Re: [amibroker] SP SO 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
>
> To:
amibroker@xxxxxxxxxps.com
>
> 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 -----
>
> From: Ton Sieverding
>
> To: amibroker@xxxxxxxxxps.com
>
> 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
>
> To: amibroker@xxxxxxxxxps.com
>
> 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 -----
>
> From: Ton Sieverding
>
> To:
amibroker@xxxxxxxxxps.com
>
> Sent: Tuesday, February 03,
2009 3:40 PM
>
> Subject: Re: [amibroker] SPSO vs Trib vs CMAE,
& gt; 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
>
> To: amibroker@xxxxxxxxxps.com
>
>
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 2 5,
> 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:
> 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" 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@..."
> >> To:
>
>> 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"
> 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@" 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 :)
> >> >>
>
&g t; >> >> > 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:
> >> > [BLINK:
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
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> >
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> > *********************
>
>
> > For NEW RELEASE ANNOUNCEMENTS and other news
> always
check DEVLOG:
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>
>
> > For other support material please check also:
> >
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> >
> >
*********************************
> > Yahoo! Groups
Links
> >
> >
> >
> >
>
>
>
>
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