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Hi Z --
Ton is making the correct suggestion.
CMAE uses method that are non-exhaustive -- that is, they do not test every possible combination of the variables being optimized. As a result, CMAE may find different local maxima rather than the global maximum. An exhaustive optimization will find the global maximum within the space being searched. If there are two or more maxima with the same objective function value (which is very unlikely), then the parameters could be different, but the objective function values will be the same.
Thanks,
Howard
On Sun, Oct 11, 2009 at 1:22 PM, zozuzoza <zozuka@xxxxxxxxx> wrote:
I found an interesting behavior of WF testing in Amibroker. Using the same AFL code, same parameters, same environment, same fitness function, everything is the same, but the results are completely different when I run it second time. I say completely, i.e. good WF results turned weak when I run it the 2nd time the WF test. I did not expect to have the same results due to the nature of non exhaustive optimiser but the results I got eliminated my faith in Amibroker WF usefulness. I used cmae optimiser.
Running 2 times the WF test turned the average CAR of 18% to 4% the second time I run. There were about 50 trades in the IS period.
Try it yourself!
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