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In my particular case below, the values of the objective function are completely different as well. The one related to 18% CAR is good and the one related to 4% is bad, which does not correspond to your last sentence.
What conclusion do you make on this?
My conclusion is that CMAE did not find the maximum the second time.
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> 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@xxx> 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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