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Hi Keith,
this is exactly the direction I was searching for. As I understood ranking of the result is not possible, but I could create a new ratio (as you explained) and use this factor for my tests.
Many thanks and kind regards,
dubi
--- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@xxx> wrote:
>
> Dubi --
> You can make up your own metric. See addcustommetric() and custom back
> test, CBT, in the users guide and on amibroker.com.
> http://www.amibroker.com/docs/ab401.html
>
> For example, say you want maximum UPI, but you also feel that you would
> prefer number of trades to be near 5.
> OptTrades = 5;
> MultFactor = 2 * OptTrades;
> Ntrades = (available via GetValue(string MetricName)
> MyMetric = UPI * (MultFactor * Ntrades - Ntrades^2); // just one way of
> many
>
> -- Keith
>
> dubi1974 wrote:
> >
> >
> > Hi Howard and all,
> >
> > yes SPSO is the inbuild particle optimizer.... When I optimize for
> > Ulcer Index I do not take everytime the best choice, as I do not do it
> > when I optimize for %Net Perf or CAR/MDD. Eaxmple: If I have let's say
> > 3 parameters 100x100x100 I would get 1mn options. If I optimize for
> > %Net Perf with SPSO the list would be about 5000-7000 results. But as
> > I do not want to choose the best %Net Perf but the highest %Net Perf
> > with a high UPI, a high CAR/MDD, high RRR, low StDev I would decide to
> > use the parameters for maybe the 2nd or 3rd etc. rated result. But
> > this is not possible if I directly use the inbuild WalkForward Test of
> > Amibroker, as the system uses always the first choice and not the best
> > choice.
> >
> > If I would optimize directly for RRR, I got sometimes as first choice
> > just 1-2 trades as the StDev was the lowest there, but I would never
> > use this parameters. That is why I was searching for an alternative.
> >
> > Many thanks and kind regards,
> >
> > dubi
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> > Howard B <howardbandy@> wrote:
> > >
> > > Hi Bisto --
> > >
> > > Thanks. From the original posting, I was thinking that SPSO was a
> > metric.
> > >
> > > Dubi --
> > >
> > > The choice of optimization method (exhaustive, cmae, ...) and metric
> > (Ulcer
> > > Index, CAR/MDD, k-ratio, ...) are independent. The optimization
> > portion of
> > > the walk forward will be carried out using the optimization method you
> > > request in you afl code with the OptimizerSetEngine statement. The
> > > selection of which of the alternatives tested to use for the
> > out-of-sample
> > > run will be determined by the metric you set in the Optimization
> > Target box
> > > on the Walk Forward tab of the AA Settings.
> > >
> > > Or did I misinterpret your question?
> > >
> > > Thanks,
> > > Howard
> > >
> > >
> > > On Fri, Nov 13, 2009 at 3:39 AM, Bisto <bistoman73@> wrote:
> > >
> > > >
> > > >
> > > > I suppose: Standard Particle Swarm Optimization
> > > >
> > > > Bisto
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx
> > <mailto:amibroker%40yahoogroups.com> <amibroker%40yahoogroups.com>,
> > Howard B
> > > > <howardbandy@> wrote:
> > > > >
> > > > > Hi Dubi --
> > > > >
> > > > > What is SPSO?
> > > > >
> > > > > Thanks,
> > > > > Howard
> > > > >
> > > > > On Wed, Nov 11, 2009 at 9:07 AM, dubi1974 <gonzales74@> wrote:
> > > > >
> > > > > >
> > > > > >
> > > > > > Hi!
> > > > > >
> > > > > > Is it possible to optimize a system (for e.g. best net
> > performance %)
> > > > with
> > > > > > SPSO but then use the highest Ulcer Performance Index or
> > CAR/MDD and
> > > > use
> > > > > > then this parameters for the out of sample test for the next
> > period in
> > > > the
> > > > > > Walk Forward Test of Amibroker? I know I could do this in separate
> > > > steps,
> > > > > > but I would like to automize that. Or does someone know an other
> > > > solution
> > > > > > for this?
> > > > > >
> > > > > > Many thanks and kind regards,
> > > > > >
> > > > > > dubi
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
>
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