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Ted
You can try this
MA1Length = optimize("MA1Length", 50, 50, 200, 1);
MA2Length = MA1Length + Optimize("MA2Variable", 1, 0, 100, 1);
...
--- In amibroker@xxxxxxxxxxxxxxx, Ted Byers <r.ted.byers@xxx> wrote:
>
> Hi Howard,
>
> Thanks for this. I should probably have said I come from a
> mathematical/scientific background, looking at risk in both environmental
> and ecommerce systems. I have had to wrestle with situations where the
> simplest mathematical descriptions had several dozen state variables and
> substantially more parameters that had to be optimized. And in the course
> of this work, I had to extend the analysis to examine the structural
> stability of the resulting system (i.e. does the expected behaviour change
> significantly even if only minor changes in the parameter values occur).
> Needless to say, I had use exhaustive optimization routines only for
> teaching purposes; never in real world situations. And I have substantial
> experience making my numeric C++ code fast. ;-)
>
> I have also routinely faced the 'curse of dimensionality', but that is not
> much of a problem WRT curve fitting as long as there is more than enough
> data to leave a large number of degrees of freedom. I know constrained
> optimization is far from trivial for real world systems. My question is
> related specifically to the extent that AmiBroker's optimization code
> supports more realistic constrained optimization. I am concerned, here,
> about whether or not AmiBroker will save me on the amount of time I will
> spend coding. In C++, I can write my fitness functions and constraint
> functions for the system parameters so that the cost of a call for excluded
> combinations of parameters amounts to no more than the cost of a function
> call. But the cost of writing that is the cost of a significant amount of
> my time. My junior colleagues haven't a hope of being able to write such
> code in a reasonable amount of time.
>
> Cheers
>
> Ted
>
> On Wed, Jan 6, 2010 at 4:54 PM, Howard B <howardbandy@xxx> wrote:
>
> >
> >
> > Hi Ted --
> >
> > Yes, you can design a trading system in AmiBroker that recognizes what type
> > of a market it seems to be in, then issue trading signals based on the
> > market type and the system specific to it.
> >
> > Keep in mind the "curse of dimensionality" that will show up when you try
> > to put everything into a single afl. If you have two systems, each with
> > four optimizable parameter values, and a ninth parameter to decide which set
> > of four to use, you will be optimizing and walking forward all nine, even
> > though only five will be in use at any given time. If each parameter has
> > "only" 10 possible values, the 9 parameter runs will evaluate 9^10
> > alternatives (using exhaustive searching), while the 5 parameter runs will
> > evaluate 5^10.
> >
> > Since there is no overlap between the two market types, there are a lot of
> > evaluations that will make no difference. That is, the value of the
> > objective function will be computed for each, but will be the same for
> > many. You might be better off writing two separate programs. One afl
> > program recognizes Market Type A, and selects the best logic and parameters
> > for that type; the other recognizes Market Type B, and selects the best
> > logic and parameters for that type. In terms of optimization runs, doing
> > everything at once costs 9^10 runs, while doing the two separately costs
> > 2*5^10 -- a factor of 5000. If doing the development for one of the
> > four-plus-one parameter systems takes one hour of computer time, doing the
> > two separately takes two hours, and doing both in a single nine parameter
> > afl takes 10000 hours -- over a year. Non-exhaustive optimization will help
> > a lot, but not completely remove the curse. (I know -- times are not
> > strictly proportional.)
> >
> > Thanks,
> > Howard
> >
> >
> >
> >
>
>
>
> --
> R.E.(Ted) Byers, Ph.D.,Ed.D.
> TED@xxx
> CTO
> Merchant Services Corp.
> 350 Harry Walker Parkway North, Suite 8
> Newmarket, Ontario
> L3Y 8L3
>
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