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@yahoogroups.com, Howard B <howardba...@...> 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 <bistoma...@...> wrote: > > > > > > > I suppose: Standard Particle Swarm Optimization > > > > Bisto > > > > > > --- In amibroker@yahoogroups.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 > > > > > > > > > > > > > > > > > > > > > >
