Thanks.. a simple tutorial is at http://www.solver.com/tutorial.htm
----- Original Message ----- From: "Tomasz Janeczko" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Friday, June 27, 2008 2:33 PM Subject: Re: [amibroker] The EASIEST way to use new optimizer engines > Hello, > > Yes these are different solvers. > In principle only exhaustive search is guaranteed to find global optimum > value. > > Non-exhaustive (or "intelligent") methods will find global or local > optimum. > The goal is of course to find global one, but if there is a single sharp > peak > out of zillions parameter combinations, non-exhaustive methods may fail > to find this single peak, but taking it form trader's perspecive, finding > single sharp peak > is useless for trading because that result would be instable (too fragile) > and > not replicable in real trading. In optimization process we are rather > looking > for plateau regions with stable parameters and this is the area where > intelligent methods shine. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "cstrader" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Friday, June 27, 2008 8:25 PM > Subject: Re: [amibroker] The EASIEST way to use new optimizer engines > > >> Thanks, that helps... basically these are all different variations of >> "solvers," right? And they don't care what they are modelling -- they >> just >> do the math looking for the single best solution? So it's just speed >> that >> matters? Or do different solvers get different solutions? >> >> And I echo all of the recent praises... take care of yourself Tomasz! >> >> Chuck >> >> ----- Original Message ----- >> From: "Tomasz Janeczko" <[EMAIL PROTECTED]> >> To: <[email protected]> >> Sent: Friday, June 27, 2008 2:05 PM >> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines >> >> >>> Hello, >>> >>> These are general-purpose optimization algorithms of non-linear >>> functions. >>> Any trading system is a function of certain number of arguments. The >>> inputs >>> are parameters and quotation data , the output is your optimization >>> target >>> (say CAR/MDD). And you are looking for maximum of given function. >>> >>> I provided links to scientific articles describing the math that is >>> underlying these algorithms >>> - see the README file >>> http://www.amibroker.com/devlog/wp-content/uploads/2008/06/readme5130.html >>> >>> Some are based on nature (animal behavior) - PSO algorithm, >>> or biological process - Genetic algorithms, >>> and some are based on mathematical concepts derived by humans - CMA-ES. >>> >>> These algorithms are used in many different areas, including finance. >>> >>> Enter "PSO finance" or "CMA-ES finance" in Google and you will find lots >>> of info. >>> >>> Best regards, >>> Tomasz Janeczko >>> amibroker.com >>> ----- Original Message ----- >>> From: "cstrader" <[EMAIL PROTECTED]> >>> To: <[email protected]> >>> Sent: Friday, June 27, 2008 7:39 PM >>> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines >>> >>> >>>> Yes, and more generally, what are these systems? They seem to mimic >>>> evolutionary processes... how are they applied to optimization? And >>>> how >>>> do >>>> we know that they work well for our particular needs -- are financial >>>> markets and Darwinian evolution really the same processes? Any >>>> sources, >>>> references appreciated. >>>> >>>> Thanks >>>> >>>> >>>> >>>> ----- Original Message ----- >>>> From: "Thomas Ludwig" <[EMAIL PROTECTED]> >>>> To: <[email protected]> >>>> Sent: Friday, June 27, 2008 12:43 PM >>>> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines >>>> >>>> >>>>> TJ, >>>>> >>>>> the new engines work very well. But just one question: >>>>> >>>>>> (the best one which is CMA-ES). >>>>> >>>>> Are there still cases where the other engines are preferable? I mean >>>>> there must be a reason why you included them ;-) >>>>> >>>>> Best regards, >>>>> >>>>> Thomas >>>>> >>>>> ------------------------------------ >>>>> >>>>> Please note that this group is for discussion between users only. >>>>> >>>>> To get support from AmiBroker please send an e-mail directly to >>>>> SUPPORT {at} amibroker.com >>>>> >>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >>>>> http://www.amibroker.com/devlog/ >>>>> >>>>> For other support material please check also: >>>>> http://www.amibroker.com/support.html >>>>> Yahoo! Groups Links >>>>> >>>>> >>>>> >>>> >>>> >>>> ------------------------------------ >>>> >>>> Please note that this group is for discussion between users only. >>>> >>>> To get support from AmiBroker please send an e-mail directly to >>>> SUPPORT {at} amibroker.com >>>> >>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >>>> http://www.amibroker.com/devlog/ >>>> >>>> For other support material please check also: >>>> http://www.amibroker.com/support.html >>>> Yahoo! Groups Links >>>> >>>> >>>> >>> >>> ------------------------------------ >>> >>> Please note that this group is for discussion between users only. >>> >>> To get support from AmiBroker please send an e-mail directly to >>> SUPPORT {at} amibroker.com >>> >>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >>> http://www.amibroker.com/devlog/ >>> >>> For other support material please check also: >>> http://www.amibroker.com/support.html >>> Yahoo! Groups Links >>> >>> >>> >> >> >> ------------------------------------ >> >> Please note that this group is for discussion between users only. >> >> To get support from AmiBroker please send an e-mail directly to >> SUPPORT {at} amibroker.com >> >> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> http://www.amibroker.com/devlog/ >> >> For other support material please check also: >> http://www.amibroker.com/support.html >> Yahoo! Groups Links >> >> >> > > ------------------------------------ > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > Yahoo! Groups Links > > > ------------------------------------ Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
