Your answer was anticipated in my answer. No, I am not unhappy about evolutionary optimization becoming a feature in AB, or the future possibilities implied by your 'demonstrations', of the opt plugin possibitities, to developers.
I didn't speak a word against the beta release. I wonder what % of time the 7000 AB users spend optimizing as compared to other tasks? brian_z --- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > FYI: using new optimizer engine (cmae) to optimize seemingly > simple 3 parameter (ranging 1..100) system gives speed up > of more than 1000 times, as cmae optimizer is able to find best > value in less than 1000 backtests compared to one million backtests > using exhaustive search. It also outperforms PSO usually by factor of 10. > > That is 500 times faster than you would get from exhaustive opt using your dual core > and 5 times faster than PSO on dual core. > > CMA-ES delivers MORE in terms of speed with LESS development time. > > Of course there is always 1% of people who are always unhappy no matter what > (unfortunatelly they are also the loudest). > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "brian_z111" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Saturday, June 28, 2008 1:05 AM > Subject: [amibroker] Re: The EASIEST way to use new optimizer engines > > > > Sorry to spoil the party but high achievers don't take much time out > > for celebrations. > > > >>In any case this still doesn't address the other issues > > > > Yes, it is a very long list, perhaps one that is becoming > > unmanageable. > > > > >not to > >>mention the inability to put the prowess of todays multicore > >>processors to work ... > > > > Once again, a fact of 'computer life' - the pace of IT progress is > > relentless - there is no mercy for developers in that regard. > > > > So, whether the 'gains' of multicore processing are real, or not > > (compared to other, less spectacular, but perhaps more measurable > > gains on the clock) the perception is that single core processing > > is 'old hat' and that AB has been left behind (three years already?) > > > > (As the dog would say on American Idol, "Just keeping it real, man". > > > > brian_z > > > > > > > > > > > > --- In [email protected], ftonetti@ wrote: > >> > >> I was already well aware of this particular algorithms abilities > > and short comings and you are of course entitled to your own > > opinion ... In any case this still doesn't address the other issues > > not to mention the inability to put the prowess of todays multicore > > processors to work ... > >> > >> ----- Original Message ----- > >> From: Tomasz Janeczko > >> Date: Friday, June 27, 2008 3:03 pm > >> Subject: Re: [amibroker] The EASIEST way to use new optimizer > > engines > >> To: [email protected] > >> > >> > I disagree. Plateaus are found "by design", at least using CMA- > >> > ES algorithm that internally uses sensitivity as stopping > > criterion. > >> > > >> > Best regards, > >> > Tomasz Janeczko > >> > amibroker.com > >> > ----- Original Message ----- > >> > From: ftonetti@ > >> > To: [email protected] > >> > Sent: Friday, June 27, 2008 8:54 PM > >> > Subject: Re: [amibroker] The EASIEST way to use new optimizer > >> > engines > >> > > >> > I agree ... This is the area that intelligent optimizers shine ... > >> > > >> > However, the plateaus you refer to won't be found except by > >> > accident and even less likely to be found are the middle of the > >> > plateaus without the additional abilities to be able to be > >> > driven by fitness modifiers i.e. goals, constraints etc. and > >> > most importantly parameter sensitivity during the in sample > >> > optimization process as well as having more sophisticated than > >> > calendar based walk forward testing for out of sample. > >> > > >> > ----- Original Message ----- > >> > From: Tomasz Janeczko > >> > Date: Friday, June 27, 2008 2:34 pm > >> > Subject: Re: [amibroker] The EASIEST way to use new optimizer > >> > engines To: [email protected] > >> > > >> > > 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" > >> > > To: > >> > > 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" > >> > > > To: > >> > > > 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" > >> > > >> To: > >> > > >> 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" > >> > > >>> To: > >> > > >>> 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 > > > > > > >
