thanks for the information...very nice.
----- Original Message ----- From: "Tomasz Janeczko" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Friday, June 27, 2008 7:28 PM Subject: Re: [amibroker] The EASIEST way to use new optimizer engines > Hello, > > Exhaustive search is perfectly fine as long as it is reasonable to use > it. Let's say you have 2 parameters each ranging from 1 to 100 (step 1). > That's 10000 combinations - perfectly OK for exhaustive search. > Now with 3 parameters you got 1 million combinations - it is still OK for > exhaustive > search (but can be lenghty). With 4 parameters you have 100 million > combinations > and with 5 parameters (1..100) you have 10 billion combinations. > In that case it would be too time consuming to check all of them, > and this is the area where non-exhaustive smart-search methods can solve > the problem that is not solvable in reasonable time using exhaustive > search. > > As to algorithm used by non-exhaustive search it looks as follows: > > a) the optimizer generates some (usually random) starting population of > parameter sets > b) backtest is performed by AmiBroker for each parameter set from the > population > c) the results of backtests are evaluated according to the logic of > algorithm > and new population is generated based on the evolution of results, > d) if new best is found - save it and go to step b) until stop criteria > are met > > > Example stop criteria can include: > a) reaching specified maximum iterations > b) stop if the range of best objective values of last X generations is > zero > c) stop if adding 0.1 standard deviation vector in any principal axis > direction does not change the value of objective value > d) others > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "cstrader" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Friday, June 27, 2008 10:32 PM > Subject: Re: [amibroker] The EASIEST way to use new optimizer engines > > >> ...but I'm still a bit confused. If we use the default solver -- that >> is, >> we don't put an optimizerset = line in, then we get an exhaustive search, >> right. Every possible combination of values is tested and compared. >> Wouldn't that be the best solution if it's possible in a reasonable >> timeframe? >> >> So, what happens when the cmae optimizer is used instead? Something like >> this? >> >> 1. AB computes CAR/MDD from the default values of the optimizing >> variables >> 2. AB computes CAR/MDD from another set of optimizing variables >> 3. 1 and 2 are sent to the optimizer, and it returns a set of variables >> to >> try next. >> 4. Repeat 2 and 3 until a solution is reached? >> >> Sorry, but this is pretty new to me. >> >> >> >> ----- 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 >> >> >> > > ------------------------------------ > > 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! 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