When I said about unhappiness I didn't mean you. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "brian_z111" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Saturday, June 28, 2008 2:37 AM Subject: [amibroker] Re: The EASIEST way to use new optimizer engines
> 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 >> > >> > >> > >> > > > > ------------------------------------ > > 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 > > >
