Thank you TJ - Would you mind answering one more question about the results? Suppose I am optimizing on CAR. And when the CMAE opt is done, the first line shows 200%, followed by a bunch of lines at 100% with closely related params. In exhaustive opt, I would ignore the 200% in favor of all the 100%'s. In CMAE opt, does the fact that it returned one 200% line mean that it has found some sort of a plateau around those param values - i.e., would you consider trying those param values going forward? Thanks very much!
Steve ----- Original Message ----- From: Tomasz Janeczko To: [email protected] Sent: Saturday, August 09, 2008 3:24 PM Subject: Re: [amibroker] CMAE question Hello, Zero as default is good. In that case internally it is set to 900 * square of ( number of params + 3 ). As for Runs you should never go beyond 10 because of exponential growth of search space. Runs 31 means 2^31 (=2147483648 ) times larger search. Makes no sense. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: Steve Dugas To: [email protected] Sent: Saturday, August 09, 2008 8:52 PM Subject: Re: [amibroker] CMAE question Hi TJ - I read in the ReadMe that the default for MaxEval is 0, and it is advised not to change it. If I define it myself as 0, is that different from not defining it at all and just accepting the default? Yes, I read that it is advised not to go over 10 runs, but in experimenting, Runs = 31 and MaxEval = 0 seems to return quite good and consistant results whereas 5 or 10 runs seems hit-or-miss and results can vary quite a bit. But maybe I am screwing things up by defining Runs as 0? Steve ----- Original Message ----- From: Tomasz Janeczko To: [email protected] Sent: Saturday, August 09, 2008 2:29 PM Subject: Re: [amibroker] CMAE question Hello, This is entirely wrong combination of params. MaxEval should be AT LEAST 2000. Runs should NEVER be set to anything greater than 10, with 5 being resonable max. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: Steve Dugas To: Yahoo - AmiBroker Sent: Saturday, August 09, 2008 8:03 PM Subject: [amibroker] CMAE question Hi - I am playing around with the CMAE opt engine. MaxEval is set to 0 by me (instead of just accepting default). For Runs, if I enter any number up to 31, it will warn me about taking lots of time, and at 31 runs it says I have about 1.5B opt steps. If I enter any any number > 31, it may or may not warn me, and when it doesn't warn me, behavior of the progress box appears different. Am I overflowing the max allowed opt steps? Is there some limit to this algorithm? Any other thoughts why things are different sometimes? Thanks very much! Steve
