OK, thank you!
Steve
----- Original Message -----
From: Tomasz Janeczko
To: [email protected]
Sent: Saturday, August 09, 2008 6:11 PM
Subject: Re: [amibroker] CMAE question
Hello,
To find out stability of the solution you should perform small exhaustive
search near the solution point (it could be as small as +/- one step
in each dimension)
Without that it is just guessing.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Steve Dugas
To: [email protected]
Sent: Saturday, August 09, 2008 9:44 PM
Subject: Re: [amibroker] CMAE question
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
