I don't know how long 40k steps take to perform on your machine but a solution to the problem using a single processor took less than 5 minutes on mine. I wouldn't think AB's internal engine would take much more than this i.e. 40k steps @ 100 / sec = 400 secs ~ 7 minutes ?!
Correct ... But I have a good reason to get the complete grid and not just a small part of it. I am looking for an optimalization of area's. Not just points. But you're right, CMAE is about 5 minutes on my computer ... That's why I said 'even with CMAE' ... So yes, it's acceptable ... Regards, Ton. ----- Original Message ----- From: [email protected] To: [email protected] Sent: Thursday, January 08, 2009 5:33 PM Subject: Re: [amibroker] Re: Optimization Question Obviously problems like this aren't going to be solved with exhaustive search ... This is why there are artificially intelligent optimizaion engines whether they be imbedded in AB or not. I can't say I have used the ones inside AB much since my initial investigation of them and long ago I posted my thoughts on the particular AB artificially intelligent optimization engine you reference. I don't know how long 40k steps take to perform on your machine but a solution to the problem using a single processor took less than 5 minutes on mine. I wouldn't think AB's internal engine would take much more than this i.e. 40k steps @ 100 / sec = 400 secs ~ 7 minutes ?! ----- Original Message ----- From: Ton Sieverding Date: Thursday, January 8, 2009 6:04 am Subject: Re: [amibroker] Re: Optimization Question To: [email protected] > Fred my problem with all kinds of combinations like in yr code > is the following ... > > > > Even with CMAE ... > > > > Regards, Ton. > > > ----- Original Message ----- > From: [email protected] > To: [email protected] > Sent: Thursday, January 08, 2009 7:55 AM > Subject: Re: [amibroker] Re: Optimization Question > > > > One way to code this is as below ... > > One could of course code in separate "Use" optimizable > variables for each of the indicators to allow them to be > independently used or not on the buy / sell side. > > The default values in the optimization statements below were > arrived at from the best results based on CAR - MDD over the > entire life of a common Index using daily data. Notice that the > optimization process determined NOT to use the MACD indicator > i.e. MACDUse = 0 but did employ the other two. > RSILen = Optimize("RSILen", 43, 1, 100, 1); > > RSIUse = Optimize("RSIUse", 1, 0, 1, 1); > > RSIx = RSI(RSILen); > > RSIBuy = RSIx > Ref(RSIx, -1) OR RSIUse == 0; > > RSISell = RSIx < Ref(RSIx, -1) OR RSIUse == 0; > > StoLen1 = Optimize("StoLen1", 16, 1, 100, 1); > > StoLen2 = Optimize("StoLen2", 25, 1, 100, 1); > > StoLen3 = Optimize("StoLen3", 99, 1, 100, 1); > > StoUse = Optimize("StoUse", 1, 0, 1, 1); > > StoK = StochK(StoLen1, StoLen2); > > StoD = StochD(StoLen1, StoLen2, StoLen3); > > StoBuy = StoK > StoD OR StoUse == 0; > > StoSell = StoK < StoD OR StoUse == 0; > > MACDLen1 = Optimize("MACDLen1", 32, 1, 100, 1); > > MACDLen2 = Optimize("MACDLen2", 60, 1, 100, 1); > > MACDLen3 = Optimize("MACDLen3", 48, 1, 100, 1); > > MACDUse = Optimize("MACDUse", 0, 0, 1, 1); > > MACDx = MACD(MACDLen1, MACDLen2); > > MACDs = Signal(MACDLen1, MACDLen2, MACDLen3); > > MACDBuy = MACDx > MACDs OR MACDUse == 0; > > MACDSell = MACDx < MACDs OR MACDUse == 0; > > Buy = RSIBuy AND StoBuy AND MACDBuy; > > Sell = RSISell AND StoSell AND MACDSell; > > > > ----- Original Message ----- > From: longarm61 > Date: Thursday, January 8, 2009 12:49 am > Subject: [amibroker] Re: Optimization Question > To: [email protected] > > > Thanks, appreciate it. If it's not too much trouble, could > you > > (or > > someone) give me a quick example of how exactly that would > be coded? > > > > > > --- In [email protected], ftone...@... wrote: > > > > > > One way to do this is to have an on/off ( 1/0 ) > optimizable > > variable for each indicator so that individual indicators > are > > either > > used or not and then let optimzation make the determination. > > > > > > ----- Original Message ----- > > > From: longarm61 > > > Date: Wednesday, January 7, 2009 8:25 pm > > > Subject: [amibroker] Optimization Question > > > To: [email protected] > > > > > > > Is there a way to optimize a group of indicators so that > the > > > > results > > > > not only give you the optimized values, but also tell > you > > which > > > > indicators you'd have better of f not using at all? > Something > > > > like > > > > this: > > > > > > > > Best return: Indicator1=80, Indicator2=NO, > Indicator3=50, > > > > Indicator4=NO > > > > > > > > Thanks in advance, > > > > > > > > Grant > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
