If you are referring to sensitivity testing during in sample optimization then yes I understand ... But then one only needs the appropriate software / algorithms for this ... Which does not mean exhaustive search.
----- Original Message ----- From: Ton Sieverding Date: Friday, January 9, 2009 9:21 am Subject: Re: [amibroker] Re: Optimization Question To: [email protected] > 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 > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
