Oh, you know what it might be then? I usually always run mine on a single ticker because I like to see all results for each ticker rather than basket results. Sorry, I have been doing it that way for so long I didn't even think about running it on all stocks...
Steve ----- Original Message ----- From: "Mike" <[email protected]> To: <[email protected]> Sent: Wednesday, February 04, 2009 3:39 PM Subject: [amibroker] Re: SPSO vs Trib vs CMAE, was: random optimization? > Steve, > > You're a lucky man. My last CMAE optimization took 19 days to iterate > 37,000 times on a 3.11 Ghz octo core CPU with 4Gb of memory (32 bit > Win XP). Though, only 1 core really ever gets stressed at a time. > > I suspect that a lot depends on > - The nature of your result space > - Your code > - The number of symbols being used > - The time span covered > - Usage of QuickAFL > > In my case, the fitness function was UPI multiplied by a number of > penalty weights for such things as number of trades, trade duration, > etc. The optimization was over 2 years of all NYSE, AMEX, NASDAQ, > included calls to Foreign, AddToComposite and employed custom > backtesting for determining position size and calculation of the > fitness function. I did not use QuickAFL. > > I've been too busy to look into it yet. But, I'm assuming that > something like MCO would not apply to my scenario since I use > composites. If anyone knows differently, please feel free to speak up. > > Mike > > --- In [email protected], "Steve Dugas" <sjdu...@...> wrote: >> >> Hi Ton - It is the norm for me, when I start an optimization, for AB > to tell me that it will take several months or more to run, I think I > remember a few where it said 50 or 100 *years*, something like that. > But with the IO engines you can go ahead and run it anyway, for me > they always finish probably within an hour, sometimes much quicker. > The times can vary a bit, I think maybe it depends on where in the opt > space they start, what paths they take from there and what it leads > them to... Sometimes they will finish and report results in 5 or 10 > minutes, other times can be an hour or maybe a little more, most will > be somewhere in the middle. At least that is how it always works for > me. I definitely agree with you, I am not looking for peaks like the > one you posted either but sometimes there are smaller and more > profitable plateaus that are tradable for months and I like to at > least find them and know they are there... >> >> Steve >> ----- Original Message ----- >> From: Ton Sieverding >> To: [email protected] >> Sent: Wednesday, February 04, 2009 11:27 AM >> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random > optimization? >> >> >> Your are talking about ".... up into the trillions and more.". How > are you handling the time problem ? These should be optimizations of > several months ... Even with CMAE etc. it will be still a question of > weeks ( about 1/4 of the time ). Let's say I want to optimize 100 > different systems on 10 different Symbols or 1.000 combinations times > your trillions. It's a life time. I just do not have a solution for > this. Do you ? >> >> And again optimization on points is not what I would like to do. > Because of the underneath picture ... I would like to optimize on > areas in stead of points. I hoped to get this with CMAE. The result > was negative ... >> >> Regards, Ton. >> >> ----- Original Message ----- >> From: Steve Dugas >> To: [email protected] >> Sent: Wednesday, February 04, 2009 12:21 AM >> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random > optimization? >> >> >> >> Hi Ton - The 2 MA crossover system was just a simple example for > illustration purposes. In real life I would do an exhaustive opt on > that one since it would only have maybe 100 x 100 = 10,000 > combinations, and perhaps the small optimization space is why CMAE was > able to find the peak. The systems I test with the IO engines > generally have at least millions of possible combos and some up into > the trillions and more. FWIW, I have done lots of these tests and I > will have to stand by my earlier remarks because that is my honest > experience, but perhaps others may see different results... >> >> Steve >> ----- Original Message ----- >> From: Ton Sieverding >> To: [email protected] >> Sent: Tuesday, February 03, 2009 3:40 PM >> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random > optimization? >> >> >> Interesting ... >> >> ..... results, then ran lots of IO tests and compared them to > the exhaustive >> results to see what the IO's found and also what they missed. > You could say >> that CMAE seems to take the "safe" approach, IMHO it finds the > broad >> plateaus pretty well but as you might guess they are usually > far from the >> most profitable. In my experience, the other two IO engines > will generally >> find those too but they also find a lot of the smaller and > more profitable >> ones, which you can then run a mini exhaustive opt on to get a > more complete >> picture .... >> >> Is that true ? Does CMAE really take the 'safe' approach ? > Look to following >> picture and see what CMAE gave me as an optimum ... >> >> >> >> I got the left peak and hoped to get the plateau in the middle > ... >> >> Regards, Ton. >> >> >> >> >> ----- Original Message ----- >> From: Steve Dugas >> To: [email protected] >> Sent: Tuesday, February 03, 2009 7:54 PM >> Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random > optimization? >> >> >> Hi Steve - Once you have done an IO and found some results > that look >> promising, then you can run a mini exhaustive opt if you > want. For a simple >> example, you run an IO on a MA crossover system, testing > both MA's with >> periods from 1 to 100. You won't see all possible combos > reported but maybe >> the results show that MA1=10 and MA2=20 might be good. So to > see all the >> other values in that neighborhood you could then run a > little exhaustive >> opt, say MA1 = 5 thru 15 and MA2 = 15 thru 25, something > like that, which >> will run in a reasonable time. >> >> To test the built-in IO engines, I ran a few exhausive opts > and saved the >> results, then ran lots of IO tests and compared them to the > exhaustive >> results to see what the IO's found and also what they > missed. You could say >> that CMAE seems to take the "safe" approach, IMHO it finds > the broad >> plateaus pretty well but as you might guess they are usually > far from the >> most profitable. In my experience, the other two IO engines > will generally >> find those too but they also find a lot of the smaller and > more profitable >> ones, which you can then run a mini exhaustive opt on to get > a more complete >> picture. >> >> Regarding the trade-off you mentioned, I would think it is a > matter of >> personal taste. How greedy are you? 8 - ) How risk-averse? I > am >> inclined to try the smaller and higher plateaus first, as > long as they have >> a little play on each side and are doing well right now, and > knowing that >> they will fail eventually and I need to keep a close eye on > them... Good >> luck! >> >> Steve >> >> ----- Original Message ----- >> From: "Steve Davis" <_sda...@...> >> To: <[email protected]> >> Sent: Monday, February 02, 2009 5:01 PM >> Subject: [amibroker] SPSO vs Trib vs CMAE, was: random > optimization? >> >> > Steve, >> > >> > I would like to hear more about your system optimization > process. How >> > were you able to determine the size of the plateaus > discovered by the >> > built-in optimizers, and how did you decide which > solutions had the >> > best trade-off between plateau size and profitability? >> > >> > Thanks, >> > another Steve >> > >> > --- In [email protected], "Steve Dugas" <sjdugas@> > wrote: >> >> >> >> Hi - I have spent lots of time playing with the built-in > intelligent >> >> optimizers, in my experience SPSO will return the same > results every >> > time if >> >> the settings are the same. Trib and CMAE will probably > return different >> >> results each time. FWIW, I find CMAE to be the worst of > the three and I >> >> don't use it anymore, it will find plateaus but nearly > always misses >> > the >> >> much more profitable but smaller plateaus. Using a quad- > core I can >> > run 4 >> >> simultaneous instances and I find that by running 1 SPSO > and 3 >> > Trib's and >> >> then comparing the 4 results together, it will generally > point me to >> > some >> >> pretty good param values. Good luck! >> >> >> >> Steve >> >> >> >> ----- Original Message ----- >> >> From: "gabriel_id@" <finance@> >> >> To: <[email protected]> >> >> Sent: Monday, February 02, 2009 7:25 AM >> >> Subject: [amibroker] Re: random optimization? >> >> >> >> >> >> > OK.. >> >> > >> >> > Can u give me what type of engine and with what kind of > settings will >> >> > get the same results when i optimize this lines: >> >> > >> >> > N = Optimize("N-minutes", 33, 1, 60, 1); >> >> > TimeFrameSet( N * in1Minute ); >> >> > MA1 = MA( Close, 10); >> >> > MA2 = MA( Close, 20); >> >> > BuySignal = Cross( MA1, MA2); >> >> > sellSignal = Cross( MA2, MA1); >> >> > TimeFrameRestore(); >> >> > >> >> > Buy = TimeFrameExpand(BuySignal , N*in1Minute); >> >> > Sell = TimeFrameExpand(sellSignal , N*in1Minute); >> >> > >> >> > I tried cmae, 5 , 1000, have variable results.. on > walkforward >> >> > i tried spso, 5, 1000, same variables results.. >> >> > and also trib, 5, 1000.. >> >> > >> >> > >> >> > --- In [email protected], "Mike" <sfclimbers@> > wrote: >> >> >> >> >> >> Tribes is a non exhaustive optimizer, meaning that it > does not >> >> >> evaluate every possible combination. >> >> >> >> >> >> As such, it is possible that it will find different > "optimal" >> >> >> solutions every time, depending on the nature of the > surface being >> >> >> optimized. For example; If the surface has many > similar peaks, it may >> >> >> land on a different one each time (local optima) > instead of the one >> >> >> true optimal solution (global optima). >> >> >> >> >> >> Try increasing the number of Runs and/or MaxEval. If > you have more >> >> >> than 2 or 3 optimization variables, 1000 MaxEval is > not enough. >> >> >> >> >> >> http://amibroker.com/guide/h_optimization.html >> >> >> >> >> >> Mike >> >> >> >> >> >> --- In [email protected], "gabriel_id@" > <finance@> wrote: >> >> >> > >> >> >> > hi there, >> >> >> > >> >> >> > i am a bit confused, i run the same optimization > process.. on same >> >> >> > data range.. and i got different results each time > :) >> >> >> > >> >> >> > and the engine was trib, 5, 1000... >> >> >> > >> >> >> > thx, >> >> >> > GV >> >> >> > >> >> >> >> >> > >> >> > >> >> > >> >> > ------------------------------------ >> >> > >> >> > **** IMPORTANT **** >> >> > This group is for the discussion between users only. >> >> > This is *NOT* technical support channel. >> >> > >> >> > ********************* >> >> > TO GET TECHNICAL 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 >> >> > >> >> > >> >> > >> >> > >> >> >> > >> > >> > >> > ------------------------------------ >> > >> > **** IMPORTANT **** >> > This group is for the discussion between users only. >> > This is *NOT* technical support channel. >> > >> > ********************* >> > TO GET TECHNICAL 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 >> > >> > >> > >> > >> > > > > ------------------------------------ > > **** IMPORTANT **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > ********************* > TO GET TECHNICAL 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 > > > >
