Hi,
Assuming that the width of the range in more significant than the resolution,
you might try something like this:
heat = optimize( "heat", 5, 1, 10, 1 );
fast = optimize( "fast", 25, 1, 50, 1 ) * 2;
slow = optimize( "slow", 50, 25, 75, 1 ) * 2;
25,000 vs 100,000 combinations.
I've had good success with CMAE, you might try it out.
OptimizerSetEngine("cmae");
It's pretty much self-configuring, so don't worry about the parameters. If you
are unfamiliar with CMAE, there's a fair amount of good info in Help.
--- In [email protected], "Markus Witzler" <funny...@...> wrote:
>
> Hello,
>
> if I have, say, three variables that I want to optimize (exhaustively) where
> two have a range of 100 values and one would have a range of 10 values, this
> would mean
>
> 10 * 100 * 100 = 100,000 combinations
>
> I figured that if I optimized the latter two while keeping the first one
> fixed, that would take 10,000 combinations.
>
> Afterwards, I could use the optimal parameter set for the last two ones and
> optimize for the first variable, i.e. 10 steps.
>
> Altogether, this would mean 10,100 steps as oppsoed to 100,000 steps.
>
> I understand that this procedure is not always feasible. But in a case where
> one had for instance, a two MA crossover system (100 steps for each MA) plus
> a heat parameter (10 steps), I guess this would work.
>
> My reasoning would be optimizing for heat AFTER having found the "best"
> parameter set regarding the MA´s would give me the highest return (or else)
> without the need to run thru all theoretically possible combos.
>
> Any thoughts on this besides using intelligent optimization algorithm?
>
> I´m at a point where exhaustive optimization is taking quite a while but
> still would be an option if I could somewhat decrease the number of
> theoretical steps.
>
> Of course with a larger number of opt. steps, intelligent optimization (using
> IO) would be the ONLY option (I´m using IO anyways but am eager to find THE
> best and most robust set of variables in the system I´m observing...).
>
> Any thoughts?
>
> Thanks
>
> Markus
>
