Eugene, so once the optimal parameter has been found through optimization, it is manually added as the last parameter in
addParam(FAST_ERROR, 0, 20, 1, 0); statement. Is that correct? ________________________________ From: Astor <[email protected]> To: [email protected] Sent: Tue, November 30, 2010 7:48:51 AM Subject: Re: [JBookTrader] Re: Status of Kalman filter? >The first three values, "min", "max", and "step" are used by the optimizers. >The >last value is the actual parameter value used when the strategy is >running in >the back testing, forward testing, and trading modes The optimizer searches prameter space throughout the range between "min" and "max" in increment specified by "step" and finds the parameter value that maximizes some utility function. That is very clear and intuitive. But, once the optimal parameter is found, why are you using that last, pre-specified "value" parameter for back testing, etc, instead of the newly found optimal parameter value? Sorry if I am being dense here. I am just confused. ________________________________ From: Eugene Kononov <[email protected]> To: [email protected] Sent: Tue, November 30, 2010 6:41:08 AM Subject: Re: [JBookTrader] Re: Status of Kalman filter In the constructor in TensionKalman, it has > super(fastNoise, fastNoise); >should it not be: >super(fastNoise, slowNoise); ? > Yes, that was a typo. >addParam(FAST_ERROR, 0, 20, 1, 0); >has 0 as the last parameter. I understand the significance >of the first four parameters for a search algorithm. > I am not sure what the last >parameter, value, signifies within the optimization algorithm context. The first three values, "min", "max", and "step" are used by the optimizers. The last value is the actual parameter value used when the strategy is running in the back testing, forward testing, and trading modes. >The other area where the problem may lie is in the optimization step. > I would expect the measurement_noise values to be somewhere between > 0 and 1. For fast_error it may be 0.01 and for slow_error perhaps ten times >that, 0.1. I didn't realize the error should scale between 0 and 1. I've made modifications in the attached version to reflect it. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
