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" <[email protected]> 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" <sjdu...@...> 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...@..." <fina...@...> >> 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 > > > >
