Hi Thomas, that's an interesting.observation as well, thank you for posting it. Good luck with your trading!
Steve ----- Original Message ----- From: "Thomas Ludwig" <[email protected]> To: <[email protected]> Sent: Wednesday, February 04, 2009 10:44 AM Subject: Re: [amibroker] SPSO vs Trib vs CMAE, was: random optimization? > Steve, > > that's an interesting observation. So far I had exclusively used CMAE, > but now I've applied SPSO to some of my trading systems by performing an > extensive walk-forward optimization. > > My (surely not representative) observations are that the IS results are > rather similar regardless if I use CMAE and SPSO. However, I found that > the OOS results with SPSO were always worse than with CMAE. This seems > to support your findings that CMAE tends to find the broad plateaus - and > this leads eventually to better OOS performance (through better > generalization). Since I never trade a system without thorough WF > testing, that's the crucial aspect for me as IS results alone are more > or less worthless. > > I should add that I used OptimizerSetOption("Runs", 1 ) and > OptimizerSetOption("MaxEval", 1000 ). Different parameters might lead to > different conclusions. > > Greetings, > > Thomas > > > Steve Dugas wrote: >> 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. > > > ------------------------------------ > > **** 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 > > > >
