Dubi --
You can make up your own metric. See addcustommetric() and custom back
test, CBT, in the users guide and on amibroker.com.
http://www.amibroker.com/docs/ab401.html
For example, say you want maximum UPI, but you also feel that you would
prefer number of trades to be near 5.
OptTrades = 5;
MultFactor = 2 * OptTrades;
Ntrades = (available via GetValue(string MetricName)
MyMetric = UPI * (MultFactor * Ntrades - Ntrades^2); // just one way of
many
-- Keith
dubi1974 wrote:
Hi Howard and all,
yes SPSO is the inbuild particle optimizer.... When I optimize for
Ulcer Index I do not take everytime the best choice, as I do not do it
when I optimize for %Net Perf or CAR/MDD. Eaxmple: If I have let's say
3 parameters 100x100x100 I would get 1mn options. If I optimize for
%Net Perf with SPSO the list would be about 5000-7000 results. But as
I do not want to choose the best %Net Perf but the highest %Net Perf
with a high UPI, a high CAR/MDD, high RRR, low StDev I would decide to
use the parameters for maybe the 2nd or 3rd etc. rated result. But
this is not possible if I directly use the inbuild WalkForward Test of
Amibroker, as the system uses always the first choice and not the best
choice.
If I would optimize directly for RRR, I got sometimes as first choice
just 1-2 trades as the StDev was the lowest there, but I would never
use this parameters. That is why I was searching for an alternative.
Many thanks and kind regards,
dubi
--- In amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>,
Howard B <howardba...@...> wrote:
>
> Hi Bisto --
>
> Thanks. From the original posting, I was thinking that SPSO was a
metric.
>
> Dubi --
>
> The choice of optimization method (exhaustive, cmae, ...) and metric
(Ulcer
> Index, CAR/MDD, k-ratio, ...) are independent. The optimization
portion of
> the walk forward will be carried out using the optimization method you
> request in you afl code with the OptimizerSetEngine statement. The
> selection of which of the alternatives tested to use for the
out-of-sample
> run will be determined by the metric you set in the Optimization
Target box
> on the Walk Forward tab of the AA Settings.
>
> Or did I misinterpret your question?
>
> Thanks,
> Howard
>
>
> On Fri, Nov 13, 2009 at 3:39 AM, Bisto <bistoma...@...> wrote:
>
> >
> >
> > I suppose: Standard Particle Swarm Optimization
> >
> > Bisto
> >
> >
> > --- In amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com> <amibroker%40yahoogroups.com>,
Howard B
> > <howardbandy@> wrote:
> > >
> > > Hi Dubi --
> > >
> > > What is SPSO?
> > >
> > > Thanks,
> > > Howard
> > >
> > > On Wed, Nov 11, 2009 at 9:07 AM, dubi1974 <gonzales74@> wrote:
> > >
> > > >
> > > >
> > > > Hi!
> > > >
> > > > Is it possible to optimize a system (for e.g. best net
performance %)
> > with
> > > > SPSO but then use the highest Ulcer Performance Index or
CAR/MDD and
> > use
> > > > then this parameters for the out of sample test for the next
period in
> > the
> > > > Walk Forward Test of Amibroker? I know I could do this in separate
> > steps,
> > > > but I would like to automize that. Or does someone know an other
> > solution
> > > > for this?
> > > >
> > > > Many thanks and kind regards,
> > > >
> > > > dubi
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
