August 13, 2007
IO – Fitness, Goals and Constraints
This page is obsolete. Current versions of AmiBroker feature built-in non-exhaustive, smart multithreaded optimizer and walk-forward engine.
In AmiBroker we have the capability to sort the results from optimization in AA based on any number of columns of performance metrics that are returned to us from the process but what if we want to be able to:
· Prioritize the results based on some combination of performance metrics written as an equation without having to use the custom back tester which while very capable does have an impact on run time
If we could optimize systems based on the results of equations, which I will term Fitness, that we can write outside of normal AFL then this leaves us the flexibility to optimize on virtually anything without having to constantly rewrite potentially complex segments of code in the custom back tester. As examples we should be able to optimize for Fitness based on simple expressions like:
– Fitness = CAR / MDD ^ 1.5
Which allows us to value having a low MDD more highly then having a high CAR
– Fitness = CAR * 0.98 ^ Trades / MDD
Which allows us to value solutions with fewer trades as being more important
– Fitness = UM1PH * CAR / MDD
Which allows us to incorporate a User Metric from the custom back tester in conjunction with other standard AmiBroker metrics
· Penalize potential solutions because they don’t meet certain Goals or Constraints we have such as having CAR that is too low or number of Trades that are too high for an intermediate term system we are trying to develop. This would allow us to write and have optimization utilize statements like:
– Goal = CAR > 30
– Goal = Trades: < 50
– Constraint = MDD < 10
These are standard shareware features in IO.
A shareware version of IO with full documentation can be found in the AmiBroker Files Section …
http://groups.yahoo.com/group/amibroker/files/IO.zip
Filed by Fred at 5:45 am under Intelligent Optimization
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