Optimization Speed
- Thread starter clarodina
- Start date
That's because you set your optimization wiht a curve-fit vulnerable fitness.
I'm pleased with the speed of Trading Blox software when running parameter sweeps (also known as optimization). It's fast enough to do multivariable sweeps at fine granularity, letting you get a detailed picture of system robustness.
Here is an example of a fine granularity two-parameter sweep that I ran using Blox. Notice that there are about five peaks in the response surface; when I run sweeps, I prefer to look at the whole picture. Pruned searches (like GA et al) just give you the coordinates of the one peak found; I like to get more of a lay-of-the-land global perspective. Besides knowing where the peak is, I like to know the nearby topography.
Naturally the software will let you sweep as many parameters as you like, but us darned humans and our darned 3D visual system, have a hard time visualizing more than a 3D plot (2 parameters + 1 result).
Here is an example of a fine granularity two-parameter sweep that I ran using Blox. Notice that there are about five peaks in the response surface; when I run sweeps, I prefer to look at the whole picture. Pruned searches (like GA et al) just give you the coordinates of the one peak found; I like to get more of a lay-of-the-land global perspective. Besides knowing where the peak is, I like to know the nearby topography.
Naturally the software will let you sweep as many parameters as you like, but us darned humans and our darned 3D visual system, have a hard time visualizing more than a 3D plot (2 parameters + 1 result).
MultiCharts "claims" to be fast in optimization.
http://elitetrader.com/vb/attachment.php?s=&postid=1610998
http://elitetrader.com/vb/attachment.php?s=&postid=1610998