Performing Optimization: Difference between revisions
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# Select '''Ascending''' or '''Descending''' option to sort the output in ascending or descending order, respectively. | # Select '''Ascending''' or '''Descending''' option to sort the output in ascending or descending order, respectively. | ||
# Click '''OK''' to run the optimization and generate the Optimization Report. | # Click '''OK''' to run the optimization and generate the Optimization Report. | ||
<br> | |||
== Running Genetic Algorithm Search == | |||
<div style="background-color: #E3FBE5;">Note: For detailed information on Genetic Algorithm properties, see [[Understanding Optimization#Understanding Genetic Algorithm Optimization]]</div> | |||
Optimization is performed from the '''Format Objects''' window: | |||
To perform Genetic Algorithm optimization: | |||
# Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span> | |||
# Select the '''Signals''' tab. | |||
# Click the '''Optimize''' button. | |||
# In the '''Select Optimization Method''' dialog box that appears, select '''Genetic Algorithm'''. | |||
# In the '''Genetic Algorithm Properties''' window that opens, select the '''Optimizable Inputs''' tab. | |||
# In the '''Start Value''' column, enter the desired starting values for each of the inputs. | |||
# In the '''End Value''' column, enter the desired ending values for each of the inputs. | |||
# In the '''Step''' column, enter the desired step size, for each of the inputs. | |||
# Select the '''Algorithm-specific Properties''' tab. | |||
# Select criteria: | |||
#: 1. Select '''Standard Criteria'''. | |||
#: 2. Select the criteria from the drop-down list. [[Performing_Optimization#Standard Criteria|Read more about Standard Criteria]].<br>or:<br> | |||
#: 1. Select '''Custom Criteria'''. | |||
#: 2. Click '''Edit...''' button. | |||
#: 3. Write the script for the custom criteria. [[Performing_Optimization#Custom Criteria|Read more about Custom Criteria]]. | |||
#: 4. Click '''OK'''. | |||
# Select '''Ascending''' or '''Descending''' option to sort the output in ascending or descending order, respectively. | |||
# An optimum population size value is automatically placed into the '''Population Size''' box; if a different value is desired, enter the value into the box. | |||
# In the '''Crossover Probability''' box, enter the desired crossover probability; value range is 0.95-0.99, with a default of 0.95. | |||
# In the '''Mutation Probability''' box, enter the desired mutation probability; value range is 0.01-0.05, with a default of 0.05. | |||
# In the '''Convergence Type''' drop-down list, select '''Number of Generations''' or '''Proximal Convergence'''. | |||
# In the '''Maximum Number of Generations''' box, enter the desired maximum number of generations. | |||
# If Proximal Convergence was selected, enter the desired minimum number of generations and convergence rate into the respective boxes. A value, approaching 1 is usually selected for the convergence rate; the default value is 0.990000. | |||
# In the '''Genetic Algorithm Subtype''' drop-down list, select '''Basic''' or '''Incremental''' algorithm subtype. | |||
# If Basic algorithm subtype was selected, select '''Yes''' or '''No''' for '''Use Elitism''' option. | |||
# If Incremental algorithm subtype was selected, select the '''Replacement Scheme''' and '''Offspring Number''' (number of “children”). | |||
# Click '''OK''' to run the optimization and generate the Optimization Report.<br> | |||
[[Category:Optimization]] | [[Category:Optimization]] |
Revision as of 21:58, 1 February 2012
Once a strategy has been [[LINK0280_Backtesting/22-8002_Signals.html name="1"; |applied]] to a chart, strategy optimization can be performed.
Running Exhaustive Search
Optimization is performed from the Format Objects window:
To perform Exhaustive Search optimization:
- Open the Format Objects window.To open the Format Objects window, right-click on an empty area of the chart and then click Format Signals.
The Format Objects window can also be opened by one of the following methods:
- Select Format in the main menu and click Signal.
- Double-click any one of the signal's labels on the chart.
- Position the mouse pointer over any one of the signal's labels on the chart; once the Pointer changes into a Hand , right-click the label and then click Format Signals. - Select the Signals tab.
- Click the Optimize button.
- In the Select Optimization Method dialog box that appears, select Exhaustive Search.
- In the Exhaustive Search Properties window that opens, select the Optimizable Inputs tab.
- In the Start Value column, enter the desired starting values for each of the inputs.
- In the End Value column, enter the desired ending values for each of the inputs.
- In the Step column, enter the desired step size, for each of the inputs.
- Select the Optimization Criteria tab.
- Select the Use Limitation checkbox to limit the output to a defined number of the best results; unselect the checkbox to list all the results in the optimization report.
- Enter the desired number of best results in the Show N best results box.
- Select the best results criteria in the best results for list box.
- Select criteria:
- 1. Select Standard Criteria.
- 2. Select the criteria from the drop-down list. Read more about Standard Criteria.
or: - 1. Select Custom Criteria.
- 2. Click Edit... button.
- 3. Write the script for the custom criteria. Read more about Custom Criteria.
- 4. Click OK.
- Select Ascending or Descending option to sort the output in ascending or descending order, respectively.
- Click OK to run the optimization and generate the Optimization Report.
Running Genetic Algorithm Search
Note: For detailed information on Genetic Algorithm properties, see Understanding Optimization#Understanding Genetic Algorithm Optimization
Optimization is performed from the Format Objects window:
To perform Genetic Algorithm optimization:
- Open the Format Objects window.To open the Format Objects window, right-click on an empty area of the chart and then click Format Signals.
The Format Objects window can also be opened by one of the following methods:
- Select Format in the main menu and click Signal.
- Double-click any one of the signal's labels on the chart.
- Position the mouse pointer over any one of the signal's labels on the chart; once the Pointer changes into a Hand , right-click the label and then click Format Signals. - Select the Signals tab.
- Click the Optimize button.
- In the Select Optimization Method dialog box that appears, select Genetic Algorithm.
- In the Genetic Algorithm Properties window that opens, select the Optimizable Inputs tab.
- In the Start Value column, enter the desired starting values for each of the inputs.
- In the End Value column, enter the desired ending values for each of the inputs.
- In the Step column, enter the desired step size, for each of the inputs.
- Select the Algorithm-specific Properties tab.
- Select criteria:
- 1. Select Standard Criteria.
- 2. Select the criteria from the drop-down list. Read more about Standard Criteria.
or: - 1. Select Custom Criteria.
- 2. Click Edit... button.
- 3. Write the script for the custom criteria. Read more about Custom Criteria.
- 4. Click OK.
- Select Ascending or Descending option to sort the output in ascending or descending order, respectively.
- An optimum population size value is automatically placed into the Population Size box; if a different value is desired, enter the value into the box.
- In the Crossover Probability box, enter the desired crossover probability; value range is 0.95-0.99, with a default of 0.95.
- In the Mutation Probability box, enter the desired mutation probability; value range is 0.01-0.05, with a default of 0.05.
- In the Convergence Type drop-down list, select Number of Generations or Proximal Convergence.
- In the Maximum Number of Generations box, enter the desired maximum number of generations.
- If Proximal Convergence was selected, enter the desired minimum number of generations and convergence rate into the respective boxes. A value, approaching 1 is usually selected for the convergence rate; the default value is 0.990000.
- In the Genetic Algorithm Subtype drop-down list, select Basic or Incremental algorithm subtype.
- If Basic algorithm subtype was selected, select Yes or No for Use Elitism option.
- If Incremental algorithm subtype was selected, select the Replacement Scheme and Offspring Number (number of “children”).
- Click OK to run the optimization and generate the Optimization Report.