• Registered: 2018-12-16
  • Posts: 346

Topic: A question about Optimization

Hi,

i set Acceptance Criteria for complete Backtest and set use acceptance criteria in optimizer(Use the Common Acceptance Criteria)

The Only change in Generator from Reaktor and the Optimizer is that in Generator i search best Profit Factor with in sample. And this found strategies the optimizer should optimize with 40 steps and search best rsquared with 50% OOS data.

But what i find curious is that 100% pass the validation. Is this cause i put my complete AC Backtest the same as in Optimizer?

But when it is so. For what will than the Optimizer be. Or is this a bug. Cause i thing its a big difference to optimize with 50% OOS and another search best setup.

So when it be all ok. Than i think for what this optimizer will be good when i can search before the best.

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 839

Re: A question about Optimization

Hi Roughey,

if you use the same acceptance criteria in the Generator AND Optimizer, it is absolutely normal that all strategies that have been accepted by the Generator will pass the Optimizer too. The strategies already have fulfilled the acceptance criteria within the Generator stage, so it cannot happen that they will fail the acceptance within the Optimizer. The Optimizer can only make a strategy BETTER within the range of your acceptance criteria, but the Optimizer cannot make a strategy "worse" than before in that case. Hence all these strategies that passed the Generator will always pass the Optimizer - anything else wouldn´t also make much sense, because why should the Optimizer make your strategy worse?

By the way, the "Search best" in the Generator really has no effect at all as far as I can tell, because as long as the strategies pass your acceptance criteria a the generator stage, it will add them to your collection and then it depends after which criteria you´ve sorted your collection instead. I think the "Search best" for the Generator really only is for the displayed best strategy so far on the main page, so that it knows what is "best" for you - but apart from this it really has no effect at all on anything, only your acceptance criteria have.

geektrader's Website

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,996

Re: A question about Optimization

By the way, the "Search best" in the Generator really has no effect at all as far as I can tell

The Generator's "Search best" option tells tells the Generator which strategy to show in the Generator's page. It is helpful if you want to make a quick test without using the Collection. Actually this options was implemented in EA Studio before the Collection capability. Because EA Studio is the world's first real time strategy tester and generator online, I was not sure at all if such concept is even possible and developed the application and expanded the app incrementally. I didn't now if the browser is able to provide the necessary power for an online Generator. The first WOW moment was when I sow it works. It was so amazing that I look at the changing balance chart for hours. Then I added the "Search best" option to be able to fine tune the strategy shown.

Popov's Website

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 839

Re: A question about Optimization

Hehe yea, absolutely nice indeed! Technically though, it is still offline, as it´s run on the local CPU anyway :-) But absolutely great product!!

Yes, I thought that it is just for the main page selection and mentioned it: " I think the "Search best" for the Generator really only is for the displayed best strategy so far on the main page" <- glad I was right, haha :-)

Have a great day guys!

geektrader's Website

  • Registered: 2018-12-16
  • Posts: 346

Re: A question about Optimization

ahhh ok. than it will be the same as in optimizer search best`?

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 839

Re: A question about Optimization

How do you mean "the same"? In what relation?

geektrader's Website

  • Registered: 2018-12-16
  • Posts: 346

Re: A question about Optimization

geektrader wrote:

How do you mean "the same"? In what relation?


That the search best is only the sorting of the collection.

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,996

Re: A question about Optimization

The optimizer's "Search best" is important. The Optimizer uses the given criteria to decide if the new strategy version is better than the previous.

Popov's Website

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 839

Re: A question about Optimization

The "search best" for the "Generator" is only for the top strategy that is displayed on the main site of EA Studio (that "best" strategy that is always listed on the right side at the main page).

The collection is sorted by the "Sort collection by". This also decides which strategies are deleted first once the collection reaches 100 strategies.

And the "Search best" for the Optimizer is as Popov explained.

geektrader's Website