OmniTrader Archives
OmniTrader 2013 Technical Support
Strategy Wizard Fast Search settings
4 replies, 2093 viewings
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OmniTrader Archives
OmniTrader 2013 Technical Support
Strategy Wizard Fast Search settings
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Last Activity 9/16/2017 11:23 AM 4 replies, 2093 viewings |
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Colin945 Member  Posts: 49 Joined: 2/26/2005 Location: Calgary  User Profile |
Do we have anything published that gets into the Fast Search method in more detail, especially whether the settings should be changed depending on problem size and what the sampling approach is, e.g. Latin Hypercube? I don't think we covered this in your webinar on SW a year or so ago. I have a couple of questions open with Ryan and he referred me to your post. Colin | ||
| Barry Cohen Sage    Posts: 6338 Joined: 1/19/2004 User Profile |
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| Colin945 Member Posts: 49 Joined: 2/26/2005 Location: Calgary User Profile |
I've read through the SW documentation and all it does is refer to the Fast Search without explaining the settings. What would be very useful is a document that lists each setting, what it does, and how/if it should be adjusted based on total permutations. The documentation implies there is some 'intelligence' being used to narrow the search space but it is clearly important to select enough samples, appropriately spread through the search space, to give a reasonable chance of finding a good optimum. I agree that for a lot of this optimization all one wants is a 'good' strategy, not necessarily the 'best'. That's where having a bit of an appreciation of the search approach being used is helpful. Do we build a proxy model? I'm not trying to discover any proprietary inventions that Nirvana has Any light you can throw on this area should be of use to all of us using SW. Many thanks, Colin | ||
| Jim Dean Sage  Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA User Profile |
It's amazing to me that the feature has been there so long without useful documentation. I know a lot of people who use and swear by SW, but none of them has any confidence in Fast Search. IMHO, nirvana should either fully document it with examples and advice, etc - or should deactivate it so as not to further foster confusion and frustration. Nutshell - don't hold your breath. :-) [Edited by Jim Dean on 2/18/2013 2:00 PM] | ||
| Colin945 Member Posts: 49 Joined: 2/26/2005 Location: Calgary User Profile |
I do a lot of work in the area of optimization in my day job, and there are many approaches to Fast Search that can really work well. I agree that having a tool without instructions is very dangerous. However I should be very upset if such a powerful capability was to be chucked away. I can only hope that Ed is listening because the combimation of SW and PS can be very powerful. If we truly want to develop the nirvana of automated trading then i believe that good optimization and statistical analysis is the way to go. Colin |
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