Training - number of comibnations

Posted By: Neb

Training - number of comibnations - 01/31/21 16:01

Hi,

Doing training with 2 parameters, one should have 10 and another 11 potential values.
Seems that I am getting only 21 runs, instead of 10x11 = 110 runs ?
Am I wrong ?
Did I made some mistake in setting parameters for training ?

Thanks,

Neb
Posted By: Neb

Re: Training - number of comibnations - 01/31/21 16:32

For instance, I was just following Workshop5.
There are 3 parameters.
p1 has 9 potential values.
p2 has 11 potential values.
p3 has 18 potential values.
Potential numbe for combination is: 1782.
But Zoor is doing only 38 runs.
It is pretty much incorrect ?

It should find the optimal robust parameter combination by going through all parameters together,
not by picking one by one and then combine them together at the end ? Or I am wrong ?

Neb
Posted By: AndrewAMD

Re: Training - number of comibnations - 01/31/21 21:56

Zorro's default optimizer is the Ascent Optimizer, which only optimizes one parameter at a time in sequence. Zorro also has a Brute force optimizer, which iterates through all possible parameter combinations.

This helps to avoid overfitting. Not to mention: brute force takes much longer to complete.
Quote
For this purpose, trading software often uses Genetic or Brute Force optimizers for finding the highest performance peak in the parameter space. Zorro's default Ascent optimizer works differently, and is normally superior in generating the best parameter set. It does not seek performance peaks, but stable performance plateaus, and places the parameters into their centers. This results in less performance with in-sample backtests, but more performance in out-of-sample tests and in live trading. For special purposes, such as for finding performance peaks or for highly irregular parameter spaces, a conventional Genetic optimizer or a Brute Force optimizer can be activated by setting a TrainMode flag.
https://manual.zorro-project.com/training.htm
https://zorro-project.com/manual/en/opt.htm
Posted By: Neb

Re: Training - number of comibnations - 01/31/21 22:39

Aaaaah,

Thanks @AndrewAMD !
I was blind all the time.

Tried to change to Brute, but was trying to set it up with:

TrainMode = 'Brute'.

Now tried:

setf(TrainMode,BRUTE); and is working like expected laugh
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