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Optimax is a stand-alone program that
runs on your PC and works with TradeStation 7 during a strategy
optimization to super-charge its' back-testing and optimization
capabilities.
Optimax presents you with a set of
intuitive views of your strategy's behavior that quickly show you
how it responds as the inputs and price series changes. The biggest
Optimax advantage comes from using our powerful genetic algorithms
that slash your optimization times by factors of thousands, and our
extremely popular built-in price modulator that modifies the price
series dynamically during optimization to drastically reduce the
probability of curve-fitting the results.
What is a Genetic Optimization?
A genetic optimization is like
running a TradeStation back testing optimization on 1,000 Cray
computers. You could call it a smart search. TradeStation's current
algorithm, the exhaustive search, evaluates every possible
combination of strategy inputs and determines the best of them all.
It is thorough, and time consuming. A genetic algorithm searches in
a much more efficient manner; it samples many different combinations
at random to find a set of promising inputs, and then modifies those
combinations using methods that mimic biological evolution to
determine optimum solutions. When used on problems that involve a
great number of combinations, genetic searches are many orders of
magnitude faster than exhaustive searches, with results that are
much less likely to be curve fitted. |
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Optimax
works with TradeStation to control it and display results as
the optimization runs. |
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| Our test case strategy
had 16 inputs and
5.184E+21 combinations. Using a Cray running
TradeStation without Optimax, we estimate the optimization would
take 171 billion years. Running TradeStation with Optimax on our 2.8 GHz
Windows machine, this took 6 hours. |
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How can Optimax be that
fast?
Optimax employs genetic
algorithms to speed up processing. These work by eliminating
calculations that have the lowest probability of being useful.
Using this method, the increase in optimization speed can be
dramatic.
Genetic algorithms work
smarter than exhaustive searches. Instead of checking every
possible input combination, genetic algorithms quickly narrow
down the desired combinations, finding and focusing on the
areas that are most profitable and most stable, enabling you
to optimize your strategies in a fraction of the time. With
Optimax it is practical to optimize many inputs and
combinations; 10, 25, or even 100 inputs resulting in millions
of combinations can be optimized in a few hours. |
For
example, in a test case we optimized a strategy with 16 inputs
having a possible 5.184E+21 combinations. On a 2.8GHz system
our test strategy took approximately 4.3 seconds per
iteration. Using a genetic search that converged in 50
generations and having 100 individuals in each generation, the
optimization provided satisfactory results in 6 hours. With
these same parameters, on the same computer an exhaustive search would take
706,849,314,984,576 years, or approximately 706 trillion
years.
If you could run TradeStation
on a top-of-the-line Cray X1 supercomputer, since TradeStation
doesn't support multiple CPUs, the best you could do is use is
to use a single processor which would run at 11.55 gigaflops
(billions of calculations per second.) The Cray would process
the optimization 4,125 times faster than our 2.8GHz machine,
and the optimization would still take about 171 billion
years.
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| Genetic
searches are many orders of magnitude faster than
exhaustive searches, with results that are much less
likely to be curve fitted.
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