Strategy Parameter Increments in Optimization
Author: ronc
Creation Date: 3/31/2013 9:52 PM
profile picture

ronc

#1
I have noticed that strategy parameter values that result from optimizations, for floating-point parameters, do not obey the increment values specified when defining the the parameters in code. In other words, the resulting values fall between increments. For example, if I define a parameter thus:

myParamInput = CreateParameter("myParam", 1.0, 0, 1, 0.01);

... the increment value is 0.01. However, the optimizers create values with an arbitrary number of digits to the right of the decimal, e.g. 0.5783443, etc. Does this mean that parameter increments are not used by optimizers? I have been assuming that using large increments (e.g. 0.1 rather than 0.01) would speed up optimization since there are fewer choices to explore, for both Monte Carlo and Genetic. If the increments are not used by the optimizers are they only used in the case of Exhaustive?
Thanks,
Ron
profile picture

Eugene

#2
To quote the User Guide, Strategy Window > Optimization > Optimization Control:

QUOTE:
Since the Monte Carlo process chooses random combinations of values that fall between the Start and Stop values defined for the parameters, the Step value is meaningless.


But both Exhaustive and Genetic correctly handle your strategy parameter. Wealth-Lab resolves the ambiguity of a double Step and an integer Stop. The increments always fall on correct boundaries i.e. 0.02 (for 0.01 increment) or 0.4 (for 0.1 increment).
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).