Hello everybody,
In order to conclude my research about CSSA I would like to point one very important thing which is no clear for me. Optimization of CSSA. Here I compiled answers from NOXA about the subject from different posts
- I periodically halted the optimization (at each new epoch) to avoid over-fitting.
Over-fitting occurs when an optimizer learns the noise in the data. One simple way to avoid it is to periodically halt the optimization. The optimization is then continued from the point at which it was halted. Nothing fancy here! Just a way to give you an access to interim results so that you can make an educated guess on when to stop the optimization!
>> So your procedure of optimization for market conditions is simple adjust parameters, optimize, break optimization from time to time to see that model is making money out of sample, if equity curve is rising than model is OK ?? Is that correct ??
It is not fully correct. The interim results can be many things that can help you assess the validity of your model and find market states. There are many things you can do; for example we look for multiple up and down trending segments in the equity lines and some willingness to reproduce that behavior out-of-sample...
post 127
> How you know when epoch is finished in NS ??
This is one of them; simply watch the fitness clusters for the training and out-of-sample data sets. They will move in unison until they diverge.
Can you make a screenschots of it ??
no answer here
post 128 - the same results which proves how easy is to overfit CSSA
post 133
It seems that you are pretty selective in your answers, you didn't comment post 127 and 128 and answer the question if you connect special tool during optimization.
no answer as well
My opinion is that using just Neuroshell is very easy to overfit CSSA optimization, it happened a lot of times for me see post 128. Optimization envirnoment of Neuroshlell is very simple: off, on, pause and paper trading. So no control of other parameters like "look for multiple up and down trending segments in the equity lines and some willingness to reproduce that behavior out-of-sample... or
"simply watch the fitness clusters for the training and out-of-sample data sets. They will move in unison until they diverge."
So my conclusion is that NOXA is using external optimizer to optimize properly CSSA and avoid overfittig. However I couldn't find this tool as an addon for NS but I found as an addon for Tradestation See link and screenshoots. I think NOXA will never confirm using such tool perhaps due to bussiness relations with Ward or not to show to the people that GA from NS is not advanced enough to optimize CSSA properly.
Power Walk Forward Optimizer
If anybody knows about possibility of using external optimizers with NS let me know.
Krzysztof