Yes, serious chance of doing it poorly without years of intense work.
On 08/03/2012 19:14, Daniel Cegiełka wrote:
Let me add my two cents. Old Max Dama blog (mirror): http://smartdatacollective.com/maxdama/22571/voodoo-spectrum-machine-learning-and-data-sets Optimization is good to examine the sensitivity of the model and the selection of appropriate parameters - this is useful. But playing with the evolutionary strategy, what you Michael ask, is very risky. regards, Daniel 2012/3/8 Patrick Burns <patr...@burns-stat.com <mailto:patr...@burns-stat.com>> Comments inline. On 08/03/2012 18:16, Michael wrote: Thanks folks! After digging further on the Internet, I have the following questions: Q1: I read the following article: http://cran.r-project.org/web/__packages/DEoptim/vignettes/__DEoptimPortfolioOptimization.__pdf <http://cran.r-project.org/web/packages/DEoptim/vignettes/DEoptimPortfolioOptimization.pdf> It seems that there are a bunch of parameters in this optimizer and the results are sensitive to these parameters. So there is another layer of optimization with respect to these optimizer parameters. Is the "tweaking" of these optimizer parameters data-mining, which will lead to data-snooping bias? I wouldn't think so, but there might be a way to manage it. Q2: Due to the random nature of the optimizer, each time you run the backtest, you will have different performance. What do you do in that case? That may be a good thing, if you are willing to use it. In what I've done on backtesting: http://www.portfolioprobe.com/__2010/11/05/backtesting-almost-__wordless/ <http://www.portfolioprobe.com/2010/11/05/backtesting-almost-wordless/> I show how to assess whether the strategy is better than luck by using random trades. The standard thing to assume (as I do in that piece) is that the optimization is noiseless. But really the optimization depends on a multitude of subtle influences. Even if you always got the exact global optimum, if a variance or expected return were slightly different, you could get a very different path. The "optimal" path is fuzzy in actuality. So for out-of-sample real-trading, we are trading a random strategy? Yes. But the inputs are random so even non-stochastic optimizers give you a random strategy in a sense. Q3: It's pretty easy to understand using Genetic Algorithms to serve as a replacement for regular optimizers; but using Genetic Algorithms to evolve trading strategies seem to be different. Anywhere we could find such an example in R? Yes, that is different. In https://stat.ethz.ch/__pipermail/r-sig-finance/__2010q4/007033.html <https://stat.ethz.ch/pipermail/r-sig-finance/2010q4/007033.html> you can find Josh quoting me quoting Lao-Tzu on why you are unlikely to find much useful on that subject. Pat On Thu, Mar 8, 2012 at 8:25 AM, Zachary Mayer<zach.ma...@gmail.com <mailto:zach.ma...@gmail.com>> wrote: There is the DEoptim<http://cran.r-project.__org/web/packages/DEoptim/__index.html <http://cran.r-project.org/web/packages/DEoptim/index.html>>library in r, which is an excellent library for differential evolution. If you can define your trading strategy in terms of a bunch of parameters to adjust and an objective function (i.e. turn it into an optimization problem), DEoptim will help you find the minimum (or maximum). DEoptim works well on non-differentiable problems with many local minima. Here is an example of using it to solve a portfolio optimization problem: http://cran.r-project.org/web/__packages/DEoptim/vignettes/__DEoptimPortfolioOptimization.__pdf <http://cran.r-project.org/web/packages/DEoptim/vignettes/DEoptimPortfolioOptimization.pdf> On Thu, Mar 8, 2012 at 12:43 AM, Sofian Hadiwijaya<reztinpeace@gmail.__com <mailto:reztinpe...@gmail.com>>wrote: how about quantmod library.. On Wed, Mar 7, 2012 at 10:30 PM, Michael<comtech....@gmail.com <mailto:comtech....@gmail.com>> wrote: Hi all, Good morning, good afternoon and good evening! Could anybody please kindly point me to resources in R which shows about how to use Genetic algorithm to evolve trading strategies? I did a lot search on Google these days and certainly it's a well-covered and popular topic, but I don't see anywhere in R... Thanks a lot! [[alternative HTML version deleted]] _________________________________________________ R-SIG-Finance@r-project.org <mailto:R-SIG-Finance@r-project.org> mailing list https://stat.ethz.ch/mailman/__listinfo/r-sig-finance <https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] _________________________________________________ R-SIG-Finance@r-project.org <mailto:R-SIG-Finance@r-project.org> mailing list https://stat.ethz.ch/mailman/__listinfo/r-sig-finance <https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] _________________________________________________ R-SIG-Finance@r-project.org <mailto:R-SIG-Finance@r-project.org> mailing list https://stat.ethz.ch/mailman/__listinfo/r-sig-finance <https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Patrick Burns patr...@burns-stat.com <mailto:patr...@burns-stat.com> http://www.burns-stat.com http://www.portfolioprobe.com/__blog <http://www.portfolioprobe.com/blog> twitter: @portfolioprobe _________________________________________________ R-SIG-Finance@r-project.org <mailto:R-SIG-Finance@r-project.org> mailing list https://stat.ethz.ch/mailman/__listinfo/r-sig-finance <https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
