On Tue, Mar 13, 2012 at 9:20 PM, Michael <comtech....@gmail.com> wrote: > on past performance using either grid search or Genetic Algo, you will find the overall out-of-sample in the each next period to be poor...
see comments below. >Therefore, it seems that Genetic Algo is just a replacement of the optimizer and it's going to be useful in high-dimensional search... > But it doesn't give "staying power" to the selected model.. The "staying power", or rather stability, has nothing to do with the optimization algo, but rather with the underlying problem space and your space descriptor. If your problem space is unstable your space descriptor should be able to cover this. I wouldn't declare GA or any other optimization technique as a tool usable for one type of problem only .. As Enrico already said, it's not the fault of the optimization technique, but rather the fault of the model. [.. snipping 431 lines of quoted text ...] -- Ulrich Staudinger http://www.activequant.org Connect online: https://www.xing.com/profile/Ulrich_Staudinger [[alternative HTML version deleted]] _______________________________________________ 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.
