Dear all,
Using the quantstrat package, I run into the following issue : I am trying
to add a simple 60 days standard deviation indicator to my strategy, I am
not getting the expected result.
The below example charts both what I expect and what I get :
require(quantstrat)
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
It seems that there are a bunch of parameters in this optimizer and the
results are
Thanks Brian. Those are very good points! I concur with Brian.
Hence my Q4:
What's a good objective function for using with any optimizer?
Intuitively there should be at least two objectives:
1. In the past (in-sample data), the performance should be the best (be it
Sharpe, or MDD, etc.)
2.
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
It seems that there are a
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
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
Hi all,
I'm currently working on a project that tests whether momentum ( as defined by
Jegadeesh and Titman, 1993) exists in India.
I'm new to R and ran into problems. I'm hoping someone here can help me with an
example snippet of the code where I'm stuck... Thanks in advance!
The trading
Hey guys,
just some netiquette rant from my side ...
If you reply to an email, I would prefer that people cut the original post
to a necessary minimum instead of including all these other lines in it. I
find it extremely annoying when my gmail page is filled with quoted lines
and here and there
To contribute to this discussion with a more concrete example of genetic
algorithm usage for trading purpose I have disclosed simple code snippet how to
implement it using DEoptim. GALGO is alternative to DEoptim in R.
Micheal, generally I do not provide complete examples so for this exception
Thanks so much Darko!
It's really a great contribution to the thread and to the entire R finance
community!
We really appreciate your kindness!
I will study deep into your example and digest it further and I will
consult with your expertise with more questions.
Thanks so very much again!
On
I have a quick question regarding all these iterative methods though:
Genetic algo is an iterative optimizer and the number of iterations is a
parameter.
Many similar algos exist. For example, neural networks,
clustering(K-means), etc.
Even the simplest one - the robust linear regression is an
Am 08.03.2012 19:16, schrieb Michael:
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
It seems that there are a bunch of
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