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
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
Subject: Re: [R-SIG-Finance] Are there genetic algorithm for trading strategy
evolution in R?
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
-project.org] On Behalf Of Patrick Burns
Sent: Friday, 9 March 2012 6:24 AM
To: Daniel CegieÅka
Cc: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Are there genetic algorithm for trading
strategy evolution in R?
Yes, serious chance of doing it poorly
without years of intense work
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
how about quantmod library..
On Wed, Mar 7, 2012 at 10:30 PM, Michael 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
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