[R-SIG-Finance] Example using Galgo to Optimize Parameters
Dave
miniflowtrader at gmail.com
Wed Sep 12 15:59:24 CEST 2012
Great post!
Thanks for sharing.
-----Original Message-----
From: Patrick Burns [mailto:patrick at burns-stat.com]
Sent: Wednesday, September 12, 2012 3:17 AM
To: Dave; r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters
Dave,
If you don't know them, you may be interested in:
http://www.portfolioprobe.com/2012/07/23/a-comparison-of-some-heuristic-opti
mization-methods/
http://www.portfolioprobe.com/2012/08/20/another-comparison-of-heuristic-opt
imizers/
But I didn't know about Galgo.
Pat
On 12/09/2012 07:34, Dave wrote:
> I think that should do it.
>
>
>
> Thank you!
>
>
>
> From: ustaudinger at gmail.com [mailto:ustaudinger at gmail.com] On Behalf
> Of Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:51 AM
> To: Dave
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize
> Parameters
>
>
>
> what about section 7.4 in the Galgo tutorial?
>
> http://bioinformatica.mty.itesm.mx/sites/default/files/Tutorial.pdf
>
>
>
> Does a simple regression optimization, shows the fitness function and
that's about all there is to it.
>
>
>
> In analogy to this, the sharpe, max pnl, pnl per trade or whatever can be
implemented.
>
>
>
> On Wed, Sep 12, 2012 at 7:40 AM, Dave <miniflowtrader at gmail.com> wrote:
>
> Did not find anything involving parameter optimization.
>
>
>
> From: ustaudinger at gmail.com [mailto:ustaudinger at gmail.com] On Behalf
> Of Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:09 AM
> To: Dave
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize
> Parameters
>
>
>
>
> Dear Dave.
>
>
>
> You didn't even try googling for "galgo R example", did you?
>
>
>
>
>
> Kind regards,
>
> Ulrich
>
>
>
>
>
> On Tue, Sep 11, 2012 at 10:07 PM, Dave <miniflowtrader at gmail.com> wrote:
>
> Hello all,
>
>
>
> Would it be possible for someone to post a simple code example using
Galgo.
> Optimization could be based on Sharpe Ratio or another one of your choice.
> Just some simple code on how one might set this up.
>
>
>
> Thanks!
>
>
>
> Dave
>
>
>
>
> [[alternative HTML version deleted]]
>
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>
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>
>
> --
>
> Ulrich Staudinger
>
>
>
> http://www.activequant.com
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
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>
> [[alternative HTML version deleted]]
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--
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @portfolioprobe
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