[R-SIG-Finance] Example using Galgo to Optimize Parameters
Patrick Burns
patrick at burns-stat.com
Wed Sep 12 09:16:42 CEST 2012
Dave,
If you don't know them, you may be interested in:
http://www.portfolioprobe.com/2012/07/23/a-comparison-of-some-heuristic-optimization-methods/
http://www.portfolioprobe.com/2012/08/20/another-comparison-of-heuristic-optimizers/
But I didn't know about Galgo.
Pat
On 12/09/2012 07:34, Dave wrote:
> I think that should do it.
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> Thank you!
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> 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
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> Does a simple regression optimization, shows the fitness function and that's about all there is to it.
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> In analogy to this, the sharpe, max pnl, pnl per trade or whatever can be implemented.
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> On Wed, Sep 12, 2012 at 7:40 AM, Dave <miniflowtrader at gmail.com> wrote:
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> Did not find anything involving parameter optimization.
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>
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> 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
>
>
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>
> Dear Dave.
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> You didn't even try googling for "galgo R example", did you?
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> Kind regards,
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> Ulrich
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> On Tue, Sep 11, 2012 at 10:07 PM, Dave <miniflowtrader at gmail.com> wrote:
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> Hello all,
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> 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.
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> Thanks!
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>
> Dave
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> [[alternative HTML version deleted]]
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> --
>
> Ulrich Staudinger
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> http://www.activequant.com
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
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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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