Differential Evolution Optimization

I have been getting to grips with the tidy LSPM package from the folks at FOSS trading. One of the issues I needed to understand better was the optimization methods used by LSPM – I was finding that the optimizations were taking huuuuge amounts of time and were...

Multi-Objective Optimization – 2D Decision Space

As promised in this previous post, Optimization With Multiple Objectives, here is a quick look at a pareto-optimum solution for 2 objective functions when there are 2 decision variables instead of just 1. As in my previous example I model MAR ratio and Sharpe ratio as...

Multiple Objectives – Pareto Optimum Solutions

Prompted by an interesting topic raised by “Sluggo” of the “TradingBlox Trader’s Roundtable”, I took a side trip into the topic of optimizing for multiple objectives. In the context of trading system design the issue is driven by the...

Harmony Search Algorithm – How Does It Work?

I presented the Harmony Search Algorithm, a genetic search optimization algorithm in a previous post. I now want to investigate in more depth how it behaves and why. Overview I will start by looking at an extremely simple hypothetical to get a sense of the mechanics...