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...Harmony Search Algorithm
Trading system optimization, even with a limited set of parameters, involves a huge search space. Harmony Search Optimization solves the problem.
Ian Rayner
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