by IanRayner | Dec 4, 2020 |
If you are going to use some set of risk-reward measures (such as Sharpe Ratio) to judge investment performance, you need to keep your eyes on the prize: The overall performance of your portfolio, not that of the individual portfolio components.
by IanRayner | Apr 11, 2011 |
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... by IanRayner | Mar 27, 2011 |
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... by IanRayner | Mar 26, 2011 |
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... by IanRayner | Jan 5, 2011 |
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...
