Absolutely, no argument there. The LSP introduction was somewhat of an eye opener. We did understand some of the problems with correlations and...
Interesting ideas in this thread. Thanks to all contributors. I've just read the introduction paper on LSP. It looks promising and I'm trying to...
Haven't done any real work with CUDA yet but I have read the documentation as well as visited their forum. To gain a large performance boost...
Did a quick search and found a few articles. Even found a few on island/migration GA. From these it seems that the Markov chain analysis is mostly...
Thanks, will do if time permits. The Grefenstette study, even if old, is interesting since they use a meta level GA to optimize GA parameters over...
Donât want to turn this thread into a GA specific thread, but here we go. We started with population sizes recommended by Grefenstette (i.e....
OK, if you say so. In my naivety I thought that a system with high success probability required many samples to be confirmed but only a few to be...
OK, I'll take the bait... My guess is that we all do. People in this thread just don't want put in a lot of work into systems with close to...
Markov Chains as a model for how GA works or used as a trading model? /Hugin
Actually the method we use could be classified as reinforcement learning. Most (?) evolutionary algorithms can use the concept of reinforcement...
If you want a useful answer you need to provide information about the risk of the system. ~25% annually is good if the Sharpe Ratio is >2, not so...
What I say here comes from my experience working with NN some 15 years ago so it may be outdated. Also, our focus then was on feedforward networks...
That's correct, the reason for us to do it this way is to get away from the limitations of the standard textbook NN training algorithms. There are...
We use the GA to tune the weights of the NN (our hybrid models may also include other parameterized stuff). The output from the NN is used in the...
I have read and I like this thread and agree with what is said above. Which technology to use in order to optimize your model is only one part,...
From your performance graph I would agree that the system is I/O bound. I don't know how the Blocks system works with respect to updating data but...
I think Monte Carlo resampling is a good method. We use it as the major decision support tool to decide if a system has any probability of...
Thank you for your comments. I found some research reports related to the topic on the Internet. It seems like the consensus is that that implied...
The background to the question comes from findings when developing an automated equity trading system. When we analyzed the trades generated by...
Thanks Ron, Iâll have a look at it. We have tested a number of simple exit methods (like various trailing stops schemes in combination with hold...
Separate names with a comma.