New article Self-optimization of EA: Evolutionary and genetic algorithms has been published:
article covers the main principles set fourth in evolutionary
algorithms, their variety and features. We will conduct an experiment
with a simple Expert Advisor used as an example to show how our trading
system benefits from optimization. We will consider software programs
that implement genetic, evolutionary and other types of optimization,
and provide examples of application when optimizing a predictor set and
parameters of the trading system.
It is important to define the following for solving the optimization task:
parameters that will be optimized;
optimization criterion — scalar that needs to be maximized/minimized. There can be more than one criterion;
target (objective, fitness) function that will calculate the value of optimization criterion.
A fitness function in our case will consistently implement the following:
forming the initial data frame;
dividing it into train/test;
training the model;
testing the model;
calculating optimization criterion.
Author: Vladimir Perervenko