论文标题

协作多目标进化算法,以搜索更好的帕累托前沿。交易系统的应用

Collaborative Multiobjective Evolutionary Algorithms in search of better Pareto Fronts. An application to trading systems

论文作者

Soltero, Francisco J., Fernández-Blanco, Pablo, Hidalgo, J. Ignacio

论文摘要

技术指标通过将各种数学公式应用于财务时间序列的价格来使用数据集的图形表示。这些公式包括一组规则和参数,其价值不一定是已知的,并取决于许多因素:其运营的市场,时间窗口的大小等。本文着重于用于分析数据的分析时间序列的参数的实时优化。特别是,我们优化了技术和财务指标的参数,并提出了其他应用,例如葡萄糖时间序列。我们提出了几种多目标进化算法(MOEAS)的组合。与其他方法不同,本文应用了一组不同的MOEAS,协作以构建全球帕累托解决方案。财务问题的解决方案寻求高风险的高回报。优化过程是连续的,并且与投资时间间隔相同。该技术允许同时使用不同MOEAS获得的非主导溶液应用。实验结果表明,这项技术增加了常用的购买\&Hold策略和其他多目标策略的回报,即使对于日常操作也是如此。

Technical indicators use graphic representations of data sets by applying various mathematical formulas to financial time series of prices. These formulas comprise a set of rules and parameters whose values are not necessarily known and depend on many factors: the market in which it operates, the size of the time window, and others. This paper focuses on the real-time optimization of the parameters applied for analyzing time series of data. In particular, we optimize the parameters of technical and financial indicators and propose other applications, such as glucose time series. We propose the combination of several Multi-objective Evolutionary Algorithms (MOEAs). Unlike other approaches, this paper applies a set of different MOEAs, collaborating to construct a global Pareto Set of solutions. Solutions for financial problems seek high returns with minimal risk. The optimization process is continuous and occurs at the same frequency as the investment time interval. This technique permits the application of non-dominated solutions obtained with different MOEAs simultaneously. Experimental results show that this technique increases the returns of the commonly used Buy \& Hold strategy and other multi-objective strategies, even for daily operations.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源