Example using Galgo to Optimize Parameters

classic Classic list List threaded Threaded
7 messages Options
Reply | Threaded
Open this post in threaded view
|

Example using Galgo to Optimize Parameters

Dave-2
Hello all,

 

Would it be possible for someone to post a simple code example using Galgo.
Optimization could be based on Sharpe Ratio or another one of your choice.
Just some simple code on how one might set this up.

 

Thanks!

 

Dave

 


        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Example using Galgo to Optimize Parameters

Ulrich Staudinger-4
Dear Dave.

You didn't even try googling for "galgo R example", did you?


Kind regards,
Ulrich



On Tue, Sep 11, 2012 at 10:07 PM, Dave <[hidden email]> wrote:

> Hello all,
>
>
>
> Would it be possible for someone to post a simple code example using Galgo.
> Optimization could be based on Sharpe Ratio or another one of your choice.
> Just some simple code on how one might set this up.
>
>
>
> Thanks!
>
>
>
> Dave
>
>
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>



--
Ulrich Staudinger

<http://goog_958005736>http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Example using Galgo to Optimize Parameters

Dave-2
Did not find anything involving parameter optimization.

 

From: [hidden email] [mailto:[hidden email]] On Behalf Of Ulrich Staudinger
Sent: Wednesday, September 12, 2012 1:09 AM
To: Dave
Cc: [hidden email]
Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters

 

Dear Dave.

 

You didn't even try googling for "galgo R example", did you?

 

 

Kind regards,

Ulrich

 

 

On Tue, Sep 11, 2012 at 10:07 PM, Dave <[hidden email]> wrote:

Hello all,



Would it be possible for someone to post a simple code example using Galgo.
Optimization could be based on Sharpe Ratio or another one of your choice.
Just some simple code on how one might set this up.



Thanks!



Dave




        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.







--

Ulrich Staudinger



http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger


        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Example using Galgo to Optimize Parameters

Ulrich Staudinger-4
what about section 7.4 in the Galgo tutorial?
http://bioinformatica.mty.itesm.mx/sites/default/files/Tutorial.pdf

Does a simple regression optimization, shows the fitness function and
that's about all there is to it.

In analogy to this, the sharpe, max pnl, pnl per trade or whatever can be
implemented.


On Wed, Sep 12, 2012 at 7:40 AM, Dave <[hidden email]> wrote:

> Did not find anything involving parameter optimization.
>
>
>
> From: [hidden email] [mailto:[hidden email]] On Behalf Of
> Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:09 AM
> To: Dave
> Cc: [hidden email]
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters
>
>
>
> Dear Dave.
>
>
>
> You didn't even try googling for "galgo R example", did you?
>
>
>
>
>
> Kind regards,
>
> Ulrich
>
>
>
>
>
> On Tue, Sep 11, 2012 at 10:07 PM, Dave <[hidden email]> wrote:
>
> Hello all,
>
>
>
> Would it be possible for someone to post a simple code example using Galgo.
> Optimization could be based on Sharpe Ratio or another one of your choice.
> Just some simple code on how one might set this up.
>
>
>
> Thanks!
>
>
>
> Dave
>
>
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
>
>
>
>
>
>
> --
>
> Ulrich Staudinger
>
>
>
> http://www.activequant.com
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>



--
Ulrich Staudinger

<http://goog_958005736>http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger

        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Example using Galgo to Optimize Parameters

Dave-2
I think that should do it.

 

Thank you!

 

From: [hidden email] [mailto:[hidden email]] On Behalf Of Ulrich Staudinger
Sent: Wednesday, September 12, 2012 1:51 AM
To: Dave
Cc: [hidden email]
Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters

 

what about section 7.4 in the Galgo tutorial?

http://bioinformatica.mty.itesm.mx/sites/default/files/Tutorial.pdf

 

Does a simple regression optimization, shows the fitness function and that's about all there is to it.

 

In analogy to this, the sharpe, max pnl, pnl per trade or whatever can be implemented.

 

On Wed, Sep 12, 2012 at 7:40 AM, Dave <[hidden email]> wrote:

Did not find anything involving parameter optimization.



From: [hidden email] [mailto:[hidden email]] On Behalf Of Ulrich Staudinger
Sent: Wednesday, September 12, 2012 1:09 AM
To: Dave
Cc: [hidden email]
Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters




Dear Dave.



You didn't even try googling for "galgo R example", did you?





Kind regards,

Ulrich





On Tue, Sep 11, 2012 at 10:07 PM, Dave <[hidden email]> wrote:

Hello all,



Would it be possible for someone to post a simple code example using Galgo.
Optimization could be based on Sharpe Ratio or another one of your choice.
Just some simple code on how one might set this up.



Thanks!



Dave




        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.







--

Ulrich Staudinger



http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger


        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.







--

Ulrich Staudinger



http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger


        [[alternative HTML version deleted]]

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Example using Galgo to Optimize Parameters

Patrick Burns-2
Dave,

If you don't know them, you may be interested in:

http://www.portfolioprobe.com/2012/07/23/a-comparison-of-some-heuristic-optimization-methods/

http://www.portfolioprobe.com/2012/08/20/another-comparison-of-heuristic-optimizers/

But I didn't know about Galgo.

Pat

On 12/09/2012 07:34, Dave wrote:

> I think that should do it.
>
>
>
> Thank you!
>
>
>
> From: [hidden email] [mailto:[hidden email]] On Behalf Of Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:51 AM
> To: Dave
> Cc: [hidden email]
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters
>
>
>
> what about section 7.4 in the Galgo tutorial?
>
> http://bioinformatica.mty.itesm.mx/sites/default/files/Tutorial.pdf
>
>
>
> Does a simple regression optimization, shows the fitness function and that's about all there is to it.
>
>
>
> In analogy to this, the sharpe, max pnl, pnl per trade or whatever can be implemented.
>
>
>
> On Wed, Sep 12, 2012 at 7:40 AM, Dave <[hidden email]> wrote:
>
> Did not find anything involving parameter optimization.
>
>
>
> From: [hidden email] [mailto:[hidden email]] On Behalf Of Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:09 AM
> To: Dave
> Cc: [hidden email]
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters
>
>
>
>
> Dear Dave.
>
>
>
> You didn't even try googling for "galgo R example", did you?
>
>
>
>
>
> Kind regards,
>
> Ulrich
>
>
>
>
>
> On Tue, Sep 11, 2012 at 10:07 PM, Dave <[hidden email]> wrote:
>
> Hello all,
>
>
>
> Would it be possible for someone to post a simple code example using Galgo.
> Optimization could be based on Sharpe Ratio or another one of your choice.
> Just some simple code on how one might set this up.
>
>
>
> Thanks!
>
>
>
> Dave
>
>
>
>
>          [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>
>
>
>
>
>
>
> --
>
> Ulrich Staudinger
>
>
>
> http://www.activequant.com
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
>
>
>          [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>
>
>
>
>
>
>

--
Patrick Burns
[hidden email]
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @portfolioprobe

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.
Reply | Threaded
Open this post in threaded view
|

Re: Example using Galgo to Optimize Parameters

Dave-2
Great post!

Thanks for sharing.

-----Original Message-----
From: Patrick Burns [mailto:[hidden email]]
Sent: Wednesday, September 12, 2012 3:17 AM
To: Dave; [hidden email]
Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize Parameters

Dave,

If you don't know them, you may be interested in:

http://www.portfolioprobe.com/2012/07/23/a-comparison-of-some-heuristic-opti
mization-methods/

http://www.portfolioprobe.com/2012/08/20/another-comparison-of-heuristic-opt
imizers/

But I didn't know about Galgo.

Pat

On 12/09/2012 07:34, Dave wrote:

> I think that should do it.
>
>
>
> Thank you!
>
>
>
> From: [hidden email] [mailto:[hidden email]] On Behalf
> Of Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:51 AM
> To: Dave
> Cc: [hidden email]
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize
> Parameters
>
>
>
> what about section 7.4 in the Galgo tutorial?
>
> http://bioinformatica.mty.itesm.mx/sites/default/files/Tutorial.pdf
>
>
>
> Does a simple regression optimization, shows the fitness function and
that's about all there is to it.
>
>
>
> In analogy to this, the sharpe, max pnl, pnl per trade or whatever can be
implemented.

>
>
>
> On Wed, Sep 12, 2012 at 7:40 AM, Dave <[hidden email]> wrote:
>
> Did not find anything involving parameter optimization.
>
>
>
> From: [hidden email] [mailto:[hidden email]] On Behalf
> Of Ulrich Staudinger
> Sent: Wednesday, September 12, 2012 1:09 AM
> To: Dave
> Cc: [hidden email]
> Subject: Re: [R-SIG-Finance] Example using Galgo to Optimize
> Parameters
>
>
>
>
> Dear Dave.
>
>
>
> You didn't even try googling for "galgo R example", did you?
>
>
>
>
>
> Kind regards,
>
> Ulrich
>
>
>
>
>
> On Tue, Sep 11, 2012 at 10:07 PM, Dave <[hidden email]> wrote:
>
> Hello all,
>
>
>
> Would it be possible for someone to post a simple code example using
Galgo.

> Optimization could be based on Sharpe Ratio or another one of your choice.
> Just some simple code on how one might set this up.
>
>
>
> Thanks!
>
>
>
> Dave
>
>
>
>
>          [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
should go.

>
>
>
>
>
>
>
> --
>
> Ulrich Staudinger
>
>
>
> http://www.activequant.com
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
>
>
>          [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
should go.
>
>
>
>
>
>
>

--
Patrick Burns
[hidden email]
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @portfolioprobe

_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.