JuDO-dev / AirBorne.jl

AirBorne a complete algorithmic trading framework in Julia.
http://judo.dev/AirBorne.jl/
MIT License
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Add StrategyOptimization feature #89

Open brunocastroibarburu94 opened 1 year ago

brunocastroibarburu94 commented 1 year ago

Problem statement: We want to be able to get optimal values for a strategy given a market, an engine and an objective function

TODO: define how the objective function would look like.

Try to do it as generic as possible

Design comments

As an expansion on a later ticket add more data types like arrays, string enums etc.

brunocastroibarburu94 commented 1 year ago

This endeavour may take a couple of weeks to implement properly. In particular the definition of the objective function for it to be robust. It may be a good idea to leave it for the next student, discuss with @LucianNita on next meeting.

brunocastroibarburu94 commented 1 year ago

It will added for release 0.2.0