dysonance / Strategems.jl

Quantitative systematic trading strategy development and backtesting in Julia
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Random Sampling of Parameter Space Combinations #9

Closed dysonance closed 6 years ago

dysonance commented 6 years ago

Instead of running all possible combinations of all parameters in the space, it probably wouldn't be too bad to implement functionality that randomly samples a user-suppled number n parameter combinations from the entire space. Then you could run an optimization much more quickly if desired while still getting a broader span of the parameter space than doing the combinations sequentially.

Should also support an argument that allows setting the seed of the random number generator.

Bonus advantage: could greatly expedite test cases.

dysonance commented 6 years ago

See here for a demo of similar functionality in Quantstrat

dysonance commented 6 years ago

Working on solution here.