Add automatic (probably genetic) cost function - Githubissues

sidorovis / stsc

Simulated Trading Strategies Creator

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Add automatic (probably genetic) cost function #5

Closed sidorovis closed 10 years ago

sidorovis commented 10 years ago

Cost function for comparing Trading Strategies should be clever :)

hints: Multi-dimensional Optimization Multi-parameter Optimization

http://en.wikipedia.org/wiki/Multi-criteria_decision_making http://fiicm2pc43.tu-graz.ac.at/IICM-papers/Maurer_Linear_Ordering.pdf

sidorovis commented 10 years ago

http://ru.wikipedia.org/wiki/%D0%90%D0%BB%D0%B3%D0%BE%D1%80%D0%B8%D1%82%D0%BC_%D0%9C%D0%B5%D1%82%D1%80%D0%BE%D0%BF%D0%BE%D0%BB%D0%B8%D1%81%D0%B0_%E2%80%94_%D0%93%D0%B0%D1%81%D1%82%D0%B8%D0%BD%D0%B3%D1%81%D0%B0

sidorovis commented 10 years ago

http://en.wikipedia.org/wiki/Pareto_efficiency

sidorovis commented 10 years ago

http://en.wikipedia.org/wiki/Multiobjective_optimization http://ru.wikipedia.org/wiki/%D0%9C%D0%BD%D0%BE%D0%B3%D0%BE%D0%BA%D1%80%D0%B8%D1%82%D0%B5%D1%80%D0%B8%D0%B0%D0%BB%D1%8C%D0%BD%D0%B0%D1%8F_%D0%BE%D0%BF%D1%82%D0%B8%D0%BC%D0%B8%D0%B7%D0%B0%D1%86%D0%B8%D1%8F

sidorovis commented 10 years ago

package cost.functions

Paretto
Lexicographical
ScalarAdditive (WeightedSum)
ScalarMultiplicative (WeightedProduct)
MaximumLikelihood
BayesianProbability
DesirabilityFunctions (http://optibrium.com/downloads/MPO_review_preprint.pdf)
evolution cost function ??? see:

http://en.wikipedia.org/wiki/Weighted_product_model http://ru.wikipedia.org/wiki/%D0%A1%D0%BA%D0%B0%D0%BB%D1%8F%D1%80%D0%BD%D0%BE%D0%B5_%D1%80%D0%B0%D0%BD%D0%B6%D0%B8%D1%80%D0%BE%D0%B2%D0%B0%D0%BD%D0%B8%D0%B5 http://en.wikipedia.org/wiki/Bayesian_probability http://en.wikipedia.org/wiki/Optimality_criterion

sidorovis commented 10 years ago

Think about adding another type of searcher with Paretto/Lexicographical/ScalarMultiplicative .. equal functions (Comparator for statistics class).