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                                                   Use AI optimization (PBIL/Genetic) for walk-forward optimization

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Kiran
2015-04-11 14:14:01


Is there a way to use PBIL/Genetic optimizer with Walk-forward optimization in the Simulator? It seems to support only Exhaustive, which is very time-consuming and not usable.

Also, how do i define a custom formula for the "Metric" for walk-forward optimization? e.g. Sharpe*AnnualReturn?

thanks
Kiran


QuantShare
2015-04-13 02:44:14



Walk-forward optimization is available only using the exhaustive optimization. Also, there is no custom metrics you add there.


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