Thanks folks!

After digging further on the Internet, I have the following questions:

Q1: I read the following article:

http://cran.r-project.org/web/packages/DEoptim/vignettes/DEoptimPortfolioOptimization.pdf

It seems that there are a bunch of parameters in this optimizer and the
results are sensitive to these parameters.

So there is another layer of optimization with respect to these optimizer
parameters.

Is the "tweaking" of these optimizer parameters data-mining, which will
lead to data-snooping bias?

Q2: Due to the random nature of the optimizer, each time you run the
backtest, you will have different performance.

What do you do in that case?

So for out-of-sample real-trading, we are trading a random strategy?

Q3: It's pretty easy to understand using Genetic Algorithms to serve as a
replacement for regular optimizers;

but using Genetic Algorithms to evolve trading strategies seem to be
different. Anywhere we could find such an example in R?




On Thu, Mar 8, 2012 at 8:25 AM, Zachary Mayer <zach.mayer@gmail.com> wrote:

> There is the DEoptim<http://cran.r-project.org/web/packages/DEoptim/index.html>library in r, which is an excellent library for differential evolution.  If
> you can define your trading strategy in terms of a bunch of parameters to
> adjust and an objective function (i.e. turn it into an optimization
> problem), DEoptim will help you find the minimum (or maximum).
>
> DEoptim works well on non-differentiable problems with many local minima.
>  Here is an example of using it to solve a portfolio optimization problem:
>
> http://cran.r-project.org/web/packages/DEoptim/vignettes/DEoptimPortfolioOptimization.pdf
>
>
>
> On Thu, Mar 8, 2012 at 12:43 AM, Sofian Hadiwijaya <reztinpeace@gmail.com>wrote:
>
>> how about quantmod library..
>>
>> On Wed, Mar 7, 2012 at 10:30 PM, Michael <comtech.usa@gmail.com> wrote:
>>
>> > Hi all, Good morning, good afternoon and good evening!
>> >
>> > Could anybody please kindly point me to resources in R which shows about
>> > how to use Genetic algorithm to evolve trading strategies?
>> >
>> > I did a lot search on Google these days and certainly it's a
>> well-covered
>> > and popular topic, but I don't see anywhere in R...
>> >
>> > Thanks a lot!
>> >
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