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Application of differential evolution algorithm for optimization of strategies based on financial time series |
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| Authors: | O.?G.?Monakhov mailto:monakhov@rav.sscc.ru" title=" monakhov@rav.sscc.ru" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,E.?A.?Monakhova,M.?Pant |
| Affiliation: | 1.Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch,Russian Academy of Sciences,Novosibirsk,Russia;2.Department of Applied Science and Engineering,New Technology Block, Saharanpur Campus of IIT, Roorkee,Saharanpur,India |
| Abstract: | An approach for optimization of trading strategies (algorithms) based on indicators of financial markets and evolutionary computation is described. A new version of differential evolution algorithm for the search for optimal parameters of trading strategies for maximization of trading profit is used. The experimental results show that this approach can improve several times the profitability of the trading strategies. |
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