Comments on: Optimize, Quickly! https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/?s_tid=feedtopost Jiro and Sean share favorite user-contributed submissions from the File Exchange. Sat, 07 Jan 2017 02:31:27 +0000 hourly 1 https://wordpress.org/?v=6.2.2 By: Brett https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-14213 Fri, 12 Aug 2011 18:58:30 +0000 https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-14213 Hi Tobias,
I’m not a finance person, but I passed your question by one of our engineers who is. To summarize/paraphrase his response:

It sounds like Tobias is just trying to do a two-variable optimization. FMINCON will do nicely, since Sharpe Ratio surfaces tend to be conveniently convex.

If he’s having issues of integer constraints or multiple maxima, then Global Optimization methods will be better.

In short, you might be able to use GA for that problem, but you’re better off trying something like FMINCON first.

HTH,
Brett

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By: Tobias https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-14210 Wed, 10 Aug 2011 13:38:25 +0000 https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-14210 Hi Brett,

Is it possible to use a genetic algorithm or something for trading application. basically, i have a model which tries to find the optimal sharp ratio based on two inputs of different “Take Profits” and “Stopp Losses”. So far I use two nested for-loops with the inputs ranging from 5 to 100 for each of the two variables.

Would appreciate any help.

Thanks, Tobias

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By: Brett https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-13923 Tue, 09 Nov 2010 02:58:37 +0000 https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-13923 Hi Ehsan,
It appears that your inability to access our website has to do with our OFAC compliance; unfortunately, we are unable at this time to provide content or web access to Iran-based computers.
Best regards,
Brett

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By: Ehsan Heidari https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-13915 Thu, 04 Nov 2010 14:35:40 +0000 https://blogs.mathworks.com/pick/2010/10/29/optimize-quickly/#comment-13915 Dear Brett,
I’m MSc student in control engineering and my area of research is optimization. Unfortunately I live in Iran and I can’t see the webinars. Would you please give me the files of your this post?
I’m waiting for your kind reply.

Best Regards,
Ehsan Heidari
e.heidari2005@gmail.com

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