Gianluca Malato
1 min readSep 29, 2019

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First of all, no algorithm can provide a global minimum. There are many useful algorithms, but there isn’t a guaranteed solution. Second, you don’t actually want to maximize portfolio performances, because it will lead you to overfit. What you really want is a reasonably high value of the Sharpe ratio but not necessarily the highest one. That’s the useful result of genetic algorithms.

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Gianluca Malato
Gianluca Malato

Written by Gianluca Malato

Theoretical Physicists, Data Scientist and fiction author. I teach Data Science, statistics and SQL on YourDataTeacher.com. E-mail: gianluca@gianlucamalato.it

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