Global Optimization for unique fitness function
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Hello,
I've searched for similar questions but found nothing.
I'm trying to maximize the sharpe ratio of a strategy. I have parameters for: entry signal, exit signal, signal line parameter (the rsi fcn with discrete inputs), stop-loss, may days held (also discrete). My function takes a n x 1 array of closing prices uses the parameters and calculates the sharpe ratio for returns (derived from the input array) of a strategy based on the rsi signal line for entry and exit.
I cannot find a routine that will perform this optimization. Most routines are f(x) = .... functions that perform on x.
Any suggestions?
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