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18 Jan 2011 Mean-variance portfolio optimization using GA and PATTERNSEARCH (A not-too-serious experiment / code sample) Author: Dimitri Shvorob
18 Jan 2011 Mean-variance portfolio optimization using GA and PATTERNSEARCH (A not-too-serious experiment / code sample) Author: Dimitri Shvorob

Amazing work Dimitri. However, I am running it on 2010a and the loop from line 123 takes hours. Really, I cannot see the results. And the elapsed time should not be more than 360 seconds. Have you got a clue of why is it? Best Regards, and thank you very much for your work in this file.
20 Nov 2009 Algorithmic Trading with MATLAB - 2009 update M-file scripts and Simulink models from webinar on 28 May 2009 Author: Michael Weidman

Now I see... it does not use transaction costs: we sholud use:

pnl = ([0;x(2:end).*sig2(1:end-1)]);

instead of:

pnl = ([0;x(2:end).*sig2(1:end-1)-abs(diff(sig2))*0.000028]);

Wasn't it?

Thanks a lot
19 Nov 2009 Algorithmic Trading with MATLAB - 2009 update M-file scripts and Simulink models from webinar on 28 May 2009 Author: Michael Weidman
18 Nov 2009 Algorithmic Trading with MATLAB - 2009 update M-file scripts and Simulink models from webinar on 28 May 2009 Author: Michael Weidman

Dear Aly,

Thanks for this great work. Though, my fault, running callnnpiter with GBPdata1sShort, results are different as in the webinar. The PnL graph shows different (cummulative losses instead of continuous profits). Does someone know why?

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