Algorithmic Trading Systems and Strategies: A New Approach: Design, Build, and Maintain an Effective Strategy Search Mechanism

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2024

V. DolzhenkoAlgorithmic Trading Systems and Strategies: A New Approachhttps://doi.org/10.1007/979-8-8688-0357-4_6

6. Optimization Algorithms

Viktoria Dolzhenko¹  

(1)

San Jose, Costa Rica

 

One of the key modules of our system is the optimization algorithm module, which searches for and optimizes strategies in the strategy search subsystem.

Our task of finding a profitable strategy has several features such as nonlinearity, multiextremality, complete absence of analytical expression, high dimension of the search space, and high computational complexity of the optimized function. All of these features explain why there is no universal algorithm for solving the ...