optimize: Optimize Portfolio Optimization

In chrishaarstick/madstork.opt: MadStork Portfolio Optimization

Description

Executes optimize routine on porfolio optimization object

Usage

optimize(obj, n_pairs, amount, lot_size = 1, max_iter = 10,
  max_runtime = 300, improve_lag = 2, min_improve = 0.001,
  plot_iter = TRUE)

Arguments

obj	portfolio optimization object to optimize
n_pairs	number of trade pairs consider for each optimization step
amount	trade amount
lot_size	minimum share lot size
max_iter	maximum number of iterations
max_runtime	max runtime in seconds
improve_lag	number of iterations lags to compare min improvement against
min_improve	minimum improvement of current iteration over improve_lag. if not met, routine stopped
plot_iter	logical option to plot interative results

Value

updated portfolio optimization object

chrishaarstick/madstork.opt documentation built on Nov. 12, 2019, 9:39 p.m.