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Optimizing parameters of algorithm trading strategies using MapReduce

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7 Author(s)
Xiongpai Qin ; Key Lab. Of Data Eng. & Knowledge Eng. (RUC), Beijing, China ; Huiju Wang ; Furong Li ; Jidong Chen
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In algorithm trading, computer algorithms are used to make the decision on the time, quantity, and direction of operations (buy, sell, or hold) automatically. To create a useful algorithm, the parameters of the algorithm should be optimized based on historical data. However, Parameter optimization is a time consuming task, due to the large search space. We propose to search the parameter combination space using the MapReduce framework, with the expectation that runtime of optimization be cut down by leveraging the parallel processing capability of MapReduce. This paper presents the details of our method and some experiment results to demonstrate its efficiency. We also show that a rule based strategy after being optimized performs better in terms of stability than the one whose parameters are arbitrarily preset, while making a comparable profit.

Published in:

Fuzzy Systems and Knowledge Discovery (FSKD), 2012 9th International Conference on

Date of Conference:

29-31 May 2012