Ultimate Algorithmic Trading System

Converting Fitness in Terms of Slice Size—Using VBA Excel
'fitness in terms slice size
For l = 0 To 5 'calculate for each of the six chromos
Next l
Fitness(l) = 1 / (1 + FObj(l))
Now that fitness has been redefined in terms of the size of the slice on the
dartboard, we can now calculate the probability of each slice being hit. First off,
let’s calculate the total size of all slices:
0.01389 + 0.01812 + 0.04000 + 0.01961 + 0.00800 + 0.01852 = 0.11814
The dartboard has a total size of 0.11814 units. Don’t worry about the units
because they are not important. Now that we know the size of the chromosomes’
respective slices and we know the total size of the dartboard, we can easily calculate
the probability of a dart hitting the individual slices. This is accomplished by
dividing the size of each chromosome slice by the total size. The probability of each
chromosome slice being hit with a blindfolded monkey are:
Chromosome (0) =0.0139∕0.1182 = 0.1175
Chromosome (1) =0.0182∕0.1182 = 0.1538
Chromosome (2) =0.0400∕0.1182 = 0.3384
Chromosome (3) =0.0196∕0.1182 = 0.1659
Chromosome (4) =0.0080∕0.1182 = 0.0677
Chromosome (5) =0.0185∕0.1182 = 0.1567
Calculate Probability of Being Hit by Dart—Using VBA Excel
'calculate chromo probability of being hit by dart
'accumulate probabilities and store in bins
cumProb = 0#
For l = 0 To 5 'this is a lower case l not a 1
Next l
chromoProb(l) = Fitness(l) / totalFitness
cumProb = cumProb + chromoProb(l)
chromoProbBin(l) = cumProb
Notice how the chromosome that was closest to our solution has a higher
probability of being hit by a dart. Chromosome (2) covers nearly 34 percent of the
dartboard.
The next thing the computer needs to do is construct the dartboard. The pie chart
in Figure 8.3 is a graphical representation of how the computer would internally
construct a dartboard with varying slice or sector sizes.
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