Ultimate Algorithmic Trading System

The new population after selection is:
Chromosome(0) =[16,05,13,28] =93–40 = 53
Chromosome(1) =[13,08,15,20] =94–40 = 54
Chromosome(2) =[00,20,05,09] =64–40 = 24
Chromosome(3) =[16,05,13,28] =93–40 = 53
Chromosome(4) =[10,30,30,04] =164–40 = 124
Chromosome(5) =[00,20,05,09] =64–40 = 24
The somewhat fit chromosome (3) was discarded and the worst chromosome
(4) was carried over. The fifth worst chromosome (0) was discarded and cloned by
the third best chromosome (5). Chromosome (3) was cloned with the third best
chromosome (5). Chromosome (5) was then discarded and cloned with the best
chromosome (2). The formula tried its best to nudge the computer into making the
right decision, but due to the random component the worst candidate was kept. The
other chromosomes were somewhat upgraded.
■ Reproduction
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GENETIC OPTIMIZATION, WALK FORWARD
Now that we have our parent pool, we can start the reproduction process. Some
of the parents are from the original population and some are clones, and that is
okay. The next step is to pick the parents that will produce offspring. The computer
will allow you to input the cross rate (partner matching probability), and in this
example, 40 percent was used. The computer will randomly generate six numbers
between 0 and 100, and every time a number less than or equal to 40 is generated,
it designates a crossing of two parents. In this example, the computer generated a
random number for each chromosome. Out of the six random numbers, only two
were less than or equal to 40. The random numbers were generated sequentially,
and random number (2) and random number (4) met our criteria and were less than
or equal to 40. With this information, the computer chose chromosome (2) and
chromosome (4) to cross/reproduce.
Crossing Chromosomes/Finding Moms and Pops—Using
VBA Excel
'Determine which chromosomes will cross
'using a .4 or 40% cross rate
crossRate = 0.4
For i = 0 To 5
crossArr(i) = 0
Randomize
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