AlphaGen is a framework that allows for optimal strategy search, using a custom genetic algorithm. The repo includes a Robustness Testing framework as well, which serves as a tool for testing the robustness of the evolved strategies, using a list of (statistical) tests.
Head over to the Example.ipynb notebook for a step-by-step guide on how to use the framework.
- Incorporate robustness testing in the genetic algorithm (at least those that can be vectorized)
- Add more (non-parametric) indicators