One Rank Cuckoo Search Algorithm with Application to Algorithmic Trading Systems Optimization
Ahmed Shawky Abdelbasir Tawfik, Amr Ahmed Badr, Ibrahim F. Abdel-Rahman · International Journal of Computer Applications · 2013
Cuckoo search is a nature-inspired metaheuristic algorithm, based on the brood parasitism of some cuckoo species, along with Lévy flights random walks.In this paper, a modified version is proposed, where the new solutions generated from the exploration and exploitation phases are combined, evaluated and ranked together, rather than separately in the original algorithm, in addition to imposing a bound by best solutions mechanism to help improve convergence rate and performance.The proposed algorithm was tested on a set of ten standard benchmark functions, and applied to a real-world problem of algorithmic trading systems optimization in the financial markets.Experimental analysis demonstrated improved performance in almost all benchmark functions and the problem under study.