4 papers
Equity Strategy Backtesting: Luck or Edge? The MinervaScore as a Statistical Robustness Grade
Maria Laura Santoni, Vincent Jouanne, Matthew L. Scullin
Backtests of trading strategies are often selected after many parameter trials. A strong historical result can therefore reflect search luck rather than a persistent signal. Standa…
MECHBench: A Set of Black-Box Optimization Benchmarks originated from Structural Mechanics
Iván Olarte Rodríguez, Maria Laura Santoni, Fabian Duddeck +3
Benchmarking is essential for developing and evaluating black-box optimization algorithms, providing a structured means to analyze their search behavior. Its effectiveness relies o…
Cascading CMA-ES Instances for Generating Input-diverse Solution Batches
Maria Laura Santoni, Christoph Dürr, Carola Doerr +2
Rather than obtaining a single good solution for a given optimization problem, users often seek alternative design choices, because the best-found solution may perform poorly with…
Illuminating the Diversity-Fitness Trade-Off in Black-Box Optimization
Maria Laura Santoni, Elena Raponi, Aneta Neumann +3
In real-world applications, users often favor structurally diverse design choices over one high-quality solution. It is hence important to consider more solutions that decision mak…