For those interested 'The Encyclopedia of Trading Strategies' by Katz contains a chapter on GO, they give some basic examples for encoding strategy 'parts' as genomes etc, it would be easy to develop these examples. In the book they also find that ...

Systematic trading

I'm also following the progress.

Systematic trading

It's true that the simpler the idea the more chance it has of overcoming the variance/bias problem, I could just never make it work consistently. I remember back in the day I had an MT4 EA which only used one indicator, I did some back/forward ...

Systematic trading

Fair enough, the results look great, if you are not in fact cherry picking the out of sample runs then you have in essence solved the biggest problem in back testing (i.e. will it work out of sample). Edit: On the subject of algo construction, I ...

Systematic trading

So do you have a preset collection of strategies (breakout etc), which you then permute parameters for, or are you actually constructing algos on the fly?

Systematic trading

This all looks very nice, but I'm still not altogether sure what you mean by 'algorithmic discovery', are you permuting parameters, or are you actually permuting the algorithm? I'll completely understand if you don't want to answer this question

Systematic trading

I assume you have written that stuff in Java? What are you using to draw the graphs? I have a console application written in C#, I have tried porting this to Mono but that project still has a way to go, is it possible to give an old C++ hack some ...

Systematic trading

Here is another blog I read... url This guy has also been developing a trading platform, there are many interesting articles in the archives.

Systematic trading

I am in a similar position, I get payed spectacularly well for my 'day job', and I simply will not quit until my trading exceeds these income levels consistently and at the moment I have had a pretty flat summer (winter here) so there is still more ...

Systematic trading

Indeed! I have heard conflicting opinions over whether edges exist in book data, some people have said there are none due to the highly nonlinear price impact of orders. But also I have heard via trusted sources that this all all some people do. ...

Systematic trading

I'm sorry dude, but it takes years there is no shortcut, not any lasting one. Speaking only for myself, I've been basically working 2 jobs for 4 years now to get this stuff off the ground, many false starts, endless frustration. I went though all ...

Systematic trading

Most of the strategies in the PLAT papers mentioned above disregard historical price, so for those types of strategy one can visualize a reduced state space. Obviously if we add book data to our existing information, this is not the case.

Systematic trading

That is what I have, strategies don't refer to FIX, only to execution interfaces, this way I can retrofit different execution engines if need be. As I said before, I don't do explicit back-testing, but if I wanted to, once again this would just be a ...

Systematic trading

Are you planning any sort of execution engine?

Systematic trading

Nice, just goes to show that once you have the freedom to really do large scale testing, the sky is the limit! In a certain sense all we are really doing is developing search engines. I'd like to post screen-shots, but it would give away too much. ...

Systematic trading

Excellent post! I have all those papers printed in a pile under my desk, they are very interesting. The problem of course with doing this in forex is that you are only seeing the brokers order book. But I guess it is game on for futures or stocks. I ...

Systematic trading

There is no one way, intuition however is just another word for luck in this game. Most of the very successful traders I know are mechanical, but not all of them, however all of them are very logical, perceptive thinkers.

Regarding the article "Trading As A Business" (Or:Are successful systems automatic?)

I would say that focusing on posters as opposed to threads may be more fruitful, this is what I do anyway, those big threads are 99% crap.

Best Read Threads On FF

This is what I do: url

What Constitutes a Statistically Significant Sample for Back Testing?

I completely agree with everything you have said.

Is "systems-sharing" really a good thing?