I would suggest reading this for anyone interested in evolutionary algorithms, also I would recommend reading a few of kozas books or his other research - they are really worth reading for anyone interested in evolutionary algos. url I somehow ...

Systematic trading

Yes, only 1 min data and no, I don't process it. I also always use the most pessimistic version of the possible event, for example if the same candle hits my open and sl, I don't guess, I always close it with loss. The same thing with spikes. It's ...

Systematic trading

Some stuff from today.. Found a few more bugs from the algo generation that affected the results wrong way. So no covariance filter added, pre 2005 is again in-sample and after that out-sample. I also added some more algorithmic variations to the ...

Systematic trading

.. The first random pictures were random variations of a very simple algo, the later ones are not. I have used parse trees (as in lisp) in the past with some genetic variations but ... They do curvefit a lot So now I have restricted the search to ...

Systematic trading

I understand what you mean very well but without covariance filter there will be too many very similar algos and that's not what I want. edit: just to clarify, I meant covariance between algos, not covariance with pair.

Systematic trading

Of course, the first results seemed absurdly good so it was very hard to believe them. By combined curve I meant filtering by combined curve of all pairs and yes, it will overfit very easily. It's also important to note that this is only few days ...

Systematic trading

Here is an example of using a combined curve instead of requiring algo to work on all pairs separately. Anyone notice anything different? (pre 2005 is the training period)

Systematic trading

Okay here is how it looks after I corrected the bug - this is still pretty crude, there is no covariance optimization or anything like that but still, in-sample (pre 2005) and out sample look quite the same. Lots of more volatility now - this run is ...

Systematic trading

I think it's the power of simplicity and the fact that I dump all algos that don't work on all the pairs I test with. I'm still unsure about the results, this kind of testing is always problematic because I have done some really serious caching so ...

Systematic trading

Sorry but this is getting a bit too specific.

Systematic trading

I'm doing both.

Systematic trading

Here is one more screenshot from the testing platform - I want to show something here. This is 2009 data (a hard year by all aspects), this simulation uses algos filtered by their properties during 2001 - 2005-1-1 (eurusd, gbpusd, usdjpy, usdchf) - ...

Systematic trading

I have been quite busy Here is one of the first runs [edit:updated a new pic] with testing/verification period separated. All algos are random variations of something I know works and are tested/filtered using pre 2005 data, curve >= 2005 is so ...

Systematic trading

Yes, that is java, I just open a window (jframe/jpanel in java) and use the basic graphics functions to draw everything. The best place to start is suns Java tutorial, url and url

Systematic trading

Little bit more eyecandy with random variation of some algos for 4 pairs, I'm wondering what stats are relevant to the full picture - maybe sortino - but this is already quite good. So the next step in my plan is to run gazillions of algos for ...

Systematic trading

This was posted to another thread (behind price-orderflow, url ), research about various things including market microstructure and seems worth reading. http://people.brandeis.edu/~cosler/ (research-link)

Systematic trading

I was cleaning and going through some old piles I had taken from from the office and found this, it's worth reading for everyone who haven't seen it. (pdf download at download link) url

Systematic trading

I have been trading manually book open [IB] and I would claim that you can see s/r levels from book data (there is a huge concentration of orders sitting there). What I'm interested if there is an edge in there and how big the order deviation must ...

Systematic trading

I totally agree with this - there are no shortcuts. I have been trading a little less than 10 years [I did my first genetic algo test some 8 years ago or something, my computer ran about 100% for 2 weeks or soemthing] and founded 2 companies and ...

Systematic trading

Ok, I haven't read the papers.. Basically order book tells everything assuming all/most orders are entered via pending orders. It would be very interesting to do some data mining based on longer term book data [especially s/r levels].

Systematic trading