Programs that find systems - Trading Reviews and Vendors | futures io social day trading
futures io futures trading


Programs that find systems
Updated: Views / Replies:2,834 / 5
Created: by dryg Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Programs that find systems

  #1 (permalink)
Trading Apprentice
France
 
Futures Experience: Intermediate
Platform: Metastock
Favorite Futures: ES, EC, QM, GLD, SPY, QQQ
 
Posts: 32 since May 2012
Thanks: 5 given, 15 received

Programs that find systems

I recently discovered that there are some programs that find systems and also write code. I thought the idea was excellent and I downloaded one called Adaptrade. This program runs fine and crashes only occasionally but I wasted two free weeks of testing trying every possible combination of metrics, settings, etc. with no results. The system code would reveal random systems, most with complicated exits based on triangular MAs or functions of ATR that obviously attempted to fit price series. Most, if not 100% of the trading systems involved very simple entries and that alone made me skeptical about this product. This is example code for ES daily futures for a system that had best performance:

 
Code
{ Strategy inputs }
Inputs: NL1 (97),
        NL2 (43),
        NS1 (5),
        TargFrL (2.0242),
        MMStopSz (1490.00),
        NATRTargS (54),
        TargFrS (1.2240),
        PSParam (1.00),
        RoundPS (true),
        RoundTo (1),
        SizeLimit (100);

{ Variables for average true range for entry and exit orders }
Var:    ATRTargS (0);

{ Variables for entry and exit prices }
Var:    TargPrL  (0),
        TargPrS  (0);

{ Variables for entry and exit conditions }
Var:    EntCondL  (false),
        EntCondS  (false);

{ Variables for position sizing }
Var:    NShares  (0);

{ Average true range }
ATRTargS = AvgTrueRange(NATRTargS);

{ Entry and exit conditions }
EntCondL = Volume crosses above Average(Average(Volume, NL1), NL2);
EntCondS = DayOfWeek(date) = NS1;

{ Position sizing calculations }
NShares = PSParam;

If RoundPS and RoundTo > 0 then
   NShares = IntPortion(NShares/RoundTo) * RoundTo;

NShares = MinList(NShares, SizeLimit);

{ Entry orders }
If MarketPosition = 0 and EntCondL then begin
   Buy("EnMark-L") NShares shares next bar at market;
end;

If MarketPosition = 0 and EntCondS then begin
   Sell short("EnMark-S") NShares shares next bar at market;
end;

{ Exit orders, long trades }
If MarketPosition > 0 then begin

   TargPrL = EntryPrice + TargFrL * TrueRange;
   Sell("ExTarg-L") next bar at TargPrL limit;
end;

{ Exit orders, short trades }
If MarketPosition < 0 then begin

   TargPrS = EntryPrice - TargFrS * ATRTargS;
   Buy to cover("ExTarg-S") next bar at TargPrS limit;
end;

SetStopShare;
SetStopLoss(MMStopSz);
Does this make sense to you? Have you tried any other similar products? Is there any value in using them?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Banned: Repeated promotion of vendor site in numerous posts
London
 
Futures Experience: Intermediate
Platform: Amibroker, Multicharts
Favorite Futures: ES
 
Timot's Avatar
 
Posts: 26 since May 2011
Thanks: 20 given, 8 received


I just downloaded Multicharts and Price Action Lab. The latter finds patterns and writes EL code you can use in Multicharts. I have tried it before but I did not have a lot of time to play with it then. I think patterns of this kind have more chances than indicators and data mining bias is decreased a lot since all patterns depend on OHLC only. I think genetic programming is a fancy term for curve-fitting. At least this is the purpose we used it for in college. I have heard that most hedge funds have given up on neural networks and genetic programming and now are using other methods for finding edges. Someone I know who worked for an investment bank before told me that genetic programming was a disaster for them. Maybe some fuzzy logic expert systems are better for this task.


Last edited by Timot; May 12th, 2012 at 10:59 AM.
Reply With Quote
 
  #4 (permalink)
Elite Member
desert CA
 
Futures Experience: Intermediate
Platform: NT7, TOS
Broker/Data: AMP/wCQG, TDA
Favorite Futures: CL,YM
 
Posts: 2,027 since Jul 2011
Thanks: 2,211 given, 1,549 received

Interesting to hear that example of hedge funds dropping neural networks and genetic algorithms. Makes me wonder what those in charge of those MFGlobal and JPMorgan overleveraged failed bets based their trades/hedges on. Now all they need to do is to simulate a trader with panic monkey mode and overleveraging and averaging in until margin called haha.

I guess one could make another ol'/new system by using ATR and combining conditions with one or a few of hundreds of varying oscillators, indicators, or MA crosses. Could you backtest the systems your strategy generator came up with dryg?

Reply With Quote
 
  #5 (permalink)
Banned: Repeated promotion of vendor site in numerous posts
London
 
Futures Experience: Intermediate
Platform: Amibroker, Multicharts
Favorite Futures: ES
 
Timot's Avatar
 
Posts: 26 since May 2011
Thanks: 20 given, 8 received

After spending many days and nights testing Adaptrade I was not able to find a single system that after testing profitable in the out of sample, continued to be profitable in paper trading mode. What a waste of time. That software is just a curve-fitting optimizer.

Reply With Quote
 
  #6 (permalink)
Trading Apprentice
France
 
Futures Experience: Intermediate
Platform: Metastock
Favorite Futures: ES, EC, QM, GLD, SPY, QQQ
 
Posts: 32 since May 2012
Thanks: 5 given, 15 received


Cloudy View Post
Interesting to hear that example of hedge funds dropping neural networks and genetic algorithms. Makes me wonder what those in charge of those MFGlobal and JPMorgan overleveraged failed bets based their trades/hedges on. Now all they need to do is to simulate a trader with panic monkey mode and overleveraging and averaging in until margin called haha.

I guess one could make another ol'/new system by using ATR and combining conditions with one or a few of hundreds of varying oscillators, indicators, or MA crosses. Could you backtest the systems your strategy generator came up with dryg?

I gave up on genetic programming. The results look like permutations of some kind. I am working now towards developing something along the lines of Price Action Lab. Just OHLC patterns with a a couple more indicators.

Reply With Quote

Reply



futures io > > > Programs that find systems

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
What programs have you bought? Confess longboat Trading Reviews and Vendors 147 August 26th, 2017 05:24 PM
"Buy Programs", "Sell Programs" and PREM Big Mike Traders Hideout 7 September 14th, 2016 08:07 PM
Renko Systems patbateman Elite Automated Trading 80 July 23rd, 2013 07:30 AM
Your thoughts on purchasing "Trading Programs" keving Trading Reviews and Vendors 3 December 14th, 2011 11:28 PM
Same data feed, different programs? josh Reviews of Brokers and Data Feeds 4 January 19th, 2011 02:18 PM


All times are GMT -4. The time now is 10:44 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-11-22 in 0.09 seconds with 19 queries on phoenix via your IP 54.145.117.60