Best software for finding best asset for a certain strategy

M

MrAgi1

In softwares like strategyquant(which I just came across), you select an asset(currency or stock) and it scans for profitable strategies out of thousands of strategies, to find out which strategy would have been best for that asset.

How about the reverse? I am looking for a software that you build/select a strategy and it searches through multiple assets(tens of currencies and thousands of stocks) simultaneously to find out which asset would have been the most profitable using those strategies.

What I described is similar to a backtester. However backtesters(like MetaTrader) is one strategy to one underlying at a time.


Do you of any such a softwares? Preferably with at least a free trial.
 
MrAgi1 said:
In softwares like strategyquant(which I just came across), you select an asset(currency or stock) and it scans for profitable strategies out of thousands of strategies, to find out which strategy would have been best for that asset.

How about the reverse? I am looking for a software that you build/select a strategy and it searches through multiple assets(tens of currencies and thousands of stocks) simultaneously to find out which asset would have been the most profitable using those strategies.

What I described is similar to a backtester. However backtesters(like MetaTrader) is one strategy to one underlying at a time.


Do you of any such a softwares? Preferably with at least a free trial.
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Best automated over fitted data miner?

GAT
 
You would need a lot of RAM on PC. Probably at least 1TB (Terabyte) RAM to do the search. Then you need a C++ written software to do so. There are many no coding backtesting software around. You can just google search on it. Of course you also need all the data (to be imported), which is also a lot time consuming.
 
The only way I could see being able to realistically do this is with AWS or Azure.
Have a DB of prices and then brute force data mine across the whole space and if it isn't going fast enough then pay for more compute.
It wouldn't be cheap for the compute though and I don't think it would be of much value.
 
nrstrader said:
The only way I could see being able to realistically do this is with AWS or Azure.
Have a DB of prices and then brute force data mine across the whole space and if it isn't going fast enough then pay for more compute.
It wouldn't be cheap for the compute though and I don't think it would be of much value.
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Yeah once again I messed up. Another useless question/idea from me.
Thinking about it again it’s difficult to execute and it’s disadvantages far outweigh any potential benefit.
Like @globalarbtrader wrote, it’s indeed curve fitting.
 
MrAgi1 said:
Yeah once again I messed up. Another useless question/idea from me.
Thinking about it again it’s difficult to execute and it’s disadvantages far outweigh any potential benefit.
Like @globalarbtrader wrote, it’s indeed curve fitting.
More...

Instead of curve fitting individually best instrument/stock for any strategy or vice-versa, perhaps there's a software to find best combination of strategies(not assets which tend to be correlated) to lower downside risk...
 
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Gazillionaire said:
Instead of curve fitting individually best instrument/stock for any strategy or vice-versa, perhaps there's a software to find best combination of strategies(not assets which tend to be correlated) to lower downside risk...
More...
Thanks a lot. Those videos were useful.
 
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While this could work, it probably isn't a good way to find a strategy. Any random nonsense strategy is likely to have a good backtest on at least some assets just by chance, and just because it was good on those doesn't tell you much of anything about future performance.

The good news about automated strategy searching is that you can also backtest your strategy for finding a strategy. I would suggest reading up on walkforward testing.
 
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