Genetic programming

[dtrader98]

Quote from Hugin:

Interesting idea using Hurst exponents.

I sometimes find the relationship between market state and the trading model a bit challenging. Should one create a number of models and let the market state enable/disable them or should one try to include the variables describing the state into the trading model? For example to adjust price movements using volatility or add trend measurements in the model.

One thing I like with GA/GP compared to other optimizers is the flexibility, since all you need is a goal function stating if one individual is better than another. This makes it possible to mix integer/real valued variables, enabling us to have one part that makes selection and another for decision making (signal or not).

Hi Hugin,

Most state based models that I've worked with or find in literature/internet fall into the 1st description; i.e. conditional gating or regime modelling, whereby some systems have a better chance of thriving under a certain regime. That is not to say the other approach might not be useful either.

 

[Hugin]

Quote from dtrader98:

Hi Hugin,

Most state based models that I've worked with or find in literature/internet fall into the 1st description; i.e. conditional gating or regime modelling, whereby some systems have a better chance of thriving under a certain regime. That is not to say the other approach might not be useful either.

Ok. I guess that only some simpler transformation will work when including state decision variables in the model. And if they have a heavily non-linear impact then it will probably not work.

One other potentially good thing with not having market state included in the model and instead use filtering/gating is that you "save" a number of parameters in your model.

 

[monstimal]

Quote from Sergio77:

Any genetic programming resources available for developing software that evolves trading systems from historical data? I would like to develop free software for doing that.

Keep in mind that evolution does not really pick "superior" species. It picks the species better adapted for the CURRENT environment. We tend to think of evolution as a progression toward an ultimate species (i.e. us) but that is us just being really conceited. The only progression of evolution is toward more complexity, not superior beings. I think if you apply GA to trading you will end up with more and more complexity geared toward a fleeting environment. Which is really just curve fitting.

I'm no expert though, I just really like the book "Full House" by Stephan Jay Gould.

 

[oldtime]

A while back, they started saying programers would make more money than traders

maybe soon they will start saying geneticists will make more money than programers

Help Wanted: Geneticist with good prgramming skills, and a knack for trading

 

[syswizard]

Quote from monstimal:

I think if you apply GA to trading you will end up with more and more complexity geared toward a fleeting environment. Which is really just curve fitting.

Exactly my contention as well.
Best to develop a premise, test it, modify it slightly, and there you go:
decent trading strategy that works over time.

 

[Zalire]

I agree that lots of people complain about the GA/GP blender approach to data mining, but I've found that feature selection (or narrowing down the ingredients with some heuristics) tends to work better to start the modelling process. And as pointed out earlier, there have been a lot of improvements with respect to curve-fitting problems in the machine/statistical learning space at least.

 

[ronblack]

Quote from drm7:

There are two commercial GP engines out there that I have found:

Trading System Lab (TSL), which costs $60,000, and

Adaptrade, which costs about $1,200.

I have no idea if either one "works." There is extensive discussion out there on NuclearPhynance, Wilmott, etc., regarding TSL, without any definite conclusions.

However...TSL actually runs a GP engine called Disciplus, which costs about $200. Those with programming experience may be able to work with it.

(I have no affiliation with any of these vendors, and am very skeptical of GP, GA, neural networks, or any kind of machine learning driven trading.)

http://www.elitetrader.com/vb/showthread.php?s=&threadid=231041&perpage=6&pagenumber=1