There's the software from Asirikuy to do backtesting and live trading but I also use a lot of R for statistical tests and plotting. I also have some custom built libraries in python that I use to manage my mining operation.

Machine Learning with algoTraderJo

This is actually not true. Using the F4 framework you can also trade in MT4 so you can trade the systems on any Metatrader 4 broker. The Asirikuy Trader that uses the direct broker API implementations only works with Oanda or Dukascopy but then it's ...

Machine Learning with algoTraderJo

If you have an idea then I think you should code it and give it a try, this will give you more information than anything I can tell you. But think carefully about the things you're saying, you're already saying things that might not be true. For ...

Machine Learning with algoTraderJo

For any question you have about a strategy or method you should establish a null hypothesis and create a test to evaluate it. These are the steps: Create the question Create the null hypothesis related to the question Create a test to attempt to ...

Machine Learning with algoTraderJo

It is interesting to read your classification. They are all methodologies to attempt to automatically derive some relationships that can be used for profitable trading so in some sense they are all doing the same thing. Due to this common goal they ...

Automated trading algo generation

1. It does not address variance either directly or indirectly. Data mining bias simply refers to the probability that the system comes from spurious relationships in the data instead of real causal relationships. It therefore relates to how strongly ...

Automated trading algo generation

You're right in your thinking, it's basically the same thing and falls into the same caveats. How to overcome these problems? That's the main point that has to be addressed.

Automated trading algo generation

I have years of experience with the live trading of machine learning algos but just round 1-2 year trading algos created in the F4 framework. I cannot say that I have experienced any drop in R2 or Sharpe when going from backtesting to live trading. ...

Machine Learning with algoTraderJo

When a program does algo generation ask yourselves these questions. How does the program... decide what logic to initially use for the systems? implement money management? implement trade management? carry out the simulations? include trading costs? ...

Automated trading algo generation

What am I talking about when I say automated system generation? In very simple terms I'm talking about software where you can simply say the simulation results you want and the software delivers an algo that makes that happen. Say I want to have a ...

Automated trading algo generation

IMHO there is a very very very very big problem when you use genetic programming for the building of algo trading systems. In software like adaptrade you have genetic searching that introduces a bus load of bias into the process that is terribly ...

Automatic Trading System Creation

I also used to use R, the problem for me was live trading. The R package is really not meant for this, it's mostly single-core and does not have adequate functionality for handling live trading. Executing more than a few systems using R was not ...

Automatic Trading System Creation

Using a walk forward process does not eliminate data mining bias. You must measure mining bias using something alike white's reality check. Do you use any statistical hypothesis test to measure or account for data mining bias? Also thanks for the ...

Automatic Trading System Creation

I see, I was misunderstanding your process. How do you control the data mining bias of your system search process?

Automatic Trading System Creation

You can move to a broker like Oanda where you can communicate directly using their API in python. Have you thought about trading in python and using a direct API to communicate with the broker? Metatrader is probably limiting you right now, I bet ...

Trade based on Autoregressive Model

I want to summarize some of the offers currently available in the market to see if anyone has any opinions or experiences with them. These are the packages that I am currently aware of that can do automatic system generation (I am only mentioning ...

Automatic Trading System Creation

But to me this process is not automated because you still need to choose your inputs. Have you tried methods for automatic input selection? Searching for algos using different inputs? One thing is to use an ML algorithm and another is to ...

Automatic Trading System Creation

Do any of you guys have any experience with automatic algo trading system generation software? Which ones do you use? What pros/cons have they had for you?

Automatic Trading System Creation