Genetic optimization. Application in TradeStation environment.: Building the system consisting of blocks.

Building the system consisting of blocks.

New approach in trading systems building which was described above was realized in development of genetic optimizer for TradeStation. It uses TradeStation built-in approach to building of strategies from already made signals in StrategyBuilder.

Principle of work is showed below:

• All signals including Manager are included in strategy in TradeStation Strategy Builder.
• Manager is the standard block, which is included in every strategy. Its purpose is to control the optimization process. It can be the same for the many strategies. All strategy control parameters are defined in it as input parameters or Inputs.
• Manager organizes the generation of the new specimen, the In Sample/OOS calculation, calculates the fitness, etc.
• Each signal as usually realizes one variant of entry or exit or the set of entries/exits of the same type.
• Each signal has standard structure and contains the description of the optimization parameters in the beginning of the code.
• In the beginning of the work each signal registers its optimization parameters. During optimization process it selects values of it’s parameters from the current specimen of population and carries out its work with those parameters.

As a result of such approach we can get absolutely new system or method of trade, which possibly would never be invented by us.

When we had converted basic signals based on technical analysis indicators (moving averages, stochastics, momentums, etc.) according to this method and made a block from each signal, then it turned out that even among signals built on analogous basic principles there are exact “leaders”. It points that perspectives of creation and investigation of behavior of systems based on traditional methods of technical analysis are far from exhausted.

I want to finish my presentation by the following thesis:

• In wild nature usually the most adaptive to environment organisms do survive, but not those ones who had learned best skills and abilities some time before.
• The quickest adaptation to environment is provided by the intellect, since it makes possible even the changing of the environment.

Does it take place in the exchange trade?...