A cautionary tale for system developers

I supplied an out of sample model back test with that profit factor to Mr. Crisis, he did not develp it, I did.

Jerry030

 

You have it reversed, I was approached to deliver trading signals for their trading platform. I had no interest in their platform as X-Trader and Ninja offer more features.

 

If you read the post of Mr. Crisis with precision you'll note the following "Why did it occur to novice traders like us ".

The word novice doesn't mean experienced

Jerry030

 

I understand that. I meant if you develp a system which showed that kind of promise. Why on earth would you even consider selling it?

 

Sorry, I read your wording wrong.

I never sell systems but design them and sell or lease the signals, the output of the modeling process, not the logic or design. To sell the whole system I'd have to also sell the 3rd party neural network application that generated the models as they need to be redone periodically to stay in tune with changing markets dynamics. A NN model is far different than say a rule based system in TradeStation in complexity and architecture.

 

Dear Crisis?crisis,

Looks like you’re on the newsgroups …. Perhaps looking for another trading system designer?

Quote from crisis?crisis:

Here is what really happened.

---Response: Well not really…. I got a great idea, let’s take the 40 or 50 emails we exchanged, find a place to put them somewhere on the Internet and let anyone interested decide.

Jerry is walking down the road toward a defamation of character lawsuit.

--Response: That would be a bit difficult since I haven’t identified who you are or the name of your corporation. What makes you think I’m even taking about you? Are you confusing yourself with another firm that I’ve dealt with?

We have a legitimate company that is not in the business of trading. We never would have gotten involved with the likes of Jerry if we thought he might try to damage our good name.

--Response: Your name or you company hasn’t been mentioned but you sure are free to post it anywhere you like. You may or may not be the company that was the subject of my post, but if the glove fits you can ware it if you want If you bother to read my original post carefully you’ll note a striking similarity in that I noted the company I dealt with was not in the financial or investment area. An amazing similarity?

We developed a trading system on the side that uses scripts for buy signals. We weren't having much luck coming up with a good script. Jerry offered to try out his neural network model to generate trades through our model.

--Response: A correct statemenet


From the get go we talked about possibilities for splitting any revenue if we could come up with a good trading system.

--Response: Correct, however I kept getting no follow up response when I noted that I would not share any concrete proprietary information beyond buy signals until I had a legal agreement establishing a formal relationship covering financial and confidentiality issues.

Some of this was in email to you and your boss, while some of it took place in phone calls with your boss that you were not part of

Jerry sent an excel spreadsheet showing where his "buy signals" would have shown up based on 15 minute bars. It looked promising.

---Response: Correct as you requested buy signals since you system couldn’t generate decent entry signals and you wanted to trade long.

Jerry suggested that we take his buy signals via email.

--Response: If you reread the project plan you’ll note that is part of paper trading / production trading once we had something that tested out in terms of Out of Sample testing. However you never even got to the point of running any test of the signal or price data I supplied on your system since when I supplied the entry signals and price data you all of a sudden discovered that you platform could only use tick data. When I them supplied you with tick data you discovered that your system could only use live tick data but not historical tick data.

I was beginning to think I had fallen down the rabbit hole in Alice In Wonderland as the capacity of your system kept transmuting itself with every action on my part to conduct an initial test.


We configured our system to poll an email box. When we contacted him and said that we could take some signals to process in our "simulated" trading application.

--Response: Once again in paper trade or production mode. We never got that far as you never ran Out of Sample tests.

At this time, Jerry said it would cost us money for him to convert his system to 15 minute bars, since it worked on daily bars. He wanted us to pay for that. We asked how he came up with the signals in the spreadsheet that were based on 15 minute bars if his system could not currently handle 15 minute bars. That seemed a little fishy to us.

__Response: My email clearly stated that I currently use only daily bars. Using historical data I can of course test anything I have data for. In live trading there is the issue of price acquisition. If you want to let our readers decide whose fishy here we could both post our copies of the relevant email where I spent multiple paragraphs explaining this to you in step by step detail. So if you want me to redesign my price acquisition without any formal profit sharing agreement you have to pay for that effort up front.

Furthermore, he said we would have to provide him with a feed of 15 minute bars. We said the easiest way to get that feed would be if he would package it up as an activeX and we could feed the bars directly into that control on our system.

--Response: No. You wanted something from me that had the entire logic of the model to TEST it. In production mode that was one option for final delivery. That of course didn’t make much sense since you could take price history and the model OUTPUT and run that through you system much more simply that linking to ActiveX, DLL or some other programming solution. That wasn’t just fishy it was more like a large red whale…made no sense, unless you thought that the software package would give you insight into the design.


It also seemed strange to us that his trading strategy did not use a stop loss and it exited after a certain time frame no matter what.

--Response: A total fabrication Mr. Crisis as you stated from the start all you wanted was entry signals as you system would supply the detailed trade strategy. I offered to provide that later after we saw what your system could do with my entry signals.



After looking at his excel spreadsheet, we were able to increase the bottom line by more than 8% by adding a stop loss and a profit margin. If his system was so advanced, why couldn't it come up with a better exit strategy?

--Response: A whole boat load of tuna here.

That also seemed very fishy to us. Why did it occur to novice traders like us and not to someone who claims to have an advanced neural network trading system?

--Response: As I pointed out in email a model predicts market direction and a detailed trading strategy incorporates that but it developed later based on risk tolerance and other factors.

We were never trying to steal anything or get anything for free.

--Response: Hmm, hard to say except when I used the word “encrypted” in term of any software that I would send you the relationship took only 10 minutes to formally end.

This was something we were doing on the side and we did not intend to put much time into it until Jerry could show us that he had something worthwhile.

However, we decided not to continue in the endeavor. Jerry never gave us anything that showed that there was any value in what he offered. He also started to ask for money from us in advance of showing us anything.

--Response: Above in this post you said otherwise in terms of the xls that I did supply.


It shows you what type of character Jerry is when on the day we cut our ties with him, he posts a disparaging message on this board.

--Response: As a cautionary tale for systems developers. They can then make up their own minds. Plus our two versions are possibly more entertaining than what’s on TV these days

Jerry030

[/QUOTE]

 

Do you have any experience trading these NN models in real time for real money?

 

Yes, contact me privately for client referrals, brokerage statements, or more information.

 

Well, looking at all of the facts and information here, I would judge against Crisis here. The main reason being:
Tradescript is inherently "open source"....and there is no opportunity at this time in it's current release to build a system using a link to a DLL (which would make it "closed source").
In other words, any system would be "fully disclosed" by nature of the scripting platform.

However, I would warn Jerry that he should have done his due diligence (AS I DID - it took all of 10 minutes time to download the Tradescript docs !) and just stayed away from this offer. Since Jerry mentioned encryption when in fact, this was not even an option with Tradescript, that tells me he DID NO DUE DILIGENCE.

Further comments: Tradescript is nice ! Beautiful architecture, highly efficient being written in C++, and very portable. Well done.
HOWEVER, it has a long, long, LONG way to go to get even close to Tradestation's Easy Language in terms of power and functionality. They really need a DLL interface as well as a script encryption facility before this can become mainstream. It's a nice start though.

 

Who died and made you Judge Judy.

I'm not sure what you are ruling on or, quite frankly, what you are talking about. Are you under the impression that we were trying to sell something?

Jerry offered to help us out, but ended up just wasting a bunch of our time and then accusing us of trying to steal his code.

I'm only posting here to try to defend myself from Jerry's ludicrous accusations. I am not trying to sell anything, I'm not trying to buy anything, and I'm not trying to steal anything. I'm the victim here.

Tradescript from Modulus does indeed have an API. I don't know if that is where you downloaded the documentation from. We found several bugs in it, but if you work around those, you can write some pretty complex scripts.

Since everyone keeps harping on "encrypted", I searched through Jerry's emails and I didn't find the word. Perhaps he misspelled it. That doesn't seem to be his forte. The ActiveX idea was just one option after he reneged on sending us signals via email. All we wanted was to see if he could send us signals that we could plug into our trading system for winning trades. We never saw that he could provide that.