Adaptive Trading Strategies

Discussion in 'Strategy Building' started by jalsck, Sep 4, 2010.

  1. kut2k2

    kut2k2

    The problem with this line of reasoning is that you lump all moving averages together when they really have very different efficacies. I know almost everybody here has heard of adaptive moving averages but most have not gotten their hands dirty, so to speak, by actually diving into the inner workings. Most have tried a canned program (usually Kaufman's moving average, which by the way I can assure you is programmed inaccurately more often than not) and concluded that AMAs were no better than conventional moving averages. While I do agree that a MA crossover is hardly a sophisticated trading system, it gives some semblance of the potential of finding the best moving averages and using them along with other financial indicators in a well-designed trading strategy.

    Regarding simple moving averages, I once said that expecting a SMA to remove the noise from your data is like expecting a meat grinder to remove the fat from your steak. I stand by that assessment, which is why I have concentrated on AMAs.
     
    #81     Nov 25, 2010
  2. a ma system, faded, and on range bars, can do very well.
     
    #82     Nov 26, 2010
  3. It is not the type of moving average that I was speaking to, it is that the market does not hide its edges dependant on the optimized lookback period of smoothed data --- no matter the smoothing method. Any method that smooths data and then looks for a crossover to signal an entry in the traditional sense won't provide a sustainable edge you would really want to trade. In trending markets its very blunt approach will result in profits, but the drawdown wouldn't be tolerable for most, and much better options exist.

    Re post above, non traditional thinking starts to get you somewhere. Once you can get a thread, and pull on it, you will start to open up a lot of doors, you would only arrive at by being immeresed in the process. The stuff that works all the math geniuses in the world could not think of without some market time IMO.

     
    #83     Nov 26, 2010
  4. Goog post. Using tools in ways others do not can open doors.
     
    #84     Nov 26, 2010
  5. I'm commenting on this thread late and so apologize if it has moved on from when this comment was made. But since I can be regarded as falling into the expert category on how this software works I can add some useful comments on the adpatation/optimization process.

    What I think people are assuming, and which hasn't been explained properly, is that a best (optimal) set of numbers is ferreted out of the data on every bar after a termination criteria is met. And, that either the best or average of those "bests" is used for signal generation. This is not correct in this instance. By default, Dakota allows swarm agents to move once per bar relative to the performance landscape presented to one another. I am unaware of any optimization scheme that provides an optimal result based on a 1 iteration termination criteria.

    So, while some of the concerns raised regarding curve fitting in a data mining sense are legitimate I don't think that the criticisms of the walk forward adaptation scheme underpinning the OP's approach (there are some plausible ones) make sense.


    Thx,
    D

    p.s. Tradestation and this software are too different for analogies to be drawn between them. It just confuses the discussion.
     
    #85     Jan 6, 2011
  6. From looking at the parameters james used i suspect that the particularly wide settings used for the long period average led to the performance terrain being too unstable for the swarm to get traction against given the weakly converging adaptation scheme that I touched on in my previous post.

    Dakota adaptation is not a panacea (you know this) and has its weaknesses. One of those is that it does not see the parameter landscape in context (not sure if that is the best way to put it). That is, when parameter ranges are wide movement from one adapated parameter set to another can effectively reverse the sense of the system - particularly with simple MA type approaches - but the swarm has no understanding of that.

    Also, when paramater ranges are wide, the relative velocity of the bots/agents is higher meaning that the absolute change in value of parameters is higher. So, the bots have higher velocity which usually isn't good. Too little is bad, too much is also bad for reasons which I think are obvious.

    if you consider the implication of these two points then you may be able to envisage how the velocity of the bots throws them off (or through) the area(s) of performance they're trying to lock onto. There is also a random element to swarm movement and this is, again, magnified by the size of the parameter space.

    When setting parameter ranges wider it may become a defensible approach to inncrease the number of iterations per bar while using a different mechanism to update bot positions. Why? Because if the bots move through parameter space at a consistent though variable rate allowing them to move two or three steps per bar can be justified to permit exploration and to avoid the curse of under-exploration. Another approach might be to allow them to make x iterations every y bars.

    I hope I'm making sense and that you find it interesting:)


    Thx
    D
     
    #86     Jan 6, 2011
  7. sam11976

    sam11976

    Thanks for your post. I was considering opening account with TS and buying TTM universal. I have been searching the internet for feedback on this system and found mixed reviews but they were going back to 2008 or 2009.

    I am trying to find some automated system with decent result. I have NinjaTrader 7 (not happy with). Have you found a decent system worth using? Thanks in advance.
     
    #87     Jul 29, 2011
  8. JackR

    JackR

    Sam:

    It sounds as though you want to buy a system. Most advertised systems aren't super good. Many fail. However, to get a feel for what relatively creditable publicly available systems are working, you can look at the web sites of brokers like http://www.striker.com/En0303_trading_systems_performance_ranking.php?webpageID=8&webmainID=3 It has been years since I've looked at them, but at one time some of the systems could be purchased and run on your machine. In other cases you leased it and it ran on Strikers' site. There was at least one other firm that specialized in running leased/purchased systems for you, but their name escapes me at the moment.

    Dr. John Clayburg has been developing and selling systems for decades. I don't consider him to be a snakeoil guy. You can lease some of his systems and then buy them with a credit for some of the lease charges. Systems tend to fail over time. However, the last I looked, Clayburg's Cyclone system was stilling in Future Truth's top 10 ES systems. It was in the 35% annual return range since inception. Not a recommendation as the 35% could be down from 100% two years ago and I no longer subscribe to Futures Truth.

    Clayburg develops his systems in Multicharts and ports them to Tradestation. Multicharts runs in a multi-CPU, multi-thread environment. Tradestation, through version 8.x did not. Not sure about 9.x You can get a 30 day free trial to Multicharts. Then it can be leased or purchased. The documentation is very outdated. It is for version 5 and they just released 7. Support is excellent. Depending on your needs, it is an excellent program.

    A Google search will get you web addresses for both.

    Jack
     
    #88     Jul 30, 2011
  9. ronblack

    ronblack

    I have also heard some good things about Dr. Clayburg but given that his systems have been cracked and are now available at a fraction of the cost by pirates, I wonder for how long they will maintain their edge.

    It is pity. People do a lot of hard work and their systems end up being sold for almost nothing all over the web. This must stop.
     
    #89     Aug 1, 2011