Thanks for the reply. I already crawl free data with which my databases are filled: Code: Mi 13. Mär 11:31:47 CET 2013 TABLE_NAME table_rows data_length index_length Size_in_MB CompanyEntity 11324 22429696 2359296 23.64 CurrencyEntity 210 16384 16384 0.03 CurrencyExchangeRateEntity 995349 77185024 152567808 219.11 DetailedReportBalanceEntity 99790 40960000 0 39.06 DetailedReportCashFlowEntity 101183 36782080 0 35.08 DetailedReportEntity 114204 18923520 30097408 46.75 DetailedReportIncomeEntity 128907 52527104 0 50.09 DetailedReportOptionalValueEntity 2149117 289767424 342556672 603.03 DetailedReportOptionalValueNameEntity 126 16384 16384 0.03 ImportEntity 158 16384 0 0.02 ProxyEntity 2252 1081344 131072 1.16 RawProxyEntity 0 16384 16384 0.03 ReportRatingEntity 219310 151240704 33603584 176.28 SequenceEntity 24 1064 1024 0.00 StockEntity 42203 9732096 6946816 15.91 StockExchangeEntity 63 16384 16384 0.03 StockExchangeOpenEntity 192798 12075008 16302080 27.06 SummaryReportEntity 75697 21037056 13287424 32.73 ToponymBackupEntity 0 16384 16384 0.03 ToponymEntity 8151885 796917760 191709184 942.83 TradingDayDividendEntity 235186 28606464 39288832 64.75 TradingDayEntity 72674908 20045430784 9612148736 28283.67 TradingDayRatingEntity 17646099 5224022016 2414919680 7285.06 TradingDaySplitEntity 7173 1294336 3047424 4.14 Everything on end-of-day basis including company reports. It is about 30gb of data and updated regularly. This data is used for the stocks market stuff. On the other hand I use JForex as a backend for Forex strategies while not using the above data for that market. I would say the approach you suppose is an entirely different strategy to trade with and it seems it is more discretionary, thus harder to automate. As far as I can guess from your post. The thesis describes a platform that makes automated strategy development easier and not discretionary trading. Though I think the thesis highlights this enough. If you have suggestions on how to make this distinction more clear, I welcome that. -- About your comment: "From what I gather the system can be seen as a typical algo with an added input of fundamental analysis. Though you offer many ways to filter the fundamental part, it is full of holes and issues." -> It can be seen like this, though this is just the trading system in the thesis which is explained with "holes and issues" because the referenced works explain it in more detail. The thesis also consists of a strategy development process and a platform automating that to be able to implement various strategies. The fundamental data is only for the purpose of value investing in stocks and not forex as you describe. The examples in the thesis were chosen to be simple to serve the purpose of explaining the process and API. Also the first halve of the thesis is the analysis part where existing knowledge is gathered and processed. The concept part describes the inventions. I guess the thesis only makes sense when you consider and know both IT (development stuff) and finance (trading, investing).
About TREE from SSS (Structured Software Systems): I am using quotes from this document: http://www.strsoft.com/intro/ This is the same idea I had with strategies that themselves optimize marketstrategies inside them. Thus an inner shell of backtests. Though I also offer an outer shell in my thesis to *optimize* rules before running a strategy which I call automated strategy design. Portfolio selection is something I specifically make easy with my platform by not pressing the user into a graphical form of programming (with its inherent limitations). Instead the developer can define filters/signals that use any data or tools he wants to do this with (as long as the backtesting rules of never using future data is being followed). The downside is, that users will need to be programmers to use the platform.
Regarding BUILDING TRADING SYSTEMS USING AUTOMATIC CODE GENERATION by Michael R. Bryant, Ph.D.: http://www.adaptrade.com/Articles/WhitePaper-GP-Content.htm I already differentiate myself clearly in the thesis from genetic programming by comparing my platform concept with TradingSystemLab. Genetic Programming would also be usable inside my platform to generate individual rules, but I suspect generating code for complete strategies would not be a wise decision, even though possible by duplicating TradingSystemLabs functionality inside a strategy implementation in my platform. Though this would disable many of the benefits that the variability model approach yields and would degrade the platform to a mere copycat product. But who says it might not be interesting to allow this as an alternative to the variability model approach in the platform? (I don't think this is a goal that motivates me right now.) Btw. I have added that whitepaper as a reference to my thesis. I was already familiar with genetic programming inside TradeStation to generate rules. But I forgot which book/paper that familiarity comes from... :/
ah yet another one i forgot all about Visual Pattern Designer a add on tool for Trade Station it allowed you to high-lite an area on a chart like a pattern etc. then it would automatically generate the code and a system for it based off vectors. kool as crap. Mark
Thanks a lot! Looking at these is really fun and informative. I would love to get more recommendations (which you surely have I hope). Also, If anyone is interested to see a sample report generated by my platform, see: http://invesdwin.de/public/Report1Week.pdf
Regarding Visual Pattern Designer: I am basing my impression on this old manual: http://www.scrigroup.com/limba/engleza/106/Visual-Pattern-Designer-Profes33917.php The software must be really ancient judging from the looks. I came into contact with pattern based trading about two years ago when reading some documents on forex trading. I already knew Autocharist (http://www.autochartist.com/), but it seemed to be discretionary-only and very limited. Visual Pattern Designer on the other side looks very mighty. I always wondered how pattern based trading could be automated and VPD now gives an answer. Very interesting to let a neural network figure out how to recognize the patterns specified by the user. Quite the ideal use case for neural networks in fact. To follow on with comparing it to my concept: I think this fits right in to the AI-approach to generating individual rules. I even said using neural networks might be interesting for that. Visual Pattern Designer specializes itself to generate signals for entering trades. Combining this with other rules to create complete strategies that go beyond simply trading the patterns seems to be up to the developer. Also the walk-forward-analysis and automated strategy design by rule combinations is not subject of that specialization. I will continue with looking at "Trading Blox" now. Also I would still be very interested to get more concrete information about the "Ned Davis Technalyzer", which seems to run on cray computers.
I've added a reference to TREE from SSS to the thesis and state that the idea to implement the walk-forward-analysis inside AStrategy to optimize AMarketStrategy instances is similar to their idea a hierachical strategy where strategies wrap strategies to do optimization by running multiple backtests. Also TREE has in common that rules can be reused between strategies. Thus this idea is indeed not so new in my thesis. Reusing indicators is common for platforms like JForex and Metatrader. TREE widens this to any rule by design, because they have a graphical programming language where this is required. The graphical programming in Glean from TradeLink (http://code.google.com/p/tradelink/) is a bit similar from this view. Though by doing graphical programming, it becomes hard/impossible to generate rule combinations. Using a textual programming language is required for this. I guess I could make this easier by implementing a domain specific language [DSL] that eases strategy and config class implementation. But I like the idea of simply using a language like java and adding this functionality in the form of a framework. (And I am familiar with DSLs, because at work we do a lot of code generation via model driven architecture [MDA] based on UML with Eclipse EMF, Xpand, Xtext, ...)
I felt that you had begun on three of the four. Maybe just a word or two in a segment somewhere. These are small seeds. I felt that seeing the theme was half the battle so I gave you three portions (1/8th's of the whole) For my convenience I tabbed one version of your thesis. See pages: 23, 26, 30 (3), 42, 45, 47 (2), 53, 61, and 69. I continue to read your comments to others; whatever they say, you do explain that you have more depth than they surmise. It is also true that they are fairly estranged from the topics of your thesis. Give a read to the ANSYS article in current Bloomberg/Business Week, pages 32 through 34. the theme you are missing is subtly shown on the attached.
About Trading Blox: I read stuff on the website, watched videos and flew over the user guide: http://www.tradingblox.com/Manuals/TradingBlox User's Guide.pdf This seems to have the same idea of splitting strategies into parts and developing those individually. It supports Walk-Forward-Analysis and could support automated design of rule combinations with the feature "Create new stepping parameters" (http://www.tradingblox.com/?page_id=70) offered in their highest priced edition "Trading Blox Builder". Though their software is supposed to only optimize simple numerical parameter ranges. They also optimize one parameter after the other (as seen in their videos) without respecting interdependencies between those parameters. Thus rules with dependencies and exclusions on each other will not be possible to be used with the "Create new stepping parameters" feature to generate rule combinations. Here my concept is still unique with its application of variability models to represent these interdependencies. Also optimizing one rule parameter after the other is not possible, since these interdependencies might restrict decisions that can be made in other strategy blocks. Thus no global optimum could be achived using that approach, only a local one, which might not be an optimum at all depending on the order of rule parameter optimization. Thus only when combining the rule parameters by multiplication of ranges instead of addition of ranges, it is possible to test a complete variability model. Also Trading Blox is using a coarser granularity of strategy building blocks. It seems with the API of my concept a higher degree of detail is possible for reusing rules/blocks. This is because the size of the reusable rules can span among multiple strategy building block categorizations, or a tiny part of a single building block and anything in between. Though Trading Blox has an approach to making strategy development easier by enabling graphical programming as it seems, which again limits its flexibility. I would say Trading Blox comes the closest to what I describe in my thesis. It is also the best strategy development platform I have seen by now! I could use some of their ideas for the testing reports to improve my reports. They have nice things there. I also sent them my thesis to find out what they think about it. Maybe my ideas are compatible to their platform.
I see, you mentioned Volume in a previous post if I remember correctly. In fact I kind of have not looked at using volume for indicators that much yet (even though the book Trading as a Business suggests it). Also it seems the numbers represent some strategy that operates on them... It seems this is the article you mean: http://www.businessweek.com/articles/2013-03-07/ansys-aids-innovation-with-its-simulation-software Is the online version complete or should I order the issue by mail? I guess the message here is to try to be as good in model building (strategy development) as one is in creating real life things (actual trading). And sometimes old knowledge can lead to the key with which something new and successful can be created, even though the original knowledge did not purpose this. Ok, so the pages tabbed represent the main contributions to the theme you got. Though what do you mean with the numbers in braces 30 (3) and 47 (2)? Does this represent the numbering of the parts of four? Where is number one then? Also thanks for the strenghening words again!