Difficult Question

Discussion in 'Trading' started by dima777, Oct 6, 2008.

  1. dima777


    Read this in "The Evaluation and Optimization of Trading Strategies" recently. Very thought-provoking:

    Where is the application that lets the strategist design, create, and apply
    her own custom genetic search algorithm to a Walk-Forward Analysis
    of a trading strategy that employs an autoregressive integrated moving average
    (ARIMA) forecasting model of volatility, a neural net that predicts the
    magnitude and direction of tomorrow’s close change, which auto-adapts to
    market conditions and has a genetic algorithm that balances one’s portfolio
    automatically, strangling models trading stagnant markets with a strategy
    that is losing in the last year and feeds the strategies that are profiting unusually
    well and markets that are really moving?
    Why is this important? Yes, such a trading platform would be quite sophisticated.
    These technologies all exist now, however, and did so in the
    1990s, too. The computer hardware is now up to the task. There are strategists
    who can design and create applications like these and even more sophisticated
    ones, at that. Yet, the trading strategy development application
    that would make such a thing possible does not yet exist (at least to my
    knowledge and I am always looking). One might ask, so what? That, however,
    would be a rather uninformed question. For the existence of such a
    trading strategy development application with the ability to integrate and
    apply such technologies at a usable speed would really be a development
    that would be at least somewhat in proportion to the vast explosion of
    computer hardware that we have seen over the last 15 years.
    You can count on the fact that if one of the large prop trading firms
    desires to apply a trading approach as complex—or vastly more so—as
    what has been mentioned, they have the resources to pull it all together to
    create and trade such a trading model.
    The point is that this capability should be available to the average
    trader and investor too. The capability is there. The leading trading strategy
    development software application vendors have been complacent—perhaps they just lack imagination—in the extreme. Part of the problem
    here as always been that most of the developers of the trading strategy development
    applications do not have a trading background; as such, they
    are not as driven by trading profit as traders are to continuously seek out
    cutting edge technology that can provide the trader with an edge. And the
    trading community at large, primarily the individual trader and investor,
    has been willing to accept this sorry state of affairs. Perhaps they too lack
    imagination. . . ?

  2. I stopped reading the thread after seeing the word "her". :cool: