Just bought the Genetic Optimizer for Traders Studio

Discussion in 'Strategy Development' started by bradypreston, Jun 22, 2007.

  1. I just bought a Genetic Optimizer for Traders Studio and would like to put it to the test. I want to bench mark it against other backtesting software in terms of speed on a basket of commodities. Does anyone know of any other software that can optimize a trading strategy over a basket of commodities?

    So far I have found it to be up to 25 times faster then normal
  2. MGJ


    Here's another program's setup for performing a system optimization while trading a basket of futures markets. It is testing different combinations of Short moving average #days and Medium moving average #days. Short moving average is swept from 2 days to 60 days in steps of 2 (30 different values), and Medium moving average is swept from 75 days to 220 days in steps of 5 (30 different values).

    Thus this optimization run is testing 30*30 = 900 different combinations of short moving average #days and medium moving average #days. The results are in the next post (only one attachment per post here at ET).

    The simulation is running on a portfolio (or "basket") of 30 futures markets at US exchanges. Simulation start date is 22 June 1996 and end date is 22 June 2007. (the most recent 11 years).

  3. MGJ


    And here are the results of the optimization. (My Dell laptop took 17 minutes to perform the 900 simulations specified.) I myself prefer to plot the outputs as a "heat map" and let the good old human eyeball identify the plateaus of goodness, the regions of robustness. Other traders like to see a more traditional, Microsoft Excel style, gridded surface-contour map complete with a numerical legend. So I have included both, below. The software (link) is more expensive than Traders Studio. But it is less expensive than a 1R loss in a diversified futures trading strategy.

  4. Seems like CSI is the preferred data provider to T-Blox. Is this true and how much cost and how often can you refresh the CSI data? Is this an easy process(automated)?

    Also noted that Wisdom is the only broker mentioned on the site. Can you automate T-Blox with other brokers? MGJ, whom do you use?
  5. That is really neat. Is there a trial, so that I can bench mark them.
  6. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    TradersStudio has a 3D Excel Addin for optimization results which products 3D charts of the optimization space. In addition it also runs some verification tests to judge system robustness. The cost of this addin is only $69.00.
  7. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    I forgot to put up the link for this product. Here it is on my site.