I have recently started to chat to Professor Tom Gastaldi (Professor, Mathematical Statistics, First University of Rome "La Sapienza") whose profile can be seen on Linked In. He has worked for many years on the G-Bot project and below is a brief synopsis redacted from his website: âThe project is concerned with the study of trading algorithms and fully automated strategies for systematic profitability. These strategies and algorithms are also incorporated in an actual platform (a trading robot) for hedge fund automated management. G-BOT does a massive mechanical scalping action (no "prediction"), while at the same time hedging and turning cointegrations (even temporary) in its favor. It manages all aspects of complex folios, including folio recalibration, cointegrations and option hedging.â âG-BOT is essentially based on a divide and impera approach, where the risk is "modularized" into easily manageable units. It is not based on price or volatility "prediction" or "predictive signals" (which are obviously nonsense), but it is purely concerned with scalping and hedging as efficiently as possible. Each instrument is traded by a superposition of "virtual traders", called "players" which aim, at any time, at the maximization of a profit/risk ratio. These players create an "order cloud" which has mechanical and statistical properties experimentally verifiable (through the G-BOT simulation facility). â Tom has kindly let me down-load a copy of G-Bot which I am experimenting with. I am posting my observations, thoughts, queries and findings on my own website but I would be most interested to hear from others who have looked at Tomâs work and experimented with G-Bot either in paper trading or with real money. I have read Tom's threads here on ET and am wondering who out there might be trading G-Bot with real money and might be able to share his experiences with me either privately or in public. Anthony FJ Garner
For a public realtime demonstration (carried out with real $$$) of this trading approach (based on "player superposition" and statistical drift you can follow this current test thread on Elite Trader: http://www.elitetrader.com/vb/showthread.php?t=279057&page=38
Anthony, in the meantime, I have performed various illustrations here on ET (e.g. https://www.elitetrader.com/et/threads/trading-with-automation-with-ib-ii-spreads.316841/ ) but I guess you may like this other recent approach more (also more suitable for risk-averse investors : https://www.elitetrader.com/et/thre...s-against-time-decay-and-market-drift.364633/