Hi, I'm not sure how many on here know of the The Grail software that was available for TradeStation a couple of years ago. It combined Genetic Optimization software with a comprehensive Walk-Forward test analysis suite as well. It is no longer available to the public. I was wondering if anyone knows of anything similar that is still available and is highly thought of. I know there are packages that offer Genetic Algorithms built-in, but they usually do not have built-in Walk-Forward analysis (ie you would have to manually change the dates and do all the statistical work on your own) Any ideas or thoughts? I think TradersStudio has both; Multicharts? Anything else? Thanks. -S
I totally agree. I was lucky enough to buy 2 licenses way back when (and still use them), and only now am I realizing how ahead of the curve The Grail and Wouter were and all of us who were using it back in the day... funny enough I have been inside some major investment banks and hedge funds...and I can honestly tell you that most of them have nothing that comes close either... no wonder a hedge fund bought out Wouter... -S
EDIT: People are PMing me thinking I'm the developer. NOTICE THE QUOTES. Dug this up on Google. I'm not the developer, nor do I have anything to do with "GGO/GWFO". "The Grail currently markets 4 products. While these products are new to the market I will shortly explain the differences between them: 1. Grail Genetic Optimizer (GGO) GGO is a straight forward genetic optimizer that can be used on ANY TS trading strategy. By using GGO you can optimize your strategy in a fraction of the time that it would usually have taken with normal optimization in TradeStation. The standard version of GGO is limited to 50 variables although we provide a 100 input version as an upgrade. 2. Grail Walk-forward Optimizer (GWFO) GWFO is a walk-forward optimizer that can be used on ANY TS trading strategy. GWFO performs a detailed walk-forward anaylsis very much in the same way as described by Robert Pardo in his book: "Design, testing and optimization of trading systems". The walk-forward analysis comprise of two stages. During the first stage a strategy is optimized as usual in TS. The strategy will during the optimization process export history files to be used by the GWFO standalone program to perform the actual walk-forward analysis. Because this stage is reliant on TS it is very slow. For this reason it is recommended to use GGO in conjunction with GWFO, because GGO can speed up the optimization in TS dramatically. During stage 2 the GWFO standalone performs a detailed walk-forward analysis. GWFO evaluates a system according to its overall profitability, walk-forward efficiency, consistency and distribution of profit. A trading system passes a walk-forward analysis if: - It is overall profitable across multiple walk-forward runs AND - shows a Robustness Index of 50% or better AND - shows consistency of profits AND - shows an even distribution of profit. If the system fail any of the individual tests, the system is failed overall and is deemed not suitable for real-time implementation / trading. When GGO is used in combination with GWFO is provides TS users with unique functionality that is not currently available elsewhere. 3. Genetic System Builder (GSB) GSB creates NEW strategies using a genetic algorithm combined with a predefined built-in library of indicators. Thus GSB creates trading strategies for you and therefore it evaluates many new systems it has modeled itself from scratch. GSB do require a substantial amount of time from users to really get to know it. If users are not prepared to spend such an amount of time, then we would rather recommend them to stick to our GWFO and GGO products. With regard to your question: Although GSB is primarily designed for futures trading, it can also be used to model new strategies on stocks. However, the current version do not allow "long/short only" strategies or the specification of "dollars per trade", that one would typically like to use for stocks. 4. Grail Lock (GLock) GLock is a very exciting product aimed at users who are serious about security and wants to protect their intellectual capital with the highest level of security available. GLock protects your EasyLanguage trading strategy using 512 bit public key encryption. Most other protection schemes use key generators. Key generators are the most dangerous of protection breaches, and all protection schemes which do not use public key cryptography at their core are vulnerable to them. GLock does NOT use key generators but uses a more advanced system ("public key encryption") which is NOT vulnerable to this problem. Glock replace critical pieces of your code with calls to the GLock function. The GLock function acts like a black box with many inputs and a single output. The user can see the output but cannot understand which of the inputs and in what manner they were used to create the output. Thus, a user can view the source code, but will not be able to understand the logic. For more info please visit our web-site www.thegrailsystem.com Wouter Grail support"
Thanks ATLien, for the explanations. Can you please tell me whether the above software could handle portfolios of markets?