Trading system development with white-boxes

Discussion in 'Automated Trading' started by trader3cnd, Feb 26, 2010.

  1. Any references that cover the prons and cons of white-box trading system development?
     
  2. Sisko7

    Sisko7

    I think this is why ET is so interesting.

    Here we have a person asking a question he does not understand. He does not understand the question. How is he going to understand the answer.

    Maybe he is just screwing with the rest of us. Maybe this thread is a joke. :)
     
  3. OP,
    Black Box = fully auto
    White Box = manual/point & click
    Grey Box = combo between black/white

    I think you are looking for a filter system or stock scanner that will give you a list stocks to manually enter, unless you didn't mean White Box?

    What are you trying to do?


    Why even post unless you have something productive to offer?
     
  4. I'm not sure what you mean here, maybe you could explain it better. If you are looking for software to help you trade or develop trading systems there are some excellent choices

    For stocks

    Free chart pattern scanner

    http://www.finviz.com/

    Program your own scan rules

    http://www.worden.com/legacy/Products/TeleChart/TeleChartGold.aspx?

    Programs that discover trading systems and write code for you

    For price action only (OHLC patterns)

    http://www.tradingpatterns.com/

    More general program based on Genetic Programming that includes indicators (It went for 60K last time I checked, kinda expensive):

    http://www.tradingsystemlab.com/
     
  5. ronblack

    ronblack

    The first program is one of the most valuable tools I have ever used. You can get a good indication about the short term or even intraday market direction from this program but, beware, it is uselees if you do not have a good understanding of probability and statistics. In that case I do not recommended it. The second program is just amazing from what I have read but I have not used it and it was just too expensive when I checked a couple of years ago.
     
  6. zdreg

    zdreg


    thanks for your explanation.

    the same goes for know nothings who post an alphabet soup of acronyms without explanations.
     
  7. jprad

    jprad

    That's not the way I understand it.

    The colors refer to the level of disclosure when it comes to the logic/rules for a trading system that generates signals to buy/sell and short/cover:

    Black - completely proprietary, no disclosure of any logic
    Grey - partially proprietary, some disclosure of logic
    White - full disclosure of all logic

    The level of automation, IMHO, from full to none is separate from the trading system.
     
  8. I agree but a more useful classification is as follows:

    inner workings - output
    black - black : black (1)
    black - white : grey (2)
    white - white: white (3)

    With (2) you can check the historical performance of the output but you do not know how it was generated.

    With (3) you can check the performance and also know how it was generated.

    There are no commercial class (3) systems, for obvious reasons. APS Automatic Pattern Search and TSL Trading System Lab are class (2) systems. Traders avoid class (1) systems because of fear of hidden over-optimization. Also, class (3) systems lose any edge fast for obvious reasons especially when developed in a company by a team or their development was outsourced.
     
  9. Did not realise the so many ways of describing the following: "Black Box, White Box and Grey Box". Thanks to you all for the same. :)
    So, how would you apply the same to trading systems?
     
    #10     Apr 2, 2010