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trading strategy optimization using genetic algorithms

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michal.kreslik
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Postby michal.kreslik » Mon Dec 04, 2006 10:20 pm

Ed, great to hear from you again :)

My best "production-level" system generates about 12 trades a month and only gets several pips every time. But it takes those several pips with a 95% probability, so it pays off. Indeed, I was looking for a system that would make 50 pips a day, too, but I have yet to find such a system.

Anyway, I don't care about the number of pips made by individual trades. Provided the system has positive expectancy, I do care about the linearity of the equity curve only.

The more linear the equity curve, the more aggresive position sizing one can implement and the less time it takes to get Bentley Continental Flying Spur :)


Michal

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eudamonia
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Postby eudamonia » Tue Dec 05, 2006 5:11 am

Michal,

Sorry I've not been keeping up too much at the forum lately. I've been pretty busy just trading and developing systems.

Yes, linear regression is as close to a holy grail as one is likely to find. It is important to focus on the consistency of your returns more than overall returns.

BTW, I'm still slowly learning C# and NT. Eventually I will make my way over to that corner. For now I'm happy to learn and trade progressively better each day.

Edward

PeRi
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system development

Postby PeRi » Sun Nov 04, 2007 10:09 am

Hi Michal,
can you point me into the direction of learning about system development?
I have no programming knowledge whatsoever, so is this the right way at all? Or am I better off asking you (or some other programmer) for a basic system structure that I then can go about configuring and optimising myself?
Or is there no way around learning some programming language first?

Peter

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NeuroShell versus GRAIL GO

Postby PeRi » Sun Nov 04, 2007 1:29 pm

Can anyone compare NEUROSHELL´s genetic optimizer to the GRAIL GO?

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