Heuristic Lab

trading strategy optimization using genetic algorithms

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eudamonia
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Heuristic Lab

Postby eudamonia » Tue Jun 20, 2006 8:34 pm

The Hueristic Lab is a GUI interface program written in C# (.Net compatible) and is designed to test various problems with a variety of heuristic methods including: GA, simulated annealing, tabu, etc. Obviously this is primarily an academic tool but could be converted to financial analysis quite easily. It's not exactly plug in play but if you know some C# you should be able to get your data tested. Best of all its free.

http://www.heuristiclab.com/

The most exciting piece of code that is on this site is called SEGA (Segregative Genetic Algorithm). It is a combination of Simulated Annealing, Evolutationary Systems, and Genetic Algorithms. Check out the description of it on the documentation page.

Edward

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Postby michal.kreslik » Wed Jun 21, 2006 1:28 am

Great link, Ed, thanks.

I was just about to start learning C#.NET so this is another reason why to begin soon :)

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Postby eudamonia » Wed Jun 21, 2006 2:21 am

Michal,

Here's another good reason http://www.smartquant.com/. I've got my C# books now and I'll be sharpening the pencils for awhile myself.

Edward

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Postby michal.kreslik » Sun Jul 02, 2006 9:08 pm

Ed,

there's a good article/introduction to genetic algorithms here:

http://www.burns-stat.com/pages/Tutor/genetic.html

In the article, simulated annealing is mentioned, too.

I've added the article to the important links listing.

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Postby eudamonia » Mon Jul 03, 2006 3:56 am

Michal,

Thanks.

Edward
Eudaimonia (pron.: you-die-moan-e-a) (Greek: εὐδαιμονία) is a classical Greek word commonly translated as 'happiness'. The less subjective "human flourishing" is often preferred as a translation.

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Postby pt01 » Thu Nov 09, 2006 4:58 pm

Ed/Michal:

this Smartquant platform looks quite awesome ... have you experimented with it since your last posts on it?

Pete

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Postby michal.kreslik » Thu Nov 09, 2006 5:04 pm

SmartQuant looks great, I've installed it some time ago. It features a full-fledged C# IDE. But I had not much time looking into it more.

I'll definitely give it a shot in the future.

Michal

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Postby pt01 » Sat Nov 11, 2006 3:31 pm

Michal,
There is overlap between Neotick and SmartQuant to some extent...as I am still trying to figure out which platform out there to invest my development effort into, would you kindly provide some thoughts on NT? I noticed you have been using it for the last 3/4 months, is it living up to your expectation?

Thanks

Pete

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Postby michal.kreslik » Sat Nov 11, 2006 10:40 pm

Pete, Neoticker is the most open trading and backtesting platform of today. It's weaknesses are occasional unstability and "do-it-all-yourself"ishness.

Only one example for all: while NeoTicker is clearly superior to Tradestation, there's still one quality in which Tradestation beats NeoTicker hands down: you don't have to bother at all about the data in Tradestation. All data is served to you on a silver plate without any glitches, bad ticks, missing chunks etc. in Tradestation. Tradestation users don't even consider the question of reliable data feed and quality historical data an issue.

But that's not the case with NeoTicker. You have to "do it yourself" and work hard to have a quality data sample available for your testing.

Michal

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Postby pt01 » Mon Nov 13, 2006 4:41 pm

Thanks Michal for sharing your insights. Now I suppose the question is for scanning a basket of names in real time with my own algorithm, which platform is really the most suitable: (eSignal is not it!) TS? NT? OpenTick is still in development stage and servers not stable for real time? anything else? I can code in c/c++/vb/java script/starting c# ...

P

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