Articles from September 2009
September 30, 2009 | Posted by andrew
Although the run was 2 days in, I had noticed that the profitability was not increasing particularly from a level of around 11,000 pips (over 21 months) and that the programs were becoming bloated which was slowing the generations.
Even though I had reinstated the simplification process, the mutation scheme generally encourages increasing complexity over time [...]
Categories: Forex, Genetic Programming | 
Tags: | 
2 Comments »
September 27, 2009 | Posted by andrew
I tracked down the last remaining bug in the simplification process and did a mini run for 2 days which failed to produce any more bugs and produced a modestly profitable strategy even without stop losses and the full set of indicators.
I had previously disabled the simplification process as it contained a bug and thought [...]
Categories: Forex, Genetic Programming | Tags: | No Comments »
September 25, 2009 | Posted by andrew
Last night I tracked down the segmentation violation that was causing my programs to bomb out – it was an error in the simplification process. I’ve been having second thoughts on simplification so I’ve disabled it for the time being – more on this in a later post.
I also enriched the terminal set to include [...]
Categories: Forex, Genetic Programming | Tags: | No Comments »
September 24, 2009 | Posted by andrew
It’s been a while since I’ve done any serious work in C so I’d forgotten about some of the disadvantages: segmentation violations.
The good news is that I’ve now implemented everything that I need in C to start my first run and performance is OK – I’ve estimated that each generation will take about 2 hours [...]
Categories: C, Genetic Programming, Scheme | Tags: | No Comments »
September 23, 2009 | Posted by andrew
I’ve had a very busy series of late nights rewriting all of my Scheme code in C. I love Scheme as a language and it has really enabled me to get into this whole genetic programming adventure but alas I’ve reached the performance limits of the language.
The problem came when I tried to load my [...]
Categories: C, Genetic Programming, Scheme | Tags: | No Comments »
September 16, 2009 | Posted by andrew
If you’ve looked at my plan for forex, you’ll know that my first step is to create an EA that dumps the historic data out of MetaTrader into a CSV file so that I can load this into my Scheme programs creating the genetic programs.
Here’s the code for DataDumper.mq4 that does just that :-
//+—————————+
//| Historic [...]
Categories: MetaTrader | Tags: | 6 Comments »
September 14, 2009 | Posted by andrew
So here’s the plan for creating at least one successful trading strategy for forex :-
As you can see, I will be hosting the trading robots as Expert Advisors in MetaTrader. This makes a lot of sense because many brokers offer MetaTrader based integration so no further work is required to use these for demo and [...]
Categories: Forex, Genetic Programming, MetaTrader, Scheme | Tags: | No Comments »
September 10, 2009 | Posted by andrew
Many of the Forex brokers e.g. FXCM and Alpari UK are now offering direct trading through MetaTrader which offers great opportunities to program ‘Expert Advisors’ to automate your trading. This means that you can be day trading full time whilst you’re at work and asleep.
Unfortunately MetaTrader is a purely Windows application but the great news [...]
Categories: Linux, MetaTrader | Tags: | No Comments »
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