November 17, 2009 | Posted by andrew Well finally I’m getting some useful results as a result of adding the mini-tournaments with the integral validation stage. Here are two strategies trained on 5 minute GBP/USD dollar data for 2006 – 2008 that also show a profit on 2009 data :-
;; Candidate 1
long entry = (- (+ (* (min hour [...]
Categories: Forex, Genetic Programming | 
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November 5, 2009 | Posted by andrew Well after several weeks of running I ended up with two contender algorithms :-
Generation 511: Best = 4962.700000
long entry = (- (+ (* (min hour bar) -30) (vol (trunc bid))) (high (- (abs -40) (abs (* bar hour)))))
long exit = (- (close (min (abs (+ bar minute)) (* (abs [...]
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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 [...]
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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 [...]
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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 »
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