TS Add-ons for strategy development?

1. In addition to the Grail Genetic Optimizer and Grail Walk Forward Optimizer that TS just bought and will incorporate in TS9, what other products exist to automate the optimization, walk forward, in-sample, out-of-sample work?

2. Rina Systems has a product called 3D SmartView that lets you look at the results of an optimization run in a 3D graph for $500. Wonder if there are other competing products? (Amibroker includes this feature in their platform for no charge!)

Brooks

You can look at the results of an optimization now in 3-D view also by simply exporting some details from your optimization and using Excel. It will be some time before any of the Grail software will be incorporated. The optimizer part of the tool won't be incorporated at first as they will simply use the already built in TS Genetic Optimizer. The walk forward may be in a later version of TS 9, but it isn't in the first version of TS 9.0 at this time.

I didn't know that. Are you participating in the TS9 beta?

I am an Alpha tester for TradeStation.

brooksrimes said:

1. In addition to the Grail Genetic Optimizer and Grail Walk Forward Optimizer that TS just bought and will incorporate in TS9, what other products exist to automate the optimization, walk forward, in-sample, out-of-sample work?

2. Rina Systems has a product called 3D SmartView that lets you look at the results of an optimization run in a 3D graph for $500. Wonder if there are other competing products? (Amibroker includes this feature in their platform for no charge!)

Brooks

Click to expand...

Genetic optimizers are fancy schemes for doing curve-fitting. As a matter of fact, that is all they do.

There is absolutely nothing wrong with curve fitting. The only danger in optimizing is if you allow an overfit. Optimizing is only one part of a testing equation. In all reality, If you develop a strategy of any kind and it has a parameter or any other rule in which you make a choice as to what setting or rule to use then you have already curve fit before you begin any optimization. So yes you are curve fitting and yes genetic optimizers are a "fancy" way of doing such, and yes that is what they are designed to do. Again, there is nothing wrong with any of that. I have been very successfully incorporating such things into my development and testing and trading for quite a long while now and can't imagine not using them and remaining successful with any sort of programmatic strategy trading.

And Multichart has got it's 3D view Optimization aswell. It runs for 100 symbols in few seconds even for complex strategies and provides the Optimization in 3D view.

portfolio testing coming in TS9 apparently

http://www.advancedtrading.com/infr...TMY32JVN?articleID=226900059&_requestid=91226

Very interesting. And this is after TS acquisition of Grail Systems:
http://www.tradestation.com/aboutus/06152010.shtm

Some of the Grail products have overlap with Rina's Portfolio Stream 6, which was not mentioned in the announcement.

I wonder how the Grail and Rina products will integrate in TS9? Certainly, you will want to optimize and walk forward on your portfolio.

Looks like TS is finally adding functionality that could only be found in 3rd party solutions previously ...

Do you think these tools will help TS customers to make money? I doubt it. More time wasted waiting for results from those modules just to find out that the system fails in real trading.

Yes, they most certainly do help customers. A proper and thorough back testing is quite valuable.

Forward testing on historical data is still backtesting. Whoever does not understand that has cognition problems. The issue is how to get innovative and move beyond these old failed methods.

I guess you are having difficulty with the terms proper and thorough. I have been employing these sorts of techniques with great success for quite a while now so telling me that they don't work is fairly futile.