Frequently Asked Questions
1. Why is the ASE using Ant Colony Optimization?
A significant difference between the Ant Strategy Explorer (ASE) and TradeStationTM is the implementation of an Ant Colony Optimization algorithm (using Swarm Intelligence) instead of a Genetic Algorithm.
2. Why is calculating the fitness function across multiple data streams so important?
The most significant difference between the ASE compiler and TradeStation EasyLanguageTM is the fact that fitness functions are calculated across multiple data streams. This results in the search algorithm being able to converge to more robust solutions.
3. What scenarios of multi bar interval and multi market back-testing does ASE support?
ASE V1.01.178 (or later) supports the following multi bar interval and multi market optimization scenarios, with the click of a button, no additional programming or modification of strategies needed:
Back-test a strategy that uses multiple data streams across multiple bar intervals, all data streams uses the same symbol e.g.
IMPORTANT: In EasyLanguage, the execution of the strategy always happens on Data1. Even though Data 2,3, etc. can be used for entry/exit logic, the actual execution will always take place on Data1.
Back-test a strategy that uses multiple data streams across multiple bar intervals, each data stream uses a different symbol e.g.
Back-test a strategy that uses a single data stream across multiple markets, e.g.
Data1 is optimized to be either @ES.D, @TF.D, @NQ.D, thus execution can be on any of the symbols.
The difference between Scenario 2 and 3 is as follow:
With Scenario 2, Data1 is always the same symbol, so the strategy is always executed on the same symbol (even though strategy rules based on Data2 and Data3 are calculated on other symbols, but Data2 & Data3 is not used for execution).
With Scenario 3, Data1 is optimized across different symbols, so the strategy is executed on different symbols.
4. What does "EasyLanguage friendly" means?
The Ant Strategy Explorer is "EasyLanguage friendly". But what does it really means?
5. Why is a 64-bit compiler so important for Data mining?
A 32-bit compiler cannot address more that 4GB of memory per process whereas the amount of memory that can be addressed by a 64-bit compiler
is only limited by physical RAM, for example modern server motherboards can easily support 256GB of RAM.
While one can still get away with the 32-bit limitation when analyzing a small amount of data, e.g. optimizing a single symbol, it becomes an absolute showstopper when trying
to analyze a large portfolio of symbols in parallel or even one symbol with tick data, what is typically needed when performing Data Mining.
6. What is the Simplified Portfolio Engine?
The Simplified Portfolio Engine (SPE) encapsulates the Ant Strategy Explorer (ASE) and Artificial Intelligence Designer (AID). The SPE includes an EasylanguageTM friendly SDL, 64bit compiler, Ant Colony Optimizer & strategy back-tester as well as all other functionality needed by the ASE & AID. The AID exposes a subset of functionality of the SPE as to present the features in a most user-friendly and easy to use manner. The SPE architecture builds on the strengths of the EasyLanguageTM environment while addressing its shortcomings. It gets rid of unnecessary complexity introduced with Object Oriented EasyLanguage (OOEL) and add a number of features specific to portfolio trading & evaluation that cannot be supported by the TradeStation EasyLanguageTM environment.
7. What is the advantages of a DSL compared to Python?
It's important to understand the significant advantages of a Domain Specific Language designed for a trading environment, compared to a general-purpose language (GPL) like Python.
8. Why is it so important to calculate combined Portfolio equity on a bar by bar basis?
Most trading software take a short cut when calculating a portfolio equity curve by simply adding the equity of different strategies on a closed trade to trade basis.
While this method is much faster and simpler to calculate compared to a bar by bar basis, the shortcut approach results in a combined equity curve that cannot calculate accurate portfolio drawdowns.
9. How sure can I be that a trading system will continue to make profit in the future?
Since price patterns may not repeat in precisely the same way in future, a
system may not achieve profits/losses similar to hypothetical testing. To address this
problem, we must ensure that the system is robust. A robust system can handle a variety
of market conditions, across different markets and time frames. A robust system is also not
overly sensitive to the values of parameters, neither is it an overly complex system with
many rules which merely captures nuances within the test data, which may never repeat.
10. What is "curve fitting"?
You are curve-fitting when you have so many parameters that you are optimizing in a model or trading system, that you are basically just fitting to historical data. A system which is curve fitted, will work well on historical data, but will not work on new data. Bear in mind that any kind of fitting of a model to data is a kind of curve-fitting. Most traders think that any curve fitting is bad. However, it is only when it becomes what is called "tautological curve-fitting" that it becomes bad, i.e. it begins to take advantage of purely chance idiosyncrasies that occur in historical data but will not necessarily hold up in future data. To avoid this particular kind of curve-fitting, you should keep the number of parameters and model complexity fairly low relative to the number of data points that are being used to construct the model.
11. What kind of investor is attracted by the Ant Strategy Explorer trading strategies?
The Ant Strategy Explorer attracts open-minded, ambitious and independent thinking people. New and inquiring speculators are usually looking for a better, more profitable, more rewarding endeavor than can enrich their lives, not only with money, but also with experience, adventure and satisfaction. They have already been successful in some form of business and/or profession and as a result have accumulated excess capital that they are willing to risk in the markets. Note that the Ant Strategy Explorer is not a get rich quick scheme, rather it is a scientific approach to ensure constant growth on the long term.
12. I'm interested. What do I do next?
Contact us via e-mail: email@example.com and ask for a demo.
Risk Disclaimer - All trading involves risk. Leveraged trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.
Hypothetical Performance Disclosure - Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.