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Thread: Basic introduction

  1. #1
    Junior Member
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    Basic introduction

    Hi,

    Allow me to be the first to introduce the idea of Genetic Programming to the forum. Basically GP is like building strategy code from lego bricks, using genetic algorithms to find the structure which best suits our needs. Population members are computer programs, during the evolution process they exchange parts of the code, all depends on the fitness algorithm, which in my opinion is the key to achieve good results. More information is easily accessible on the web, including articles, research papers, forum threads or even ready-to-use commercial software, which can generate mql4 or easy language code, so it is easy to start experimenting. Interesting evolutionary computation technique related to GP is Grammatical Evolution. Feel free to ask any questions, I will try to answer but I must admit I am not an expert in GP.

    Cheers

    Matka
    eternity in an hour

  2. #2
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    I found this free e-book, that seems to give a good overview of genetic programming in general.

    Cheers,
    Dr T

  3. #3
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    Ahh, it now dawns on me that Genetic Algorithms (GAs) and Genetic Programming (GP) are related but not the same! I'm beginning to understand how GP can be used to develop trading rules. Sounds very interesting. I'd be keen to learn if many people are trading successfully using this approach? I imagine that the results depend heavily upon the way the initial 'language' or set of programs are set up in the first place. Are there any good approaches for avoiding curve fitting?

    Cheers,
    Dr T

  4. #4
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    Test for Superior Predictive Ability by prof. Peter Hansen is very interesting but complicated. There is a R package ttrTests with some examples. It seems like this method is quite suitable for GP, but I have not found any trading software with SPA test. I'm using simple but probably not very significant methods, like degrees of freedom, Student’s t-test or Monte Carlo simulations. Do you know any interesting approaches?
    eternity in an hour

  5. #5
    Administrator Jim's Avatar
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    Hi Matka,

    Thanks for setting the ball rolling in here. I don't know if this is one of the articles you were thinking of, or indeed the "commercial software". Here's Mike Bryant's beginner's guide to "Building Trading Systems Using Automatic Code Generation", with the emphasis on TradeStation EasyLanguage and (for some strange reason!) genetic programming using Adaptrade Builder.

    Mike's "white paper" includes a few references, and here's a longer master list of genetic programming research/researchers, courtesy of William Langdon.

    Just in case anyone fancies rolling up their sleeves and doing some coding, here's Riccardo Poli's implementation of TinyGP.

    Cheers,

    Jim
    Reality is merely an illusion, albeit a very persistent one - Albert Einstein

  6. #6
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    Hi Jim,

    I was not sure if this kind of links are allowed here, yes among others I was thinking about Mike's Builder. Following it's recent release, which added mql4 code generation, I am testing the trial version now, unfortunately most of the mql I am getting does not even compile in MT4, it is kind of beta in my opinion. My favorite is Genetic Builder. Interesting but not strictly trading related is Eureqa from Cornell Creative Machines Lab.

    Cheers

    Matka
    eternity in an hour

  7. #7
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    Hi Jim,
    Thanks for the links.
    Just in case anyone fancies rolling up their sleeves and doing some coding, here's Riccardo Poli's implementation of TinyGP.
    You've really thrown down the gauntlet there! An alternative option would perhaps be to use GPLAB in either Matlab or Octave. I've never used it, but this discussion has got me interested enough in GP that perhaps I'll download it and have a play!

    Cheers,
    Dr T

  8. #8

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