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in Market Timing Models - 22 Jan, 2015
by James - 2 comments

Trend pullback trading strategies are relatively simple and tend to work across different time frames and on a wide range of securities. We are going to build a Dakota 3 system for the SP futures contract that goes long when a short-term decline occurs in an uptrend and goes short when a short-term rally occurs […]

in Software Updates - 21 Jan, 2015
by James - no comments

The following additional functions were added to version 1.70 of the ATS Dkta3 BasicIndicators and version 1.40 of the Patterns and Profit 8 BasicIndicators: Dave Cline’s Condensed Candlestick indicators. These are CondCandleHO, CondCandleHC and CondCandleOL. Cap and Floor. Cap sets all values in the input series greater than the user specified maximum value to the […]

in Software Updates - 17 Jan, 2015
by James - no comments

The following additional functionality was added in version 1.40 of the ATS Swarm Adapters for Dakota 3: The Flocking Boid and Flocking Boid Adapted swarm adapters were added. Trade bots minimize collisions with one another while moving towards the best bot in the swarm. The Flocking ZBoid and Flocking ZBoid Adapted swarm adapters were added. […]

in Software Updates - 17 Jan, 2015
by James - no comments

The following bot performance add-ins were added to version 1.40 of the ATS Bot Performance Metrics for Dakota 3: NRSlope. Computes the normalized slope of a straight line fitted to the equity curve over the performance lookback period. Computed using log returns multiplied by 100. NRSlopeMultStraightness. Computes the normalized slope of a straight line fitted […]

in Market Timing Models - 16 Jan, 2015
by James - no comments

We are going to build a Dakota 3 market timing model that predicts the 5 period change in the natural log of the daily SP closing price using support vector machines for k-step ahead modeling. The K-Step Ahead SVMPredictors work like this: A support vector machine is trained to predict the input series 1 time […]

in Modeling Software - 16 Jan, 2015
by James - no comments

The ATS Swarm Adapters for BioComp Dakota 3 extend the set of swarm adaptation algorithms that are installed with Dakota 3. Swarm adapters control the movement of trade bots within the adapted parameter space. The goal of a swarm adapter is to move the trade bots into the most profitable region within the parameter space. […]

in Modeling Software - 15 Jan, 2015
by James - no comments

The ATS Bot Performance Add-Ins for BioComp Dakota 3 extends the set of standard bot performance metrics that are installed with Dakota 3. Bot performance metrics measure the performance of individual trade bots within a swarm. The performance measure is used by the swarm adapters when updating the adapted parameter values of the trade bots […]