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    Trading Robots: Half a year or one hour?

    3 Apr 2017,

    We are in 2017 and technologies have advanced a lot in last 20 years, even from a trading point of view. It is already a long time since the algorithm trader was dependent on Excel files. Now there are ways how to work more efficiently.

    I remember how many years ago I have tested different strategies. Testing and optimizing in Excel, practically zero efficiency, and after half year passed I found out that the strategy was over-optimized and had to go into the trash. The fact that the idea ends in a trash bin is normal and it belongs to the trading but to burn half a year …  And still someone is using Excel. I have nothing against Excel, but for building and optimizing strategies we are now having specialized tools, that can manage it within a short period of time.

     

    The time is different and today we can test different options automatically. I can let my computer to test millions of possibilities and search though for potentially interesting strategies even if I’m not at my PC. Of course, it cannot be considered as a holy grail that would found a profitable strategy that can be immediately used. But it can help to find an idea I can work with in the future.  An idea which might have hardly came to my mind at all. I can see how the strategy behaves under different parameters and within a minute I can see if it is or is not over-optimized. Take a look at this chart, where I see a strategy (a thick blue line) and around it 1000 simulations with different parameters. As you can see, the results are changing very little which is very important to us, as the strategy must not be dependent on its parameters. This test takes just few minutes and I know if it is or is not over-optimized.

    If the individual simulations were too different from the original one, the strategy would go to the trash bin. It is so simple, in two minutes I know whether it makes sense to deal with it or not :). Finally, I have a question for you – when I work 1000 times faster than a trader with an Excel, who has an advantage on its side?

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