Features
Overview of main functional features. For more information, see the online User's Guide. For the specifications of different Editions of Adaptive Modeler, see Compare Editions.Market data retrieval
- support for quote intervals ranging from 1 millisecond to multiple days[1]
- support for variable intervals (i.e. for constant range bars or tick data)
- flexible and intelligent (CSV) ASCII file reader that automatically accepts a wide range of format variations such as those used by most charting and technical analysis software packages
- use of open, high, low, close, bid, ask and volume data fields
- support for up to 100 custom fields for additional input variables
- weekday information can optionally be used by agents
- automatic detection of quote interval, market trading hours, number of decimal digits, etc.
- automatic detection of date and time formats (in most cases)
- automatic detection/handling of missing quotes and changes in market trading hours
- accurate calculation of actual market trading time during a period for accurate calculation of compound returns and volatilities per compounding interval
User configurable model parameters
- population size
- initial agent wealth distribution method (equal, Pareto, Maxwell-Boltzmann)
- initial agent position distribution method (equal, uniform, Gaussian)
- stepsize of agent position values
- transaction costs for agents
- minimum price increment
- allow fractional shares
- market trading hours
- forecast source (Virtual Market Price or Best Agents Price)
- Best Agents group size
- breeding cycle length
- minimum breeding age
- parents group size
- parent selection method (truncation or tournament)
- mutation probability
- random seed value
- maximum genome size and depth
- minimum and maximum initial genome depth
- size of subtrees to exchange in crossover
- functions and terminals to use for creating trading rules
- optional uniqueness requirement for creation of new trading rules
Model creation and evolution
- saving and loading of model configurations
- pausing and resuming
- step mode
- Mersenne twister pseudo random number generator
- use of multiple cores and multi-threading for parallel evaluation of trading rules, running batches and background processes
Available output data (data series)
- return calculations of the real and virtual market, Trading Simulator and individual agents such as cumulative (excess) return and compound (excess) return
- bar-to-bar returns, log returns, absolute returns, etc. of the real and virtual market for quantitative analysis
- return distributions (of security or forecasts) with kurtosis
- weighted/historical volatility of the real and virtual market, Trading Simulator and individual agents
- autocorrelation of returns, volatility, volume and other series
- Hurst exponent of security
- Virtual Market price and Best Agents Price
- bid, ask and spread on the real and virtual market
- trading volume and number of trades on the virtual market
- number of buy/sell market/limit orders in orderbook before/after market clearing
- percentage of agents buying and selling
- agent defaults and margin calls
- total (net) amount of cash and shares in the population
- forecast, forecasted price change, forecast error, mean absolute error, (root) mean squared error, right/wrong forecasted price changes, Forecast Directional Accuracy, Forecast Directional Significance, Forecast Directional Area Under Curve (AUC)
- filtered volatility (volatility during right forecasted bars and during wrong forecasted bars)
- historical averages, standard deviations and distribution data series for agent values such as age, wealth, position, (excess) return, volatility, beta, trade duration, number of offspring, genome size, genome depth
- gene statistics to follow how often genes occur in trading rules and how often they are evaluated
- genetic operators statistics such as average nodes crossed, average nodes mutated, number of mutations
- Trading Simulator data series such as wealth, position, transactions, cumulative (excess) return, compound (excess) return, weighted/historical volatility, beta, alpha, (relative) Value at Risk, Sharpe ratio, Sortino ratio, risk-adjusted return, maximum drawdown, MAR ratio and trades statistics.
- Historical and Monte Carlo Simulations of Trading Simulator returns based on user specified parameters such as investment horizon, sample period / expected drift and (filtered) volatility, expected forecast accuracy, wealth, VaR confidence level, etc.
- and others
Trading Simulator
- user configurable trading parameters (allow short positions, closing positions at end of day, broker commissions, spread, slippage, etc.)
- forecast accuracy filter
- performance overview including cumulative (excess) return, compound (excess) return, beta, historical volatility, (Relative) Value at Risk, Maximum Drawdown, Sharpe ratio, Sortino ratio, Alpha, Risk-adjusted return, MAR ratio
- user configurable performance calculation settings including calculation period, compounding interval, risk free rate, VaR confidence level
- sub period returns and statistics
- trades statistics (number of long/short trades, winning trades%, average return per trade, Profit Factor, average trade duration)
Charts
- bar charts and line charts with up to 8 series per chart (real-time)
- histogram charts (real-time)
- dragging and dropping of data series into charts
- horizontal dragging of charts to browse through history
- transparant data overlay and crosshair for showing current or mouse-over values
- linking of charts for synchronized browsing and crosshairs
- lineair/logarithmic scaling (automatic)
- moving averages
Population window
- scatter plots of 2 agent values
- colored scatter plots of 3 agent values
- agent density plots
- correlation and regression (of agent values)
- 3 different axis modes (auto, standard deviation intervals and custom)
- 3 different gridline modes (round numbers, standard deviation intervals and bin edges)
Market Depth window
- visualizes virtual market pricing mechanism by showing depth of orderbook before and after clearing
- shows matching volume
- cumulative or non-cumulative volumes
- price range shown can be adjusted by user
- summary table with the number of buy and sell orders grouped by limit and market orders
Agent window
- shows agent details such as age, wealth, position, (excess) returns, transactions, trade duration, volatility, beta, generation, genome size, genome depth, etc.
- shows trading rule
- allows fast browsing through all agents
User Interface
- customizable user interface (tabbed windows, moving windows, maximizing windows, renaming, maximizing charts, changing colors of chart gridlines and axes, white or black backgrounds)
- creating multiple window instances possible (for Charts, Population and Agent windows)
- saving and loading of styles (workspace layout)
- choice between displaying US or European dates
- automatic scaling of GUI elements to system font and dpi settings to support various screensizes
- context-sensitive help (dialog boxes, data series tree, gene selection)
- optional user interface tooltips
- Startup window with recently used models, examples and tip of the day
- Getting Started Tutorial
Data exporting
- automatic (real-time) exporting of any data series values to a CSV file
- manual exporting of historical values of any data series to a CSV file
Batch processing and automation
- automatically create models for all quote files in a folder (using a given model configuration and style)
- automatically create multiple runs (models) for a security (using a given model configuration and style)
- automatically export results of multiple models to a single export file (CSV)
- automatically update existing models from the command line
- automatic naming, saving and closing of models
- saving and loading of batch settings
- batch creation through application user interface or command line
Log
- keeps track of missing quotes, unexpected quote times and other non-critical irregularities in received quotes
[1] Actual usable minimum interval depends on situation
specific factors such as CPU speed, model parameters and data retrieval
latency. Usually, processing time per quote is only a fraction of a
second.
Online User's Guide