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Product > Features
Summary of main functional features.
For an explanation of features, see the online
User’s Guide.
Quotes retrieval
-
support for custom
quote intervals (from 1 second to daily and longer)
-
quote file formats
supported: CSV (ASCII) formats such as MetaStock, Yahoo, MetaTrader4
and others.
-
automatic detection
of quote interval, market trading hours, number of decimal digits,
etc.
-
automatic
detection/handling of missing quotes and changes in exchange trading
hours
-
accurate
calculation of actual trading-time during a period for accurate
compounding of returns, volatilities, etc.
User configurable
model parameters
-
market trading hours
-
population size
-
initial agent wealth
distribution method (equal, Pareto, Maxwell-Boltzmann)
-
initial agent
position distribution method (equal, Gaussian)
-
stepsize of agent position values
-
transaction costs
for agents
-
random seed value
-
minimum price
increment
-
forecast source
(Virtual Market Price or Best Agents Price)
-
Best Agents group
size
-
breeding frequency
-
minimum breeding
age
-
parent selection
group size
-
mutation
probability
-
maximum genome size
and depth
-
minimum and maximum
initial genome depth
-
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
-
Mersenne twister
pseudo random number generator
-
pausing and
resuming
-
step mode
-
multi-threading
(model evolution continues during most user operations)
Available output data
(data series)
-
several return
calculations of security, Trading Simulator and individual agents such
as total (excess) return, compounded average (excess) return and
trailing (excess) return
-
return
distributions (of security or forecasts) with kurtosis
-
weighted/historical
volatility of security, Trading Simulator and individual agents
-
Virtual Market price
and Best Agents Price
-
bid, ask and spread
on Virtual Market
-
trading volume and
number of trades on Virtual Market
-
number of buy/sell orders in orderbook
before/after market clearing
-
agent defaults and
margin calls
-
forecast,
forecasted price change, forecast error, mean absolute error, (root)
mean squared error, right/wrong forecasted
price changes, Forecast Directional
Accuracy, Forecast Directional Significance
-
filtered volatility
(volatility during right forecasted bars and during wrong forecasted
bars)
-
historical averages
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
-
genetic operators
statistics such as average nodes crossed, average nodes mutated,
number of mutations
-
Trading Simulator
data series such as wealth, position, trades, total (excess) return,
compounded average (excess) return, trailing (excess) return,
weighted/historical volatility, beta, alpha, (relative) Value at Risk,
Sharpe ratio, risk-adjusted return, maximum drawdown, MAR ratio
-
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
parameters (allow short positions, broker commissions, spread,
slippage, etc.)
-
forecast accuracy
filter
-
performance
overview including total (excess) return, compounded average (excess)
return, beta, historical volatility, (Relative) Value at Risk, Maximum
Drawdown, Sharpe Ratio, Alpha, Risk-adjusted return, MAR ratio
-
performance
calculated according to user configurable parameters (compounding
period (i.e. year, quarter ,month, week), number of periods, risk free
rate, VaR confidence level)
-
sub period returns
and statistics
Charts
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)
Agent window
-
shows
agent details such as age, wealth, position, (excess) returns, 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/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
-
context-sensitive
help (dialog boxes, data series tree, gene selection)
-
introduction screen
with sample options
-
optional
tooltips
Data exporting
-
exporting of values
of any data series to a CSV file (historical or in real-time)
Batch processing
-
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)
-
run models until end
of quote file or for a given number or bars
-
automatic naming,
saving and closing of models
-
saving and loading
of batch settings
-
batch creation
through application user interface or command line
Logger
-
keeps track of
missing quotes, unexpected quote times and other non-critical
irregularities in received quotes
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