Select a version from the list below to see the release notes:
- Optional generation of cash signal at market close to avoid overnight positions.
- Spread and slippage can now be specified either as a percentage of price or in points.
- New * gene to multiply Change values with Lag and Direction values (useful to multiply volatility i.e. to create Bollinger Band like functions and to enable wider use of Change values in general).
- Problems with running on Microsoft Surface computers fixed.
- The "Minimum position unit" parameter has been renamed to "Minimum position increment". Otherwise it hasn't changed.
- Manual exporting of many bars was very slow. This has been fixed.
- A small change in the RndLim gene: the standard deviation is now calculated over the last 50 bars instead of the last 20.
- Some shortcut keys added to the Export dialog.
- Multiple custom input variables are now supported (up to 100).
- New "mrlim" and "tflim" genes for generating order limit prices, based on mean-reverting and trend-following price expectations.
- The Monte Carlo Simulation data series now uses a student's t-distribution with customizable degrees of freedom to better simulate the returns of stocks and other securities.
Notes for users of previous versions
- Because of a bug fix regarding the calculation of Breeding Fitness Return when "minimum breeding age" was set to 1 (see below), in order to get the same behavior again (random selection of agents for breeding), the "Parent selection method" should now be set to Tournament with tournament size = 1. This seems to give quite good results. (Note that the selection of poorly performing agents for replacement will still be non-random).
- The new genes (i.e. "mrlim", "tflim" and those needed for multiple custom input variables) are not present in old configuration or model files from previous versions. To use these new features, a new configuration file must be used.
- To make use of multiple custom input variables, Digit genes also need to be enabled in the gene selection, besides genes related to type Custom (see User's Guide section 4.1.8).
- The parameter "breeding cycle frequency" has been renamed to "breeding cycle length". Besides the name, nothing has changed.
- The maximum genome size in the Evaluation Edition is now limited to 1024. The default value for the maximum genome size parameter has been changed from 1000 to 1024 in all editions. (In the Standard and Professional Editions it can still be increased to 4096).
- When "minimum breeding age" was set to 1, the Breeding Fitness Return was calculated wrong, making the selection of agents for breeding effectively random.
- When using a model or configuration from a previous version, clicking "Restore default selection" in the "Select Genes" dialog could lead to problems if the previous version did not support exactly the same genes as the current version. This is fixed now. (Deprecated genes (that are only kept in the current version for backward compatibility) will always be deselected with this button but they can still be selected again manually).
- Sub period table in Performance Overview did not show "*" after name of first period if it was a partial period.
- When saving batch files, the path in the filename was sometimes different than the directory being shown. This could cause unintended overwriting of another batch file.
- When the quote file contained a row with wrong number of columns, the invalid row was not always properly indicated.
- Exception could occur when a model from an older version was opened and the Trading System had not been started yet.
- Corrected wrong spacing for avgcustom, maxcustom and mincustom genes when showing a genome.
- Average Trade Duration added to Trades section of Perfomance Overview.
- Trades statistics of Performance Overview are now also available as data series so that they can be exported.
- Initial assignment of position values to agents can now also use a uniform distribution.
- FDA data series can now have an autocorrelation series (see notes in User's Guide).
- Single Bar FDA data series has been removed (still supported for models from previous versions).
- Autocorrelation data series now calculates the mean and standard deviation separately for the lagged data so it no longer assumes stationarity.
- Some improvements to calculation of historical simulation and Monte Carlo data series.
- Added typical trading performance statistics to "Batch report" style (Alpha, #Trades, %Winning trades, Avg trade return, Profit Factor, Avg trade duration).
- When a chart was scrolled back to the start and the oldest bars got discarded when MaxBarsStored* was exceeded, chart wasn't rescaled properly.
- When MaxBarsStored was exceeded, the oldest bar in a chart sometimes showed latest bar data.
- Exception occured when a data series with parameters was dragged from the tree view into the Current Values window and the parameter dialog window was cancelled.
- Moving Average data series sometimes showed incorrect data for the earliest part of the calculation period when the MaxBarsStored was exceeded.
- Opening a model that was saved at MaxBarsStored by the same edition was not possible (saying MaxBarsStored was exceeded).
- Exported values from distribution data series from charts that were not visible were incorrect in some cases.
- When moving the crosshair in a chart towards the bottom-left or top-right corner of charts with a very large chart period (using "vertical fine-tuning"), the data series window could show invalid values.
- Historical simulation and Monte Carlo data series did not catch infinite mean or standard deviation values in some cases which caused an exception when drawing histogram.
*MaxBarsStored = maximum number of bars stored in memory / on disk.
- Tournament selection for selecting agents for breeding with adjustable tournament size to control the selection pressure.
- Adjustable crossover operator to control the average size of subtrees that are being exchanged. This can affect the genetic evolution rate and granularity (Professional Edition only).
- In the Evolution settings, the "initial selection" has been renamed to "eligible selection".
- Added an "Intraday" style.
Notes for users of previous versions
- Previous versions always used the Truncation method as the parent selection method. This is therefore still the default setting.
- In previous versions, the crossover operator already used a "preferred minimum number of nodes" setting of 25 internally. This is therefore still the default setting.
- Application window sometimes was shown behind other windows after launch.
- Application crashed when the Trading System got started after 100,000 bars.
- When saving configuration files, the path in the filename was sometimes different than the directory being shown. This could cause unintended overwriting of the standard.cfg file.
A bug in version 1.4.1 has been fixed that caused the
compounding interval of some data series to be changed when opening
models that were created by older versions.
Users who already installed the previous 1.4.1 build are advised to install this latest build and no longer use the previous build to create or update models.
- The Performance Overview now includes trades statistics including the number of long/short trades, winning trades%, average return per trade and Profit Factor.
- Additional chart intervals (5ms, 50ms, 500ms and 5s) have been added to reduce the problem of few or no x-axis labels being shown in charts when using a bar interval shorter than 10 seconds.
- Splashscreen progress bar is more accurate and fades out.
- The "TS Trades" dataseries has been renamed to "TS Transactions". Likewise, on the Performance Overview, the "Number of trades" (under Status) has been renamed to "Number of transactions". This is to reflect more clearly that these values are (and always were) about single buy/sell transactions and not about completed "trades" (opening and closing a position) which are now also being reported on the Performance Overview.
- The new "Trades" statistics on the Performance Overview will not include trades that have already occured in existing models that were created by previous versions.
- An additional custom input variable can now be included in the quote file and used by agents. This can be any variable that could help forecasting such as fundamental data, an economic indicator, another price series or a custom technical indicator (Professional Edition only).
- Batch dialog now has a button to select a folder with quote files.
- The exact date/time format can now also be specified in a quote file header when date and time are combined in one column.
- Reduced sensitivity of automatic detection of changes in Market Trading Hours.
- Models in a batch sometimes got the exact same random seed.
- Quote file parsing: "hh:mm:ss" time formats were not recognized correctly in some cases.
- Moving Average data series: values were sometimes not formatted correctly in the data overlay.
- New 'spread' gene that returns the spread on the Real or Virtual Market.
- New 'barrange' gene that returns the high/low range of a bar on the Real Market.
- Improved handling of missing or incorrect data in quote file (location of problem was sometimes not indicated or an exception was thrown).
- RSI gene: in the rare case that both the average up changes and the average down changes during the calculation period are zero then an RSI value of 50 is used (instead of 100) in order to indicate a neutral level when no price changes took place.
- Genes have been added that check what day of the week it is so that agents can use this information in their trading rule. Because it is often suggested that markets may have some degree of 'weekday effect' and since the day of the week is always already included in the input data, we thought it useful to add these genes. It turns out that selecting all the 'day' genes (IsMon, IsTue, IsWed, IsThu, IsFri) causes remarkable improvements for the S&P500 index and some other markets when compared to the default configuration. Note: the 'day' genes are not selected in the standard configuration.
- PopulationShares data series that shows the total (net) number of shares in the population. This can be used to see the amount of shares that flow into or out of the population and to what extent the model is an 'open' or 'closed economy'.
- The Standard style has been changed. The old Standard style is also still available in the Styles folder as "Classic".
- Some more User Interface tooltips have been added.
- New data series for historical averages and standard deviations of Population Distribution series like Position, Trade Duration, Beta and Volatility. This enables easier monitoring and exporting of historical distribution data i.e. as proxies for the heterogeneity or homogeneity of stylized agent behavior.
- Reorganized the Population category of the data series tree to accommodate the new average and standard deviation data series.
- Name of "Stdev Agent Wealth" changed to "Rel Stdev Agent Wealth" to more clearly reflect that it is a relative standard deviation. Otherwise this data series is unchanged.
- Sometimes no x-axis labels were shown on small charts with very short or variable intervals.
- Sizing of application window was incorrect when large fonts are used on Windows 7.
- Positioning of Help application was too far to the right when large fonts are used on Windows 7.
- Progress bar in splash screen did not always work properly.
- Improvements in agent charts: all agent replacements are now tracked in agent charts, not only the last one; agent wealth chart now stores history of all previous agent in chart when model is saved; last value of previous agent is no longer connected to first value of new agent.
- Startup splash screen with progress bar.
- Agent fitness calculations now use an exponential moving average.
- Fixed bug in Evaluation Edition that prevented batches that should run until the end of the quote file to complete when quote file contains recent quotes.
- Fixed some bugs related to incorrect sizing of windows (i.e. after moving a window into another frame; showing a thusfar hidden window).
- Fixed bug that caused Select Genes window to display corrupted on Windows 7 when large fonts are used and when window initially did not fit on screen.
- Agents can now (optionally) also place market orders (besides limit orders). A new "MktOrder" gene has been added for this.
- The Market Depth window now provides a summary table with the number of buy and sell orders grouped by limit and market orders.
- Virtual Market return and volatility data series added for better analysis of virtual market behavior.
- Percentage of agents buying and selling (through the Orderbook data series)
- The Orderbook and VM Trades data series now have a parameter to specify market order, limit orders or both order types.
- Standard Edition now support populations of up to 10,000 agents, manual exporting up to 99,999 bars and an unlimited number of models per batch.
- Maximizing Market Depth window during model evolution caused exception.
- Market Depth window caused exceptions in case volume stayed 0 for a while.
- Distribution charts with narrow value range or few bins could cause exception.
- Trading Signals and Right/Wrong Forecasted Price Changes are now also shown in charts with longer periods (up to 5 years for daily quotes). When a data series can not be shown in a chart because of insufficient space per bar, the data series name above the chart will be shown in gray.
- Position of dialog box for changing data series and performance window parameters is remembered.
- Market Depth window could become very slow or halt in certain cases.
New features and changes
- Sortino ratio added (as a data series and in the Performance Overview)
- Models can now automatically be updated from the command line using an "/Update" switch (opens a model, evolves it until the end of the quote file, saves the model and exits).
- Window tabs can now be reordered by dragging them with the mouse
- Windows now have a context menu for renaming, removing, etc. (right-click on title-bar or tab)
- Some minor changes and bug fixes
- Improved possibilities to specify the calculation period for data series and Performance Overview. Any date range can now be specified, for instance to compare performance before and after a given date.
- Performance Overview now also shows FDA and number of trades during calculation period and other improvements.
- The return data series "Total Return", "Compounded Return" and "Trailing Return" (for the security and the Trading Simulator) have been replaced by a new "Return" data series with a parameter to specify the calculation period and method.
- "Total Return" has been renamed to "Cumulative Return" through out the application.
- Showing compounded return data series since model/TS start in charts is no longer supported.
- When opening files from previous versions, Moving Average or Autocorrelation data series for Return and Single Bar FDA data series will be lost.
- Trading Signals were being exported with wrong bar number in some cases.
- Some problems with TS Beta data series.
- some chart bugs and exception with 100 year view.
- Bar Return data series for quantitative analysis of bar-to-bar returns, log returns, absolute returns, etc.
- Autocorrelation indicators to measure autocorrelation of returns, volatility, volume and some other data series.
- Hurst exponent (time series predictability indicator)
- Moving Averages and Autocorrelation indicators can now be shown without their source
- Minimum price increment is now automatically preset based on number of decimal digits in quote file.
- Open Interest column may now also be included in headerless quote file.
- ForecastedPriceChange and ForecastError data series can now have a moving average.
- Return Distribution data series moved into new "Bar Return" category.
- Distribution chart did not get drawn when application window was restored after being minimized (i.e. after a batch run).
- When clicking on a "Browse..." button and the path in the textbox was invalid, an exception occurred.
- If the path or filename of an export file was changed outside Adaptive Modeler while exporting, then the application kept trying to export forever and effectively stalled. Now exporting is just skipped (no notification is being given).
- Some charting issues.
Improved consistency and reproducibility of models across
The potential effects of different CPU types, Operating System versions and settings and Microsoft .Net runtime versions on model evolution have been reduced. This helps reproducing an exact model from its configuration file (with a fixed random seed) on another machine and keeping copied models running on different machines in sync (such as the Sample model). In case you still experience inconsistencies please let us know and mention your CPU type and OS version details.
- Shortcut keys added to some menu items.
- Shortcut key to get context-sensitive help on data series is now Shift-F1 (was F1).
- A bug has been fixed that caused models that used the RndLim gene to be irreproducible (even on the same machine).
- Data overlay kept jumping left and right when moving mouse in a small chart window.
- Improved market data retrieval. A flexible and intelligent ASCII file reader now accepts a wide range of quote file variations with no or minimal need for conversions.
- Support for high-frequency data (milliseconds) and variable intervals (for constant range bars or tick data).
- Bid/Ask price data supported. Open/High/Low (and Volume) now optional.
- Performance Window could give an exception when a large number of subperiods was requested.
- If a quote file in use by a model was renamed or moved and the new specified quote file used an incompatible format, no error message was given.
- When Market Trading Hours were not set to 0:00h and 0:00h for a continuous quote file, an exception could occur when the Market Trading Hours were automatically adjusted to include quotes on 0:00h.
Note to users who downloaded Evaluation Edition release 1.2.0 before May 12, 2009, 10:30 AM (GMT)
The initial Evaluation Edition 1.2.0 release has been replaced by a new built with the following change: In the new built, the bid/ask genes return the close price when bid/ask is not included or zero (for the Real Market). This is compatible with earlier versions and will result in normal continuation of models created with earlier versions that used bid/ask genes (such as the Sample model and all models that use the default model parameters). In the initial 1.2.0 built, the bid/ask genes returned 0 if no bid/ask prices were included. This could result in extreme forecasts in existing models.
- Getting Started Tutorial
- User friendly Startup window
- Recently used models in File menu and Startup window
- More examples
- Showing data series path in Current Values window is now optional (see setting in Options dialog box).
- Batches now have an optional description field.
- In the Performance window: after opening a model and evolving it one bar, the current period in the periods table still showed the return of the previous bar instead of the last bar.
- The Performance window now resizes correctly after application was started minimized.
- Small charts showed no horizontal gridlines sometimes.
- Data overlay wasn't shown for distribution series when all values or mean were n/a. Now n/a values are shown.
- Besides the Professional and Evaluation Editions, a Standard Edition is now available as well, offering basic functionality including real-time forecasts and trading signals (see Compare Editions).
- Batch mode: pausing models at end of batch is now optional.
- Some minor bug fixes.
Notes to users of previous versions
- The new batch setting "Pause models at end of run" is disabled by default. This means that models will continue to evolve automatically after the end of a batch (when more quotes are available) unless this setting is enabled.
- When opening batch files saved by previous versions, this setting will also be disabled by default (although models were automatically paused previously).
- Distribution series now differentiate between zero values and n/a values. I.e. agents whose return can't be calculated yet because their age is too low are excluded from the distribution whereas before they were included as zero values. This improves the distribution charts and Population window and also provides more accurate calculation of mean, stdev, correlation, etc. In the Population window n/a values are shown in green on the "Z-axis".
- "Tip of the day" in Introduction screen.
- Market Depth window: (previous) clearing price was also being shown when there was no matching volume.
- Market Depth window: in cumulative view with ranges other than "All", yellow bars didn't extend to lowest price.
- Small bug in calculation of Best Agent Price related to previous change in calculation of price when same highest trading volume can be matched at multiple price levels.
Note: Migration functionality that was not in use has been removed. Models from previous version that used Immigrants or Emigrants data series can no longer be read with the new version.
- Exception could be caused when model evolution approaches the maximum number of bars that can be stored in memory (100,000 for Professional version and 20,000 for Evaluation version).
- Market Depth window gridlines and axes are now redrawn after colors have been changed in Options window.
- Market Depth window: visualizes Virtual Market pricing by showing depth of orderbook before and after clearing
- Area Under ROC Curve (AUC) test of forecast directional accuracy
- Volatility gene added
- Charts and all other windows can have white backgrounds now
- Now backwards compatible with files from version 1.0.1
- Added "FullLev" gene: This gene returns a constant value of 100% representing "full leverage" and can be used instead of the "LevUnit" and "+" genes to force agents to only place orders for 100%, -100%, or 0% positions. It can also be used in combination with the "LevUnit" and "+" genes. Using this gene may result in shorter "leverage" subtrees which may increase computation performance and improve readability.
- Slight change in calculation of Virtual Market clearing price and Best Agents Price: If the same highest trading volume can be matched at multiple price levels, than the clearing price will be the average of the lowest and the highest of those prices (earlier the highest of those prices was used).
- Exception occured when changing Market Trading Hours manually after they had automatically been set to 0:00h after opening the quote file.
- Population window didn't size correctly after application was started minimzed.
- Corrected tooltip descriptions of some Technical Indicator genes ("t-l" -> "t-l-9").
- Adaptive Modeler 1.0.1 Professional Edition is now available, offering more agents, more bars, better export and batch functions and more (see Compare Editions).
- Automatic Scaling to support various screensizes, fonts and DPI settings. All windows, dialogs and other GUI elements now scale well on various configurations.
- Editing axis range values in Population window caused exception sometimes.
- Applying a Style while a large/slow model is evolving caused exception sometimes (i.e. when Population window or data overlay is shown).
- Automatic setting of Market Trading Hours after selecting a quote file for continuous markets could cause exception in some cases.
- Data files were not being closed sometimes, preventing them from being opened again.
- Creating a new window instance (i.e. a new Charts window) caused exception when given name was not unique.
- Legend in Population window sometimes showed percentages for density charts (instead of integer numbers).
Note: Contrary to earlier notice, backwards compatibility with data files from version 1.0 or earlier is unfortunately not yet supported due to further improvements in internal data structures.
Version 1.0b has been released! This marks the end of alpha stage and in effect is meant to indicate that Adaptive Modeler has reached a more professional deployment level, including improved speed and scalability, more efficient memory usage, backwards compatibility with previous versions and more extensive testing. New features and improvements will of course continue to be added.
New chart features
- Browsing through history of charts
- Crosshair in charts for showing values at mouse
- Charts can be linked for synchronized browsing and crosshairs
New Agent-based model features
- Agent initialization options (wealth can be equal, Pareto distributed or Maxwell-Boltzmann distributed; asset allocation can be equal or Gaussian distributed)
- Configurable stepsize of agent position
- Support for zero-intelligence trading
- Uniqueness requirement for creation of new genomes is now optional
- Initial margin check before order placement
New data series
- Forecast error
- Mean absolute error
- (Root) mean square error
- Population cash
Various new features
- Choice between US or European dates
- Automatic detection of number of decimal digits in quote file
- Context-sensitive help for genes and types
- Batch exporting: random seed exported with model data
- Creation of initial population can be canceled by user (i.e. when too slow)
Improved computational performance and scalability
- Faster creation of (unique) genomes; is now O(log n)
- Faster Virtual Market clearing; is now O(n log n)
- Faster loading of models, smaller model files
- More efficient memory use
- Faster exporting of historical bars
- Order validation was incorrect, sometimes causing extreme Virtual Market prices and agent wealth values.
- Defaults counting was inaccurate in some cases.
- Agent Total Excess Return data series tried to calculate market return for bar that might not be in memory anymore. Now if agent creation bar is not in memory anymore, no value is returned.
- Agent Replacement Fitness Excess Return data series returned inaccurate value when agent creation bar is no longer in memory. Now if agent creation bar is not in memory anymore, no value is returned. In distribution data series, the agent's return will be set to 0.
- Logarithmic scaling exceptions
- Performance window: when compounding period is longer than memory size, an exception was caused.
- Population window: exception when drawing density chart or legend and only 1 value one z-axis.
- Population window: number of gridlines drawn at bin edges could exceed maximum, causing exception.
- Some data series gave index out of range when MinBreedingAge was higher than 100.
- Batch started from command line failed to launch multiple models.
- Chart period combobox was not being repopulated when Market Trading Hours changes resulted in less possible chart periods.
- In long term chart, last bar's value was sometimes not visible.
- Unstable/alternating x-axis gridlines and labels
Other changes relevant to users of previous versions
- "X-Axis unit" combobox (to select chart period) has been replaced by a more intuitive "Chart period" combobox
- Forecast Divergence data series has been replaced by the Forecast Error data series
- random seed value is now included with batch export data
- data overlay now appears automatically when user presses SHIFT while hovering over a chart
- bar shown in data overlay is now remembered when switching between data series and saved with model
- in Export dialog, user can now check "export historical values" also when export file already exists (warning will be given)
Note: Backwards compatibility of data files will be supported for files from version 1.0 and higher. Data files from versions lower than 1.0 can not be read with version 1.0 due to several improvements in internal data structures.
- Application no longer starts minimized after running a batch.
- Very wide charts with many gridlines no longer cause errors.
- Extreme values in Distribution charts no longer cause errors.
- Multiple changes to the Market Trading Hours that occurred during a (data series) calculation period no longer cause errors.
- Demaximize button now shown after opening a model containing a maximized chart.
- Increased width of some text fields in Agent window for showing very large values.
- Division by 0 when all bin boundaries of a distribution chart are equal.
- When exporting historical bars manually while AutoExport is on, the current bar will not be exported twice anymore.
- Checking whether a data series returned a value was not always performed well, in some cases causing 0 values to be reported instead of no values.
- ForecastedPriceChange data series now returns DateTime of current bar instead of previous bar.
- Some agent distribution series now return DateTime of previous bar instead of current bar to correspond better with their corresponding (individual) agent data series. This counts for: Breeding / Replacement fitness (excess) return, Volatility, Beta.
- Some improvements to the way model data is stored in memory to speed up computation and saving and loading of models, especially for larger models with many bars and/or agents.
- Creation of trading rules through genetic programming is now documented in detail
- Trading rules can now be viewed
- Selection of 'genes' (functions) to be used in trading rules is now user configurable
- Maximum size and depth of trading rules is now user configurable
- Improved Batch mode with GUI (simplifies creation of batch processes)
- Context-sensitive help system
- "Best Agents price" as alternative to Virtual Market price forecast (with adjustable groupsize)
- Agent default management and improved short positions management
- Volume data is now being used by trading rules
- Improved pseudo random number generator (uses Mersenne twister algorithm, stores seed value, seed value can be set by user)
- New data series: Right/Wrong Foreceasted Price Changes, Buy/Sell Orders in Orderbook, Spread, Margin Calls, Defaults, Volume, etc.
- Maximizing of windows
- New chart interval of "4 hours" added
- Performance Panel and Distribution charts are no longer being recalculated when not visible
- Tooltips in data series treeview with short descriptions
- Various bug fixes and minor improvements
Changes relevant to users of previous versions that are not evident from the user interface
- The Forecasted Price Change, Forecast Divergence, Right/Wrong Forecasted Price Changes, FDA and FDS data series now have a source parameter, allowing to choose between the Virtual Market price or the Best Agents Price.
- Some names of data series related to the Virtual Market have changed. Note that the output of the Forecast data series now depends on the setting of the "Forecast" parameter (either Virtual Market Price or Best Agents Price).
- Some default model configuration settings have changed.
- Number of agent trades is now advanced by 1 (not 2) when an agent switches from a long to a short position or v.v. (relevant for Trade Duration data series).
- The calculation of the Breeding / Replacement Fitness Excess Return data series is now based on a moving average of the security's return.
- The Agent Replacement Fitness Excess Return Distribution data series (i.e. used in Population window) was calculated wrong. This has been fixed.
- Signals are no longer drawn when their is insufficient space per bar available in the chart.
- The ENTER key can now be used in the data series tree to add new charts. F1 on a data series launches help for the data series.
- The command line options for batch processing have changed to support the new batch functionality (which is also accessible through the GUI).
- In quote files, the "DD.MM.YYYY" date format (European) is now also supported.
- The maximum number of bars that can be processed per model in the Evaluation version has been limited to 20,000.
- The Auto Export function is no longer available in the Evaluation version.
- Bug fixed that caused exception when an error was found in the quote file or when the quote file could not be found.
- Bug fixed that caused exception when opening the export file with another program during Auto Export.
- Population window (visualizes model dynamics by plotting 2 or 3 agent properties simultaneously in colored scatter chart including correlation and regression)
- Several new agent time & distribution data series (breeding fitness return, replacement fitness return, trade duration, volatility, beta, generation, etc.)
- Agent window to show agent details
- Customizable User Interface (moving windows, tabbed windows, maximizing charts, etc.)
- Support for multiple Charts windows/tabs
- Return distribution data series with kurtosis (for prices and forecasts)
- Up to 8 data series can be shown per chart
- Histogram bin details can be shown in data overlay
- Improved quote retrieval (incl. support for MetaTrader4 export files)
- Various minor features, improvements and bug fixes
Changes relevant to users of previous versions that are not evident from the user interface
- Some Population data series have been renamed (the word "agent" has been removed).
- A bug has been fixed in the calculation of r-squared in the beta data series.
- "New..." and "Open..." commands/buttons can now be used without having to close the current model first.
- Showing OHLC bars (for the security's price) is now optional (as a DS parameter).
- In quote files, "mmddyy", "mm/dd/yy", "mmddyyyy" and "yyyy.mm.dd" data formats are now accepted.
- Volume data is now accepted in the default (headerless) Adaptive Modeler quote file format (but not yet used).
- bug fixed that caused exception when dialog appeared for entering new quote file path (when quote file of existing model could not be found).
- bugs fixed that caused exceptions when Exchange Trading Hours were changed during model evolution.
- New return & risk indicators (alpha, beta, Sharpe ratio, VaR, Risk-adjusted return, Max Drawdown, MAR, etc.)
- Trading Simulator Performance Overview with various return/risk indicators and sub period results & statistics
- Data exporting
- Histogram charts showing agent wealth distribution, simulation return distributions, etc.
- FDA-based filter for trading signals (user configurable)
- In-chart data overlay showing current/mouse-over values
- Automatic linear/logarithmic scaling of charts
- Simple batch functionality through command line (i.e. automatic creation of models from all quote files in a directory and exporting of results)
- New data series (excess return, weighted FDA, total FDA, etc.)
- Several improvements to existing features and bug fixes
Changes in terminology
- Previous "Tracking Error" data series has been renamed to "Forecasted Price Change".
- Previous "Forecast Error" data series has been renamed to "Forecast Divergence".
- "Rolling Return" data series have been renamed to "Trailing Return".
- Several other data series names have been changed slightly so that all data series now have unique names. Full pathnames are no longer required to identify a data series and will no longer be shown in chart context menus. However, they can still be shown above the charts through the "Options" dialog.
Functional changes relevant to users of previous versions that are not evident from the user interface
- Slippage parameter is defined differently requiring adjustment of slippage values as entered in older versions (see User's Guide).
- "MM/dd/yyyy" and "d-M-yyyy" quote date formats are now supported. A date format with "yyyy" is required for quote dates before 1930.
- Most data series that were previously non-recomputable are now recomputable.
- It is now allowed to move the quote file that a model is using to another location. Adaptive Modeler will prompt the user for the new location if it can't find the quote file in the expected path.
- Modifications to the quote file that change the position in the file of existing quotes are now allowed. This eliminates the problems caused when using Excel to edit and save the quote file. Also see the User's Guide (chapter 4).
- Changes of the Exchange Trading Hours during model evolution are now being recorded in order to more accurately calculate actual trading time between two dates (i.e. for compounding data series to other intervals) and for finding appropriate comparison dates for calculating return and risk indicators.
- Trading Signals are now visualized in charts with up/down arrows
- Fixed bugs and documented some issues regarding importing Yahoo CSV quote files
- Saving and loading of configurations (model parameters)
- Improved quote retrieval (new quotes are now read whenever quote file has been updated, timezone independent)
- Faster quote file pre-processing
- Bugs fixed relating to 24h markets (forex)
- Bugs fixed relating to short intervals
- Risk Management functions (i.e. historical/Monte Carlo
- Improved & faster charts (including bar charts)
- Selected data series and window layout can be saved separately and applied to any other model
- Several new data series (volatility, more population/agent/GP info)
- Configurable data series
- Moving Averages
- Automatic handling of missing quotes and changes in trading hours
- Trading Signals
- Logger (to keep track of notifications, warnings, etc.)
- Various other improvements and bug fixes
- evolved sample model included with installation
- user friendly introduction screen and tooltips
- improved screen layout
- various minor improvements and bugs fixed
Added support for common ASCII quote file formats such as MetaStock ASCII and Yahoo CSV.
- toolbar added
- some improvements to agent-based model (i.e. limitation of short positions)
- extensive documentation added
- various improvements and bugs fixed
Initial pre-release version.