Question

Looking for algorithm developer

Asked by: Schuttend

I am looking for someone who can develop a working algorithm for retrieving data from a sql server database.
In the database there 10.000+ trading systems. A trading system is a set of rules which will output a tradingsignal. Those tradingsignals are in sql server. Those tradingsignals can be used for trading the financial markets.
The problem is that of those 10.000 tradingsystems, only a few a good enough to use.
Each day the database is updated with new results. So in due time it will be clear that some are working and which are not.
Simple selection rule would be: select * tradingsignals from the systems where equity>0

I am looking for a solution which can select the correct working systems already in a early stage.
So on daily basis systems must be selected so tradingsignals can be used.
I have available the defination of a target system which maybe can be used as target in combination with fuzzy logic or pattern matching.
Can somebody point me in the correct direction for this?

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Asked On
2009-01-20 at 11:41:43ID24068063
Tags

Algorithm sql server vb6

Topics

Data Mining

,

Signal Processing

Participating Experts
1
Points
500
Comments
14

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Answers

 

by: DanielWilsonPosted on 2009-01-20 at 12:03:08ID: 23423639

To clarify ... is your simple rule inadequate?  And you're looking for something more complex & accurate?

 

by: SchuttendPosted on 2009-01-20 at 12:17:26ID: 23423824

The simple rule is indeed much too simple.
One would like of course like to select only the best system only. Of those 10.000, 5000 can have a equity>0, that may sound good, but if those 5000 systems equity are stronly heading towards equity=0 that's not good at all.
Select top 1 equity does not work as well. Because one is switching from system to system to much and does not work.
The target system can be more or less described a 45 degree angle line starting from 0 upwards.

 

by: DanielWilsonPosted on 2009-01-20 at 12:43:02ID: 23424102

So ... you want systems with equity increasing over time ... the biggest or most consistent increases marking the most valuable systems ... right?

 

by: SchuttendPosted on 2009-01-20 at 13:16:55ID: 23424413

indeed correct. The biggest equity is not the most important, stability is. With more stability the risk decreases.

 

by: DanielWilsonPosted on 2009-01-20 at 13:26:13ID: 23424502

OK, so we know the goal.  If we're going to try to come up w/ the algorithm here, I (or any other experts who jump in) will need to see the data structure and some sample data.

If you're asking about how to find a good developer ... I'm partial to the developers here @ EE.  You'll want someone strong in SQL Server as well as your application's programming language -- is that VB6?

Several of the top experts say things in their profiles like "Yes, you can hire me" or "For evening work contact me".  You can certainly click through the profiles of experts who've caught your attention looking for such things.  Or if you want some who may be watching this thread to contact you, you could edit your profile to include an email address.  You may just get some top-notch people responding.  If the people who respond have a lot of points in the areas you're interested in, that is your technical interview all done for you!

 

by: SchuttendPosted on 2009-01-20 at 13:38:48ID: 23424615

Indeed the programming language will be vb6 and sql server programming. I will gather some sample data and post it.
In your opinion would there be a solution to this problem?

 

by: DanielWilsonPosted on 2009-01-20 at 13:46:17ID: 23424670

I would think there would be a solution.  It's a matter of defining the algorithm and turning it into code.  The difficult part will be the definition -- how do we quantify stability?

What's in my mind right now would be looking at the differences in equity from one day to the next ... then finding the standard deviation of those daily changes.  Positive equity and low standard deviation sounds like a definition of stability.

What do you think?

 

by: SchuttendPosted on 2009-01-21 at 02:49:22ID: 23428396

Currently I was trying more or less that approach with :drawdown
Drawdown=difference between highest high equity and lowest low equity after the highest high

The smaller the drawdown the more stable the system is. However this is resulting into problems.

While doing :select signals from systems where drawdown<x will give x number of results.
Let's say 1000. So 1000 signals are then combined into 1 main trading signal.
If 800 of those signals are heading towards the maximum allow drawdown and only 200 are holding up, the result will be that the main signal will generate a loss.

A solution might be select top 1 lowest drawdown. However this does not work either, because then sometimes system 1 is best, next day system 2000 etc. This switching is killing for the main result.

 

by: DanielWilsonPosted on 2009-01-21 at 06:30:22ID: 23429864

OK, you're bringing in several more factors ...  2 thoughts.

  1. I can't come up with much meaningful until I see the sample data you're collecting. 
  2. This is likely to be a research-intensive process with a good deal of trial & error involved. 
On that last point ... if the historical data are there ... and we know which system(s) was good, say, last month, then we can test algorithms for picking good system(s) on those older data.  When the algorithm is providing good answers where we know the answers, we will gain confidence in it for those cases where we don't know the right answers ahead of time.

 

by: SchuttendPosted on 2009-01-21 at 06:55:01ID: 23430148

Please find enclosed :
1. Screenshot of my application with tested selecting criteria
2. A file with a target system. This system is good enough for selection. With other words, this would be the needle in the haystack.
9999 bad performing models and 1 good one which has to be found.

 

by: SchuttendPosted on 2009-01-21 at 07:04:35ID: 23430294

Please find enclosed a database example with 11 systems.
Systems are identified by column Systemident.
Other columns can be added if needed. Currently I can select on equity, drawdown etc.
Mind you that selection must start at the first date entry, not looking backward. Looking backwards from 2009 is very easy to see which system approaches tjhe target system.

The database is online, so if needed I can supply login information...

 

by: DanielWilsonPosted on 2009-01-21 at 10:32:57ID: 23432423

Could you add column headings to Database-example.txt ?

Thanks.

 

by: SchuttendPosted on 2009-01-21 at 12:29:35ID: 23433629

I'm sorry, missed that one....
Is this workable?


 

by: DanielWilsonPosted on 2009-01-21 at 12:32:17ID: 23433653

Yeah, that makes more sense.

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