Trading System Lab



The Genetic Program (GP) used within TSL contains one of the fastest and most powerful algorithms available today.  This GP is capable of producing multiple outputs that may allow multiple trading subsystems to exist within a larger trading system. Each subsystem contributes to the equity curve of the complete trading system. This is a very powerful automatic design approach since it is well known that blending together multiple strategies into a whole trading system may produce superior performance compared to any one individual system. For example, a pattern based signal may prove to be efficient at the current time for long trades, however an oscillator based trading signal may be most efficient for short signals. This situation may invert itself at a future time, making regime switching mechanisms difficult to engineer. The multi output GP contained within TSL may evolve both regime switching mechanisms and signal producing mechanisms within the same evolutionary run, or more precisely, within the same evolutionary multi-run.

Enhancing Profitability of a Trading System

Many legacy trading systems exist today that employ multi-tactic methods. RMESA, for example contains several different embedded trading signals all contributing to the overall equity curve. BigBlue2 also contains multiple trading tactics blended together into a complete trading system. Combining subsystems whose returns are not correlated enhances Sharp Ratios of the overall trading system.  The multi output GP, evolving towards a specific fitness function such as Sharp Ratio, will attempt to evolve and combine multiple subsystems, enhancing profitability and tradability of the overall trading system.

The capability discussed in this brief is one of many benefits available to strategy designers conducting design runs with TSL. The use of TSL decreases time to deployment and increases developer productivity enhancing the overall trading system design experience.