Presentation of Genetic Programming For Predictive Modeling

Recently found this interesting 30-minute video on the use of genetic programming for predictive modeling.

“I just finished a new tutorial on Predictive Modeling, Genetic Programming and Time Series Prediction. This tutorial introduces the subjects and then provides a demonstration of Discipulus™ producing a time-series predictive model in real time.”

“There is also considerable discussion about Trading System Lab. TSL uses Discipulus to produce automated trading systems. Currently, trading systems developed by Trading System Lab are ranked by third parties as among the world’s most profitable trading systems.”
Click here to watch the video

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • JW says:

    TSL is very interesting. However, what’s the difference between their product (which when I checked 2 years ago was $60k) and http://www.adaptrade.com‘s genetic programmer – which costs around $1k? As far as I can tell these two products do roughly the same.

    I used the latter’s product profitably for a couple of years now on TF & ES futures. Very nice, no complaints at all. You have to know what to look for / how to direct the evolution of the system. But apart from that, it’s simple and effective.

    • I’m not sure what all the differences are but I do believe one of them is Adaptrade Builder does not do predictive modeling. It does use a genetic algorithm to develop a system based upon price action and indicators. Maybe someone else can clarify, but I’m also guessing the backtesting capabilities and output format of TSL is a lot different. In short, TSL is clearly an institutional product unlike Builder.

  • Elliot says:

    Hello Jeff,

    I enjoy your blog very much and your practical examples of systems and code for TS.

    I know s few PhD qunats working for hedge funds who have not had good success trying genetic programming. One of them is using http://www.strategyquant.com/ which is cheaper but a bit more advanced than Adaptrade. About TSL I cannot speak about but I have heard complains from users not been able to generate any profitable systems.

    In my opinion the statement that “Currently, trading systems developed by Trading System Lab are ranked by third parties as among the world’s most profitable trading systems.” is not verifiable because of the nature of GPs and their inherent randomness. Each time a GP goes through a new random generation data-mining bias is introduced by virtue of reuse of same data. This process of testing billions of combinations of entry and exit logic will eventually find some systems that minimize the objective function specified in the in-sample of data but also in any out-of-sample including all possible walk-forward samples. This is basically curve-fitting enforced by data-mining bias. Although GPs are extremely useful in problems where optimization is required that is a disadvantage when it comes to trading systems because optimization is a handicap there rather than desired as you well know.

    One guy told me that using such a program was very frustrating and time-consuming as eventually everything that was generated and tested profitable in out of sample fell apart quite fast. I think your readers should be aware of these other views. Keep up the good work!

    • Darryl says:

      I am a user of TSL, and have found it very powerful. There is a clear and distinct wall separating the ‘evolution’ phase (when the GP establishes the trading rules) and the ‘live trading’ phase (during which the GP is not active or even available). TSL system live trading track records are thus credible, since the company doing the verification (Futures Truth) only has access to the fixed and static trading rules, not the evolution engine. Some of the TSL systems have been tracked and continue to ‘lead the pack’ 5+ years after release….. best stuff I’ve ever seen.

      • Bill C says:

        Hello Darryl –

        I attended a Trader System Labs (TSL) seminar this week and was intrigued by it. I googled and found this website

        http://systemtradersuccess.com/presentation-of-genetic-programming-for-predictive-modeling

        with your comments about the TSL system. You wrote in Dec 2013, is it possible that you can share with me how the system has been behaving this past year, has there been any problems, how did it handle the market correction last month, etc.? Have your created any other strategies? What kind of returns are you seeing?

        Do you know of any other users of the TSL system that I can talk with, looking for some more information from the user community before spending the money.

        My email is: airbear77 (at) msndotcom

        Thank you
        Bill

  • Richard says:

    I am currently a user of TSL, and have been for the last 3 years. I have been trading some of the systems I built since 2010 (it’s currently December 2013) and they continue to hold up well out of sample. I focus mainly on futures, more specifically Ten Year Futures (TY) and Bond Futures (US) which trade on the CME.
    TSL is not the holy grail, but it is without a doubt the best piece of software I have ever used when it comes to building trading systems. Following the rules that TSL has laid out, I built a number of systems with great profit factors and very reasonable trade-to-parameter ratios that continue to outperform any system I was previously able to build by hand. Best of all, TSL is able to find profitable trading systems in a few minutes time.
    I know that futures truth tracks the real time progress of algorithmic trading systems factoring in very reasonable amounts of slippage and commissions, and TSL continues to top a number of those different lists.
    I would highly recommend you view the videos on the TSL website to get a feeling of what TSL is capable of (the videos are free). I continue to evolve systems with TSL that continue to hold up in real time, which can be traded in real time by both programmers and non-programmers alike.

    • Bill C says:

      Hello Richard –

      I attended a Trader System Labs (TSL) seminar this week and was intrigued by it. I googled and found this website

      http://systemtradersuccess.com/presentation-of-genetic-programming-for-predictive-modeling

      with your comments about the TSL system. You wrote in Dec 2013, is it possible that you can share with me how the system has been behaving this past year, has there been any problems, how did it handle the market correction last month, etc.? Have your created any other strategies? What kind of returns are you seeing?

      Do you know of any other users of the TSL system that I can talk with, looking for some more information from the user community before spending the money.

      My email is: airbear77 (at) msndotcom

      Thank you
      Bill

  • Jeff McGinley says:

    Very nice presentation. Any other good resources for predictive modeling research out there? My company, Modern Analytics, has produced an incredible technique for predictive modeling that we have packaged into a SaaS solution, but we’re always trying to further our research to improve the solution.

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