Dec 032011

Here is a rough idea of what I have planned for upcoming posts. I intend to start by developing a very simple stock market trading system from scratch, implemented in Python. It will have the following components:

  • Accessing free historical data from Yahoo and Google (daily and intraday!)
  • Storing and retrieving the data in files using a common format
  • Simple indicators from scratch (such as moving averages, atr, etc.)
  • A very simple trading system that has various order types and accounts for slippage
  • Simple trading system logs and statistics (%wins/losses, drawdown, expectancy, etc.)
  • A Python interface to a complete indicator package (TA-LIB)

After the basic system is developed, I will demonstrate how to implement very simple Genetic Algorithms and Neural Networks and use them to optimize trading systems. While discussing Genetic Algorithms, I will cover many different fitness functions that can be used to test if the algorithms are getting the answers they should be.

I will then explore some topics that are extremely interesting to me at the moment: Genetic Programming and Gene Expression Programming. These techniques can be used to automatically discover new trading systems, new indicators, or to do time series prediction. I think you will be amazed by how powerful these algorithms are and how simple it can be to implement them.

There are a number of other things that I may touch on including: Analyzing market breadth, the Forex market, various forms of 2d and 3d visualization, book reviews, interesting academic papers, or anything else market related. Obviously, I have a wide range of interests, and I tend to get bored easily. So please bear with me.

As always, any and all feedback will be appreciated.

  2 Responses to “Roadmap”

  1. They are very interesting projects. Thanks.

  2. Hey Mark!,
    I came across your website while i was trying to find out how to get data from google finance. Thanks for your explanations and efforts. I wish you could go on to supply what you were planning as i see above. Looking forward to see your projects. Thanks again.

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