Cracking the code in Automated Options Trading: "Tim Brennan built his first automated options trading platform back in 2000, when he was a trader with Morgan Stanley. ... Flash forward seven years and Morgan Stanley is one of the largest options dealers in the country, and one of only seven primary market makers or specialists at the hugely successful ISE."
Designing a Robust Mechanical Trading Strategy: A Best Practice in Trading: "Utilization of genetic algorithms and similar “hill climbing” techniques are a common way to ensure that your optimization does not give you a single point anomaly, but rather that there are similar input values surrounding your inputs that give similar equity graphs. Walk forward testing is another useful tool that can help you achieve realistic results and see for yourself whether a strategy would have been successful on data that was not optimized (similar to the future)."
AI and Stockpicking: "This is not to say that quantitative models do not work in prediction. The ones that work for me are usually characterized by these properties:
• They are based on a sound econometric or rational basis, and not on random discovery of patterns;
• They have few or even no parameters that need to be fitted to past data;
• They involve linear regression only, and not fitting to some esoteric nonlinear functions;
• They are conceptually simple."
AIStockBot (Open Source): "AIStockBot aims to become the greatest Technical and Fundamental Stock Analysis program written. Using Artificial Intelligence, it should pick stocks better than you. Includes Portfolio & Document Management Systems."
Quantlib (Open Source): "The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life."
ProfitPY (Open Source): "ProfitPy is a set of libraries and tools for the development, testing, and execution of automated stock trading systems Specifically, ProfitPy is a collection of Python packages, modules, and scripts that work together to help you implement an automated stock trading program (or programs)." Works with Interactive Broker.
Genius Trader (Open Source): "GeniusTrader aims to be a full featured toolbox to create trading systems."
Open Java Trading System (Open Source): "The Open Java Trading System (OJTS) is meant to be a common infrastructure to develop stock trading systems."
Merchant of Venice: "Venice is a stock market trading programme that supports portfolio management, charting, technical analysis, paper trading and experimental methods like genetic programming. Venice runs in a graphical user interface with online help and has full documentation. Venice runs on UNIX, including Mac OS X and Windows."
Genetic Programming with Syntactic Restrictions applied to Volatility Forecasting (PDF): "This study uses Genetic Programming (GP) to discover new types of volatility forecasting models for financial time series....The in-sample optimization and out-of-sample tests are performed on 13 years of high frequency data for two foreign exchange time series. The out-of-sample forecasting performance of these new models are compared with the corresponding performance of some popular ARCH-types models, and GP consistently outperform the benchmarks. In particular, GP discovered that cross products of returns at different time horizons improve substantially the forecasting performance."
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