Tomas Nesnidal, a trader with 10+ years of experience sharing his knowledge on his blog SystemsOnTheRoad.com , came to trading about nine years ago after an entirely different career. "I used to work as film director, but in the country where I come from it is very difficult profession from financial perspective. I wanted higher quality of life so I thought that trading could be way to improve my income. Finally I left film directing completely and become full time trader. It took me another few years to learn how to do it profitably. But I love trading. It is very challenging business..."
Like many traders, Tomas started as a discretionary trader before becoming interested in systematic approaches. "I had no experience in developing mechanical trading strategies and as former discretionary trader I did not believe much in this direction. But I was lucky to meet several people who already had been profitable with mechanical strategies and who shared some important knowledge with me."
Even for a skilled strategy developer, however, building trading strategies can be a difficult process that takes time away from trading. As Tomas pointed out, "...I still did not enjoy process of developing trading strategies - it was too long and too frustrating process. I knew I need to optimize my time better and find better way to develop strategies. In that time I found out information about Genetic Algorithms and Genetic Programming. It took my attention immediately. I knew this was the way I wanted do it. ... just few months after I started working with GA, Mike came out with Adaptrade Builder. It gave me all the new perspective on building strategies by computer."
Currently, Tomas uses Adaptrade Builder (AB) to develop automated trading strategies for markets like the mini Russell 2000 futures. "I am interested in markets that offer interesting volatility, good opportunities in term of possible daily profit - as I never hold overnight - and sufficient volume." By focusing on automated approaches, Tomas doesn't have to sit behind the computer all day. "I finally still do sit behind computer several hours a day as there is a lot of to learn about mechanical trading yet, but I am much more flexible now. This is what I wanted - more time flexibility. I can go to beach or play golf or meet my friends anytime I want and don’t have to sit behind computer from certain time to the end of the session."
Tomas takes full advantage of Builder's latest capabilities. "... you can test literally millions of ideas in a few hours... You open AB, set up some parameters and let AB do the work. It will build strategies, test it OOS and produce final codes. Especially with latest 64-Bit AB 1.2 the progress is very efficient. On my computer (i7-980x, 12GB RAM, SSD Intel 320) I can use up to 65,000 population on daily data... in 15 minutes. So I use AB mainly as "sampler" of strategies. I love to set up huge population and very little generation (1-3). I also always set up just few strategy components, because the smaller you keep the solution space, the higher possibility you find something interesting quicker. Then I let AB sample as many strategies as possible. I repeat the process several times and try different fitness functions as well (I still prefer keeping FF simple and avoid complex setups). At the end of the day I might have gone through possibly one million sampled strategies and have few interesting concepts. For the rest of the week I try to test these concepts further on TS or MultiCharts and find out if some of them is really robust. If I find such a concept, I have strategy candidate. If I do not, I just turn on AB again and let it do its work. ...I cannot imagine working without it anymore."
"I have just finished new strategy... with only 3 parameters, very high statistic sample (trades 600-900 are out-of-sample) and generally works also on different indexes. Now it only took me 2 days to make this strategy thanks to 64 bit version which allows me to work with huge population number on my 12 MB RAM. With populations several ten thousands it is much faster to get some good result from the big solution space. It took one day to find rough concept with AB and other day to work out on the strategy "manually" in TS to finish it to this state."
Disclaimer: Tomas and systemsontheroad.com are a registered affiliate of Adaptrade Software. You can visit his web site at SystemsOnTheRoad.com.