Norman’s lab - Financial Analytics Portaldusannavratil.net/personal/NLOverview.pdf · Technologies .NET, WCF, WebForms, WinForms PowerShell, MSBuild, TeamCity MSSQL Server Windows

Norman’s lab - Financial Analytics Portal

Technologies● .NET, WCF, WebForms, WinForms● PowerShell, MSBuild, TeamCity● MSSQL Server● Windows Azure● Elastic Stack● RabbitMq

Strategy building - goals● Faster optimization than MetaTrader● Guided optimization - specific operators● Advanced fitness function definition, multiobjective optimization

Strategy building● Azure Worker role for each trading instrument with a number of optimization

tasks○ Optimization task - strategy family, money management parameters, EA parameters

● Multi-objective optimization - average across history data sources, drawdown● Position management pre-scanned on historical market data via strategy

tester and stored on Azure Storage. Therefore strategy simulation is faster and encoded solution contains only entry conditions

Strategy generation - flow

Strategy generation - algorithm

Multi-objective optimization - Pareto front as a result

Evolutionary algorithm NSGA-II - non-dominated sort, diversity

Mutation operator - modifies parameter, adds/removes block

Crossover operator - combines parts of two strategies

Graph pareto front, EA flow

Strategy generation - algorithm Implementation - C++ library

Strategy generation - results processing

Merge sets and deploy

Merge existing and new strategies, publish and configure monitoring

Diversity

● Rank new strategies according to diversity (type of strategy, parameters, trading history) and objectives (profit, maximum drawdown)

● Pick top X solutions

Assess existing

Assess existing strategies (already monitored) based on live performance (profit, maximum drawdown)

Strategy monitoring● MT4 instance communicates with Signal Provider windows service through

named pipes● Agent service sends trading history and trading events to cloud, rabbitMQ is

used as message broker

Strategy monitoring

Trading plan managementOption to revert changes, Replace strategy by its “relative”

MetaTrader 4 integration

Database improvementsHistorical data storage

- Partitioned Views https://docs.microsoft.com/en-us/sql/t-sql/statements/create-view-transact-sql?view=sql-server-2017#partitioned-views

- ColumnStore index https://docs.microsoft.com/en-us/sql/relational-databases/indexes/columnstore-indexes-overview?view=sql-server-2017