The WTSUG meeting on Wednesday, December 9, 2009 was held from 7:00pm to 10:00pm at Potomac Library of Montgomery County, 10101 Glenolden Drive, Potomac, MD 20854.

Agenda:

7:00pm – 7:15pm         
Introductions and Opening

The group will give brief introductions to the group for any new attendees. Time will be made available for dealing with membership dues and any other minor administration items, but not to exceed 15 minutes in total.

7:15pm –                         “The Grail” Genetic Optimizer / Walk-Forward Optimization
Bruce DeVault

Several years ago, “The Grail” genetic optimizer and the walk forward analysis software was abruptly pulled from the market after an exclusive deal with a South African hedge fund. Now, it’s back in the game and available to the public with new improvements and compatibility with several platforms including the latest releases of TradeStation.

“The Grail” methodology includes genetic optimizer, walk-forward analysis similar to that advocated by trading author Robert Pardo, as well as a computer-assisted strategy builder which allows new strategies to be determined through the optimization process itself, in cases where the user doesn’t really know what kind of strategy might work in advance.

In this session, we’ll take a look at the “grail process”, including walking a simple test strategy through the procedure, as well as examining the results of a computer assisted strategy builder (“CASB”) run, to see how they perform and how the process works. We’ll also compare and contrast the new features with some other approaches, and with TradeStation’s recently added inbuilt genetic optimization option.

Finally, we’ll try to put the strategy design process in perspective, using the Grail product as an example for how to go about a methodical test of a strategy trading idea.