The Grail Genetic System Builder for TradeStation creates futures, stocks, commodities, bonds and currencies trading systems for global markets (in fully disclosed EasyLanguage). The software allows the testing of systems on unseen data and includes various fixed fractional money management (position sizing) strategies as well as a genetic portfolio optimizer / evaluator. Free demo available.

Frequently Asked Questions

  1. What makes GGO/GWFO so unique? What is The Grail methodology?
The Grail Genetic Optimizer (GGO) has an important advantage when compared to other genetic optimizers. Where existing genetic optimizers should be carefully monitored during the optimization process to prevent over-optimization, GGO has a much more sophisticated but also more effective approach to prevent curve fitting. This is because the actual selection of final parameters does not take place in GGO but is made with the help of the Walk-forward optimizer (GWFO). GGO merely selects profitable solutions to be properly walk-forward tested at a later stage by GWFO. GWFO enables the user to perform a detailed walk-forward analysis on those solutions selected by GGO, thereby providing much higher statistical evidence/assurance than other methods.
Even though the genetic/walk-forward optimization approach is not as prone to over-optimization risks as other genetic optimizers, the GGO also introduces an additional measure to promote stable parameter selection during the initial genetic optimization stage. This is achieved by performing a stress test on parameter combinations to see how performance would have deteriorated if all the parameters were changed a certain percentage (which can be set by the user). While we strongly recommend to use this feature, users should note that the stress test will increase the total time taken to optimize, by a factor of 2-5 depending of the stress level set by the user (the recommended setting is 3).
Running GGO on its own without the stress test or the walk-forward optimizer would be similar to using any other existing genetic optimizer. By adding the stress test would add another dimension to the level of assurance provided by GGO while also using the walk-forward optimizer adds yet another dimension of protection against curve-fitting.
It is totally up to the user to decide which level of protection is sufficient for his specific needs. However, we would strongly advise GGO users, to always use the Genetic optimizer with level 3-5 stress testing, in combination with the walk-forward optimizer. This will provide users with the highest level of assurance without unrealistic waiting periods.

The biggest advantage of The Grail is its combined genetic/walk-forward/stress testing approach.
Thus our software is not only a genetic optimizer or only a walk-forward optimizer or only performs some sensitivity analysis.
No, the GGO/GWFO performs all of these together to form a comprehensive system evaluation methodology.

 
     


  Most other commercial walk-forward tools are doing only a single walk-forward analysis.
E.g. you would select a certain portion of data to be OOS (e.g. 20% of each walk-forward window)
and number of walk-forward runs and then perform a walk-forward analysis.
This still gives you only one walk-forward analysis based on OOS=20% for each window and 10 OOS runs for example.

By varying these parameters you can get totally different walk-forward analysis and thus totally different results!
The Grail Walk-Forward Optimizer (GWFO) allow you to vary these settings so you could run MULTIPLE walk-forward analyses.
For instance you may vary the OOS% between 5 - 30% and vary the number of OOS runs between 10-100.
We call this comprehensive testing of multiple walk-forward analyses a cluster analysis.
Thus we are analysing clusters of walk-forward analysis!
This is only possible because our software runs between 20-100 times faster than an Excel environment
(People sometime confuse multiple OOS runs with multiple walk-forward analysis.
An individual walk-forward analysis will always have multiple OOS runs, but it is still a SINGLE walk-forward analysis. This is the case with most other walk-forward tools. The mere fact that a walk-forward test has more than one walk-forward runs is NOT the same as a cluster analysis of MULTIPLE walk-forward analysis as performed by the GWFO!)

This approach is also more comprehensive than simply looking at a graph that can at any time only display
the variation of two individual variables.
In fact, the GWFO also shows that it is possible for a system to pass a single walk-forward analysis permutation (e.g. OOS=20%, OOS runs=10) but could still fail all the surrounding
walk-forward analysis permutations, thus it is indeed dangerous to only perform a single walk-forward analysis (as offered by other similar tools)

Doing a cluster analysis of multiple walk-forward analysis raises the assurance of the test to a much higher level than when only performing a single walk-forward analysis.

The third important component in the methodology is "stress testing". During the genetic optimization the GGO performs a sensitivity analysis on the parameters being optimized. This is done by varying the individual parameters a certain percentage to the up/downside to see how quickly the results are degrading. This feature further promotes the selection of truly robust parameters.

2. How does the GGO, GWFO and CASB complement each other?
The Grail software is built around our Walk-Forward Optimizer. Our walk-forward optimizer is what makes The Grail software truly unique.  
The walk-forward optimizer (GWFO) is designed to provide an objective method to determine whether a trading strategy is robust or not.
The walk-forward optimizer works together with our Genetic Optimizer (GGO). The GGO allows a user to cleverly search a vast optimization space in a short period of time. At the same time, the GGO selects solutions to be walk-forward tested by the GWFO.
If a strategy passes the Walk-forward test, then such a strategy is deemed appropriate for real time implementation.
The GGO and GWFO can be applied to ANY EasyLanguage TM trading strategy, thus traders typically use it to evaluate the robustness of strategies designed by them self.
This is the crux of The Grail system evaluation methodology.
GGO&GWFO is recommended for ANY trader, right through from novice to experienced traders. If you do not have the GWFO in your arsenal of performance evaluation tools, then you are trading dangerously!

The Computer Assisted Strategy Builder (CASB) is an add-on tool and does not form part of The Grail system evaluation methodology. The CASB is intended to allow users to quickly explore many different permutations of different indicators, price patterns and exits.
The intention with CASB is not to be some magic piece of software that will automatically spit out hundreds of trading strategies which are all robust.
The intention with CASB is to provide the trader a powerful tool as to further explore and refine their own trading ideas.
With CASB, a user is able to quickly see which kind of indicators performs well or does not work on a specific market.
While the CASB is so flexible, the user can add virtually any new indicator or price pattern and then use CASB to sift through millions of permutations identifying those solutions that show promise.
Once CASB has determined solutions that show potential, the user can submit such a strategy again to the GGO/GWFO as to determine if the strategy is truly robust.
Note that CASB is a tool that requires the trader to spend some time with it. The more time you spend with CASB, the more you will realize its true potential.  
CASB is not recommended for the occasional trader.  

For a complete list of FAQ's, visit http://www.thegrailsystem.com/forum/index.php?board=3.0

 
     

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