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Tuesday, February 19, 2019

Gandalf Store

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The Project

Gandalf Project originated from the encounter between the world of engineering and finance.

"AI" (Artificial Intelligence) is a branch of engineering that deals with computer techniques to replicate some of the processes characteristic of biological organisms, able to solve complex problems such as trading decisions. This branch declines in evolutionary algorithms (which include genetic algorithms), fuzzy logic and neural networks. In particular, in the eighties, with the advent of early computers, some large financial institutions fueled research in the field of genetic algorithms and neural networks. It 'passed by the validation of discretionary systems, optimization of automated systems, through the characterization of models of risk management.

Gandalf Project goes beyond.

The principle was to make the machine determine what is profitable and what is not on the specific market. No more a technological aid to smooth out the defects of systems tested, but a source of new systems with different time horizons and complexity' theoretically unlimited. So we developed tools oriented to the determination of financial time series statistics inefficiencies that would allow you to customize  artificial investors. The statistical framework was subsequently enriched by forms of money and position management to enhance performance and reduce the risk.

The research project has provided serious answers to questions such as:

- What type of data structure to use to validate a system?

- What distinguishes a pure statistical overfitting by a real inefficiency to be exploited?

- When is it correct to use the Walk Forward Analysis to validate a system created directly from the machine?

- Are there more efficient methods than Monte Carlo Simulation to measure the expected risk?

- When can it be said that the trading system has stopped working?

Only two reference points: solidity of the models used and replicability performance.


Research & Development:


Head of Research & Development of Gandalf Project. A degree in Electronic Engineering, after several years of study in the field of technical analysis, he began operations in key international markets of stocks, futures, options and currencies. During this period he continued to attend numerous training courses to deepen his knowledge of statistics applied to prices and money management. His experience in the field of genetic algorithms and neural networks was used to create trading systems. He has many years of programming experience with several languages as C, C++, Java, Ruby, Python and on trading platforms such as Tradestation, Multicharts, Amibroker and Visual Trader. He has contributed to the drafting of the book "Visual Trader II: Implementing Winning Strategies" published by Trading Library. In 2009 he collaborated with Traderlink to the restyling of the trading system section of the software Visual Trader. In the 2011-2012 period he developed Gandalf, a data mining software for the determination of the statistical inefficiency of the historical prices of stocks, futures, currencies and ETFs. Its main activity is that of developer of trading systems, on which subject he teaches courses, coaching and counseling to individuals and companies. He is an associate in S.I.A.T. (the italian branch of I.F.T.A.), speaker in the Investment and Trading Forum (ITF from the first editions), TOL Expo of Borsa Italiana and Optionforum, cooperates in Educational projects with banks, brokers and IT Companies (Traderlink, Tradestation, BATS Europe). You can read his articles also in www.milanofinanza.it





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