Moving Averages in quote file (was MA in quotefile)

[VinnyM]

Hi,
I've been using AdaptiveModeler for some time and I thing it is a great program.
What I like to see is the ability to put extra data in the quotefile like Moving Averages. I know agents can calculate their own MA but it may be effective if there is one already in the quotefile.

Thanks!

[Jim Witkam]

I agree, this could indeed be useful. But I would warn against using an MA period that was optimized (in some other program) on historical data, as this would probably lead to disappointing results in the future. But using a general MA period like 20, 80 or 200 days could be helpful.

A future version may support the use of additional data such as technical indicators, indices or other data.

In fact, you can already experiment with this now by using the open, high or low column for MA data (if open/high/low data isn't vital). Make sure to turn on the corresponding Gene in the Gene Selection.

[VinnyM]

Thanks, works perfectly. Forecasts are even better without OHL data!
Does is matter at all which column I use for the MA?

[Jim Witkam]

If your not using OHL data but MA values instead, then it shouldn't matter much whether you put this in the Open, High or Low column. For the evaluation of trading rules, the OHL columns do not necessarily need to contain OHL data. Most genes (functions) are not pre-programmed to explicitly attribute any specific meaning to Open, High or Low, except that they are of type "Quote" *. Through the evolution of trading rules, any useful way of using the data from the OHL columns may be learned and represented implicitly in the genome (trading rule).

It is recommended that data in the OHL columns is "Quote" data so that it can be meaningfully compared with other Quote data by functions such as ">" and "Change".
So "Quote" data could be any values that represent prices of the same order of magnitude as the Close prices, such as moving averages, bid/ask, etc.

Note: Remember to turn on the open/high/low genes in the Gene Selection for those columns that contain data that is to be used.

* See the description of genes in the User's Guide for how genes use OHL data.