Release Notes
Altreva Adaptive Modeler
Select a version from the list below to see the release notes:
1.6.0
1.5.6
1.5.5
1.5.4
1.5.3
1.5.2
1.5.1
1.5.0
1.4.3
1.4.2
1.4.1.42883
1.4.1
1.4.0
1.3.0
1.2.9
1.2.8
1.2.7
1.2.6
1.2.5
1.2.4
1.2.3
1.2.2
1.2.1
1.2.0
1.1.4
1.1.3
1.1.2
1.1.1
1.1.0
1.0.1
1.0b
0.99.3050
0.99
0.98
0.97
0.96.2448
0.96
0.95
0.94
0.93a
0.92a
0.91a
0.9a
Adaptive Modeler 1.6.0 Release Notes
20 Jul 2020
New features
- Added a Bitcoin (BTCUSD) example model.
- Agents can now (optionally) trade and own fractional shares. A setting on the "model" tab of the "Model Configuration"
dialog can be used to specify if agents can trade fractional shares or only whole numbers of shares.
- The Agent Window now also shows the agent's initial wealth and the number of transactions it has done.
Changes
- Some small changes in the calculation of the number of shares agents buy or sell, related to rounding and transaction costs.
Adaptive Modeler 1.5.6 Release Notes
28 Jun 2020
New features
- The gene statistics (introduced in version 1.5.5) slowed down model evolution somewhat. Therefore they are now only
being tracked when any gene statistics dataseries are present in charts or in the current values window.
- The Agent window now uses scientific notification for wealth, cash and shares values if these get too high to display normally.
Bugs fixed
- Models with 20,000 or more agents sometimes crashed at random moments.
- Automatically assigned export file name was sometimes wrong or used wrong numbering and could lead the application to stop working.
- The gene stats were not tracked for the LevUnit gene.
Changes
- The application now requires the Microsoft .NET Framework 4.8 Runtime.
Adaptive Modeler 1.5.5 Release Notes
4 May 2020
New features
- Gene statistics data series that show the number of times genes occur in trading rules and how often they get
evaluated. This can be helpful in selecting genes.
- A "Return" gene has been added that gives the agent's Breeding Fitness Return. This allows agents to observe their
own trading performance, and is based on the assumption that the behavior of market participants is affected by their
own (recent) returns.
- Genome window now has buttons to browse through all genomes. If an agent gets replaced while viewing its genome,
the new genome will immediately be shown. The window size and position are remembered now.
Bugs fixed
- Problem with installation on some systems that did not have Microsoft .Net Framework version 2.0 installed.
(The application now targets Microsoft .Net Framework version 4.5).
Changes
- The value for "parents group size" has been changed from 5% to 0.5% in the default configuration. This leads to
approximately 3 times less agent replacements (with a minimum breeding age of 80) and seems to give better results.
- The "mutation probability" has been changed from 10% to 1% in the default configuration. This seems to give better
results.
- The names of some genes have been changed to make them all unique by appending a type suffix to genes that were
defined for multiples types.
Adaptive Modeler 1.5.4 Release Notes
4 Jan 2019
New features
- Larger population sizes: The Evaluation Edition now support 5,000 agents, the Standard Edition 25,000 agents
and the Professional Edition 250,000 agents. Please be aware that a model of 250,000 agents can take about 30
seconds to save and 90 seconds to open. Model file size can be over 1GB. During saving/opening, the application
may seem unresponsive.
- Better use of multi-core CPUs for parallel evaluation of trading rules. For large (single) models (10,000+ agents)
this can increase CPU utilization and model evolution speed. Note that when multiple models are run in a batch,
multiple cores were already being utilized so further speed gains are limited. Also, CPU utilization for single
models will not approach 100% because not all steps in the agent-based model cycle can be run in parallel and the
model has to wait every bar until all agent trading rules have been evaluated by the different threads. Speed gains
will especially be achieved when the average genome size is high because then trading rule evaluation will take
relatively much time.
- EMA genes (exponential moving average) with fixed period lengths of 10, 20, 50, 100 and 200 bars. These make it
easier for agents to observe and compare short and long-term price developments using commonly used EMA periods.
Bugs fixed
- Selecting a location for a new export file through the "Browse..." button required the file to already exist
(both in the Export dialog and in the Batch dialog).
- /ModelPath switch on command line (for batches) did not save models to the specified location but to the last used
location instead.
- Model could not close and application became unresponsive when the path of the export file did no longer exist.
- Creating models from the command line caused an exception after processing the entire quote file in case the quote
file resided in the current working directory and was specified on the command line without its path.
- Did not properly recognize DDMMYYYY date format in quote file header.
- MFI genes could cause an overflow exception.
- When a cell was selected in the Current Values window, the context menu could not be opened because the edit
context menu opened instead.
- Quote files ending with many empty lines (or lines containing only commas) could take a very long time to process
while the application became unresponsive.
Changes
- The "invert selection" button on the gene selection dialog has been removed.
Adaptive Modeler 1.5.3 Release Notes
10 Oct 2017
Bugs fixed
- Empty field name in quote file header caused exception.
Adaptive Modeler 1.5.2 Release Notes
7 Apr 2016
New features
- Optional generation of cash signal at market close to avoid overnight
positions.
- Spread and slippage can now be specified either as a percentage of
price or in points.
- New * gene to multiply Change values with Lag and Direction values
(useful to multiply volatility i.e. to create Bollinger Band like
functions and to enable wider use of Change values in general).
Bugs fixed
- Problems with running on Microsoft Surface computers fixed.
Changes
- The "Minimum position unit" parameter has been renamed to "Minimum
position increment". Otherwise it hasn't changed.
Adaptive Modeler 1.5.1 Release Notes
7 Dec 2015
Bugs fixed
- Manual exporting of many bars was very slow. This has been fixed.
Changes
- A small change in the RndLim gene: the standard deviation is now calculated
over the last 50 bars instead of the last 20.
- Some shortcut keys added to the Export dialog.
Adaptive Modeler 1.5.0 Release Notes
5 Jan 2015
New features
- Multiple custom input variables are now supported (up to 100).
- New "mrlim" and "tflim" genes for generating order limit prices, based
on mean-reverting and trend-following price expectations.
- The Monte Carlo Simulation data series now uses a student's
t-distribution with customizable degrees of freedom to better simulate
the returns of stocks and other securities.
Notes for users of previous versions
- Because of a bug fix regarding the calculation of Breeding Fitness
Return when "minimum breeding age" was set to 1 (see below), in order to
get the same behavior again (random selection of agents for breeding),
the "Parent selection method" should now be set to Tournament with
tournament size = 1. This seems to give quite good results. (Note that
the selection of poorly performing agents for replacement will still be
non-random).
- The new genes (i.e. "mrlim", "tflim" and those needed for multiple
custom input variables) are not present in old configuration or model
files from previous versions. To use these new features, a new
configuration file must be used.
- To make use of multiple custom input variables, Digit genes also need
to be enabled in the gene selection, besides genes related to type
Custom (see User's Guide section 4.1.8).
- The parameter "breeding cycle frequency" has been renamed to "breeding
cycle length". Besides the name, nothing has changed.
- The maximum genome size in the Evaluation Edition is now limited to
1024. The default value for the maximum genome size parameter has been
changed from 1000 to 1024 in all editions. (In the Standard and
Professional Editions it can still be increased to 4096).
Bugs fixed
- When "minimum breeding age" was set to 1, the Breeding Fitness
Return was calculated wrong, making the selection of agents for breeding
effectively random.
- When using a model or configuration from a previous version, clicking
"Restore default selection" in the "Select Genes" dialog could lead to
problems if the previous version did not support exactly the same genes
as the current version. This is fixed now. (Deprecated genes (that are
only kept in the current version for backward compatibility) will always
be deselected with this button but they can still be selected again
manually).
- Sub period table in Performance Overview did not show "*" after name
of first period if it was a partial period.
- When saving batch files, the path in the filename was sometimes
different than the directory being shown. This could cause unintended
overwriting of another batch file.
- When the quote file contained a row with wrong number of columns, the
invalid row was not always properly indicated.
- Exception could occur when a model from an older version was opened
and the Trading System had not been started yet.
- Corrected wrong spacing for avgcustom, maxcustom and mincustom genes
when showing a genome.
Adaptive Modeler 1.4.3 Release Notes
15 Sep 2014
New features
- Average Trade Duration added to Trades section of Performance Overview.
- Trades statistics of Performance Overview are now also available as data series so that they can be exported.
- Initial assignment of position values to agents can now also use a uniform distribution.
Changes
- FDA data series can now have an autocorrelation series (see notes in User's Guide).
- Single Bar FDA data series has been removed (still supported for models from previous versions).
- Autocorrelation data series now calculates the mean and standard deviation separately for the lagged data so it no longer assumes stationarity.
- Some improvements to calculation of historical simulation and Monte Carlo data series.
- Added typical trading performance statistics to "Batch report" style (Alpha, #Trades, %Winning trades, Avg trade return, Profit Factor, Avg trade duration).
Bugs fixed
- When a chart was scrolled back to the start and the oldest bars got discarded when MaxBarsStored* was exceeded, chart wasn't rescaled properly.
- When MaxBarsStored was exceeded, the oldest bar in a chart sometimes showed latest bar data.
- Exception occured when a data series with parameters was dragged from the tree view into the Current Values window and the parameter dialog window was cancelled.
- Moving Average data series sometimes showed incorrect data for the earliest part of the calculation period when the MaxBarsStored was exceeded.
- Opening a model that was saved at MaxBarsStored by the same edition was not possible (saying MaxBarsStored was exceeded).
- Exported values from distribution data series from charts that were not visible were incorrect in some cases.
- When moving the crosshair in a chart towards the bottom-left or top-right corner of charts with a very large chart period (using "vertical fine-tuning"), the data series window could show invalid values.
- Historical simulation and Monte Carlo data series did not catch infinite mean or standard deviation values in some cases which caused an exception when drawing histogram.
*MaxBarsStored = maximum number of bars stored in memory / on disk.
Adaptive Modeler 1.4.2 Release Notes
6 Apr 2014
New features
- Tournament selection for selecting agents for breeding with adjustable
tournament size to control the selection pressure.
- Adjustable crossover operator to control the average size of subtrees
that are being exchanged. This can affect the genetic evolution rate and
granularity (Professional Edition only).
Changes
- In the Evolution settings, the "initial selection" has been renamed to
"eligible selection".
- Added an "Intraday" style.
Notes for users of previous versions
- Previous versions always used the Truncation method as the parent
selection method. This is therefore still the default setting.
- In previous versions, the crossover operator already used a "preferred
minimum number of nodes" setting of 25 internally. This is therefore
still the default setting.
Bugs fixed
- Application window sometimes was shown behind other windows after
launch.
- Application crashed when the Trading System got started after 100,000
bars.
- When saving configuration files, the path in the filename was
sometimes different than the directory being shown. This could cause
unintended overwriting of the standard.cfg file.
Adaptive Modeler 1.4.1.42883 Release
Notes
4 Dec 2013
A bug in version 1.4.1 has been fixed that caused the
compounding interval of some data series to be changed when opening
models that were created by older versions.
Users who already installed the previous 1.4.1 build are advised to
install this latest build and no longer use the previous build to create
or update models.
Adaptive Modeler 1.4.1 Release Notes
30 Nov 2013
New features
- The Performance Overview now includes trades statistics including the
number of long/short trades, winning trades%, average return per trade
and Profit Factor.
Bugs fixed
- Additional chart intervals (5ms, 50ms, 500ms and 5s) have been added
to reduce the problem of few or no x-axis labels being shown in charts
when using a bar interval shorter than 10 seconds.
- Splashscreen progress bar is more accurate and fades out.
Change notes
- The "TS Trades" dataseries has been renamed to "TS Transactions".
Likewise, on the Performance Overview, the "Number of trades" (under
Status) has been renamed to "Number of transactions". This is to reflect
more clearly that these values are (and always were) about single
buy/sell transactions and not about completed "trades" (opening and
closing a position) which are now also being reported on the Performance
Overview.
- The new "Trades" statistics on the Performance Overview will not
include trades that have already occured in existing models that were
created by previous versions.
Adaptive Modeler 1.4.0 Release Notes
15 Mar 2013
New features
- An additional custom input variable can now be included in the quote
file and used by agents. This can be any variable that could help
forecasting such as fundamental data, an economic indicator, another
price series or a custom technical indicator (Professional Edition
only).
- Batch dialog now has a button to select a folder with quote files.
- The exact date/time format can now also be specified in a quote file
header when date and time are combined in one column.
Minor changes
- Reduced sensitivity of automatic detection of changes in Market
Trading Hours.
Bugs fixed
- Models in a batch sometimes got the exact same random seed.
- Quote file parsing: "hh:mm:ss" time formats were not recognized
correctly in some cases.
- Moving Average data series: values were sometimes not formatted
correctly in the data overlay.
Adaptive Modeler 1.3.0 Release Notes
11 Jun 2012
New Features
- New 'spread' gene that returns the spread on the Real or Virtual
Market.
- New 'barrange' gene that returns the high/low range of a bar on the
Real Market.
Bugs fixed
- Improved handling of missing or incorrect data in quote file
(location of problem was sometimes not indicated or an exception was
thrown).
Changes
- RSI gene: in the rare case that both the average up changes and the
average down changes during the calculation period are zero then an RSI
value of 50 is used (instead of 100) in order to indicate a neutral
level when no price changes took place.
Adaptive Modeler 1.2.9 Release Notes
30 Sep 2011
New features
- Genes have been added that check what day of the week it is so that
agents can use this information in their trading rule. Because it is
often suggested that markets may have some degree of 'weekday effect'
and since the day of the week is always already included in the input
data, we thought it useful to add these genes. It turns out that
selecting all the 'day' genes (IsMon, IsTue, IsWed, IsThu, IsFri) causes
remarkable improvements for the S&P500 index and some other markets when
compared to the default configuration. Note: the 'day' genes are not
selected in the standard configuration.
- PopulationShares data series that shows the total (net) number of
shares in the population. This can be used to see the amount of shares
that flow into or out of the population and to what extent the model is
an 'open' or 'closed economy'.
Changes
- The Standard style has been changed. The old Standard style is also
still available in the Styles folder as "Classic".
- Some more User Interface tooltips have been added.
Adaptive Modeler 1.2.8 Release Notes
11 Jun 2011
New features
- New data series for historical averages and standard deviations of
Population Distribution series like Position, Trade Duration, Beta and
Volatility. This enables easier monitoring and exporting of historical
distribution data i.e. as proxies for the heterogeneity or homogeneity
of stylized agent behavior.
Changes
- Reorganized the Population category of the data series tree to
accommodate the new average and standard deviation data series.
- Name of "Stdev Agent Wealth" changed to "Rel Stdev Agent Wealth" to
more clearly reflect that it is a relative standard deviation. Otherwise
this data series is unchanged.
Bug fixes
- Sometimes no x-axis labels were shown on small charts with very short
or variable intervals.
- Sizing of application window was incorrect when large fonts are used
on Windows 7.
- Positioning of Help application was too far to the right when large
fonts are used on Windows 7.
- Progress bar in splash screen did not always work properly.
Adaptive Modeler 1.2.7 Release Notes
16 Dec 2010
New features
- Improvements in agent charts: all agent replacements are now tracked
in agent charts, not only the last one; agent wealth chart now stores
history of all previous agent in chart when model is saved; last value
of previous agent is no longer connected to first value of new agent.
- Startup splash screen with progress bar.
Changes
- Agent fitness calculations now use an exponential moving average.
Bug fixes
- Fixed bug in Evaluation Edition that prevented batches that should run
until the end of the quote file to complete when quote file contains
recent quotes.
- Fixed some bugs related to incorrect sizing of windows (i.e. after
moving a window into another frame; showing a thus far hidden window).
- Fixed bug that caused Select Genes window to display corrupted on
Windows 7 when large fonts are used and when window initially did not
fit on screen.
Adaptive Modeler 1.2.6 Release Notes
21 May 2010
New features
- Agents can now (optionally) also place market orders (besides limit
orders). A new "MktOrder" gene has been added for this.
- The Market Depth window now provides a summary table with the number
of buy and sell orders grouped by limit and market orders.
- Virtual Market return and volatility data series added for better
analysis of virtual market behavior.
- Percentage of agents buying and selling (through the Orderbook data
series)
Changes
- The Orderbook and VM Trades data series now have a parameter to
specify market order, limit orders or both order types.
- Standard Edition now support populations of up to 10,000 agents,
manual exporting up to 99,999 bars and an unlimited number of models per
batch.
Bug fixes
- Maximizing Market Depth window during model evolution caused
exception.
- Market Depth window caused exceptions in case volume stayed 0 for a
while.
- Distribution charts with narrow value range or few bins could cause
exception.
Adaptive Modeler 1.2.5 Release Notes
26 Feb 2010
Changes
- Trading Signals and Right/Wrong Forecasted Price Changes are now also
shown in charts with longer periods (up to 5 years for daily quotes).
When a data series can not be shown in a chart because of insufficient
space per bar, the data series name above the chart will be shown in
gray.
- Position of dialog box for changing data series and performance window
parameters is remembered.
Bugs fixed
- Market Depth window could become very slow or halt in certain cases.
Adaptive Modeler 1.2.4 Release Notes
7 Jan 2010
New features and changes
- Sortino ratio added (as a data series and in the Performance Overview)
- Models can now automatically be updated from the command line using an
"/Update" switch (opens a model, evolves it until the end of the quote
file, saves the model and exits).
- Window tabs can now be reordered by dragging them with the mouse
- Windows now have a context menu for renaming, removing, etc.
(right-click on title-bar or tab)
- Some minor changes and bug fixes
Adaptive Modeler 1.2.3 Release Notes
19 Oct 2009
New features
- Improved possibilities to specify the calculation period for data
series and Performance Overview. Any date range can now be specified,
for instance to compare performance before and after a given date.
- Performance Overview now also shows FDA and number of trades during
calculation period and other improvements.
Changes
- The return data series "Total Return", "Compounded Return" and
"Trailing Return" (for the security and the Trading Simulator) have been
replaced by a new "Return" data series with a parameter to specify the
calculation period and method.
- "Total Return" has been renamed to "Cumulative Return" throughout the
application.
- Showing compounded return data series since model/TS start in charts
is no longer supported.
- When opening files from previous versions, Moving Average or
Autocorrelation data series for Return and Single Bar FDA data series
will be lost.
Bugs fixed
- Trading Signals were being exported with wrong bar number in some
cases.
- Some problems with TS Beta data series.
- some chart bugs and exception with 100 year view.
Adaptive Modeler 1.2.2 Release Notes
8 Jul 2009
New features
- Bar Return data series for quantitative analysis of bar-to-bar
returns, log returns, absolute returns, etc.
- Autocorrelation indicators to measure autocorrelation of returns,
volatility, volume and some other data series.
- Hurst exponent (time series predictability indicator)
- Moving Averages and Autocorrelation indicators can now be shown
without their source
Changes
- Minimum price increment is now automatically preset based on number of
decimal digits in quote file.
- Open Interest column may now also be included in headerless quote
file.
- ForecastedPriceChange and ForecastError data series can now have a
moving average.
- Return Distribution data series moved into new "Bar Return" category.
Bugs fixed
- Distribution chart did not get drawn when application window was
restored after being minimized (i.e. after a batch run).
- When clicking on a "Browse..." button and the path in the textbox was
invalid, an exception occurred.
- If the path or filename of an export file was changed outside Adaptive
Modeler while exporting, then the application kept trying to export
forever and effectively stalled. Now exporting is just skipped (no
notification is being given).
- Some charting issues.
Adaptive Modeler 1.2.1 Release Notes
28 May 2009
Improved consistency and reproducibility of models across
different machines
The potential effects of different CPU types, Operating System versions
and settings and Microsoft .Net runtime versions on model evolution have
been reduced. This helps reproducing an exact model from its
configuration file (with a fixed random seed) on another machine and
keeping copied models running on different machines in sync (such as the
Sample model). In case you still experience inconsistencies please let
us know and mention your CPU type and OS version details.
Changes
- Shortcut keys added to some menu items.
- Shortcut key to get context-sensitive help on data series is now
Shift-F1 (was F1).
Bug fixes
- A bug has been fixed that caused models that used the RndLim gene to
be irreproducible (even on the same machine).
- Data overlay kept jumping left and right when moving mouse in a small
chart window.
Adaptive Modeler 1.2.0 Release Notes
11 May 2009
New features
- Improved market data retrieval. A flexible and intelligent ASCII file
reader now accepts a wide range of quote file variations with no or
minimal need for conversions.
- Support for high-frequency data (milliseconds) and variable intervals
(for constant range bars or tick data).
- Bid/Ask price data supported. Open/High/Low (and Volume) now optional.
Bug fixes
- Performance Window could give an exception when a large number of
subperiods was requested.
- If a quote file in use by a model was renamed or moved and the new
specified quote file used an incompatible format, no error message was
given.
- When Market Trading Hours were not set to 0:00h and 0:00h for a
continuous quote file, an exception could occur when the Market Trading
Hours were automatically adjusted to include quotes on 0:00h.
Note to users who downloaded Evaluation Edition release 1.2.0 before
May 12, 2009, 10:30 AM (GMT)
The initial Evaluation Edition 1.2.0 release has been replaced by a new
built with the following change: In the new built, the bid/ask genes
return the close price when bid/ask is not included or zero (for the
Real Market). This is compatible with earlier versions and will result
in normal continuation of models created with earlier versions that used
bid/ask genes (such as the Sample model and all models that use the
default model parameters). In the initial 1.2.0 built, the bid/ask genes
returned 0 if no bid/ask prices were included. This could result in
extreme forecasts in existing models.
Adaptive Modeler 1.1.4 Release Notes
12 Apr 2009
New features
- Getting Started Tutorial
- User friendly Startup window
- Recently used models in File menu and Startup window
- More examples
Minor changes
- Showing data series path in Current Values window is now optional (see
setting in Options dialog box).
- Batches now have an optional description field.
Bug fixes
- In the Performance window: after opening a model and evolving it one
bar, the current period in the periods table still showed the return of
the previous bar instead of the last bar.
- The Performance window now resizes correctly after application was
started minimized.
- Small charts showed no horizontal gridlines sometimes.
- Data overlay wasn't shown for distribution series when all values or
mean were n/a. Now n/a values are shown.
Adaptive Modeler 1.1.3 Release Notes
4 Jan 2009
Changes
- Besides the Professional and Evaluation Editions, a Standard Edition
is now available as well, offering basic functionality including
real-time forecasts and trading signals (see Compare Editions).
- Batch mode: pausing models at end of batch is now optional.
- Some minor bug fixes.
Notes to users of previous versions
- The new batch setting "Pause models at end of run" is disabled by
default. This means that models will continue to evolve automatically
after the end of a batch (when more quotes are available) unless this
setting is enabled.
- When opening batch files saved by previous versions, this setting will
also be disabled by default (although models were automatically paused
previously).
Adaptive Modeler 1.1.2 Release Notes
12 Dec 2008
New features
- Distribution series now differentiate between zero values and n/a
values. I.e. agents whose return can't be calculated yet because their
age is too low are excluded from the distribution whereas before they
were included as zero values. This improves the distribution charts and
Population window and also provides more accurate calculation of mean,
stdev, correlation, etc. In the Population window n/a values are shown
in green on the "Z-axis".
- "Tip of the day" in Introduction screen.
Bugs fixed
- Market Depth window: (previous) clearing price was also being shown
when there was no matching volume.
- Market Depth window: in cumulative view with ranges other than "All",
yellow bars didn't extend to lowest price.
- Small bug in calculation of Best Agent Price related to previous
change in calculation of price when same highest trading volume can be
matched at multiple price levels.
Note: Migration functionality that was not in use has been removed.
Models from previous version that used Immigrants or Emigrants data
series can no longer be read with the new version.
Adaptive Modeler 1.1.1 Release Notes
18 Nov 2008
Bugfixes
- Exception could be caused when model evolution approaches the maximum
number of bars that can be stored in memory (100,000 for Professional
version and 20,000 for Evaluation version).
- Market Depth window gridlines and axes are now redrawn after colors
have been changed in Options window.
Adaptive Modeler 1.1.0 Release Notes
11 Nov 2008
New features
- Market Depth window: visualizes Virtual Market pricing by showing
depth of orderbook before and after clearing
- Area Under ROC Curve (AUC) test of forecast directional accuracy
- Volatility gene added
- Charts and all other windows can have white backgrounds now
- Now backwards compatible with files from version 1.0.1
Minor changes
- Added "FullLev" gene: This gene returns a constant value of 100%
representing "full leverage" and can be used instead of the "LevUnit"
and "+" genes to force agents to only place orders for 100%, -100%, or
0% positions. It can also be used in combination with the "LevUnit" and
"+" genes. Using this gene may result in shorter "leverage" subtrees
which may increase computation performance and improve readability.
- Slight change in calculation of Virtual Market clearing price and Best
Agents Price: If the same highest trading volume can be matched at
multiple price levels, than the clearing price will be the average of
the lowest and the highest of those prices (earlier the highest of those
prices was used).
Bug fixes
- Exception occured when changing Market Trading Hours manually after
they had automatically been set to 0:00h after opening the quote file.
- Population window didn't size correctly after application was started
minimzed.
- Corrected tooltip descriptions of some Technical Indicator genes
("t-l" -> "t-l-9").
Adaptive Modeler 1.0.1 Release Notes
26 Sep 2008
New features
- Adaptive Modeler 1.0.1 Professional Edition is now available, offering
more agents, more bars, better export and batch functions and more (see
Compare Editions).
- Automatic Scaling to support various screensizes, fonts and DPI
settings. All windows, dialogs and other GUI elements now scale well on
various configurations.
Bug fixes
- Editing axis range values in Population window caused exception
sometimes.
- Applying a Style while a large/slow model is evolving caused exception
sometimes (i.e. when Population window or data overlay is shown).
- Automatic setting of Market Trading Hours after selecting a quote file
for continuous markets could cause exception in some cases.
- Data files were not being closed sometimes, preventing them from being
opened again.
- Creating a new window instance (i.e. a new Charts window) caused
exception when given name was not unique.
- Legend in Population window sometimes showed percentages for density
charts (instead of integer numbers).
Note: Contrary to earlier notice, backwards compatibility with data
files from version 1.0 or earlier is unfortunately not yet supported due
to further improvements in internal data structures.
Adaptive Modeler 1.0b Release Notes
11 Jul 2008
Version 1.0b has been released! This marks the end of alpha stage and in effect is meant to indicate that Adaptive Modeler has reached a more professional deployment level, including improved speed and scalability, more efficient memory usage, backwards compatibility with previous versions and more extensive testing. New features and improvements will of course continue to be added.
New chart features
- Browsing through history of charts
- Crosshair in charts for showing values at mouse
- Charts can be linked for synchronized browsing and crosshairs
New Agent-based model features
- Agent initialization options (wealth can be equal, Pareto distributed
or Maxwell-Boltzmann distributed; asset allocation can be equal or
Gaussian distributed)
- Configurable stepsize of agent position
- Support for zero-intelligence trading
- Uniqueness requirement for creation of new genomes is now optional
- Initial margin check before order placement
New data series
- Forecast error
- Mean absolute error
- (Root) mean square error
- Population cash
Various new features
- Choice between US or European dates
- Automatic detection of number of decimal digits in quote file
- Context-sensitive help for genes and types
- Batch exporting: random seed exported with model data
- Creation of initial population can be canceled by user (i.e. when too
slow)
Improved computational performance and scalability
- Faster creation of (unique) genomes; is now O(log n)
- Faster Virtual Market clearing; is now O(n log n)
- Faster loading of models, smaller model files
- More efficient memory use
- Faster exporting of historical bars
Bug fixes
- Order validation was incorrect, sometimes causing extreme Virtual
Market prices and agent wealth values.
- Defaults counting was inaccurate in some cases.
- Agent Total Excess Return data series tried to calculate market return
for bar that might not be in memory anymore. Now if agent creation bar
is not in memory anymore, no value is returned.
- Agent Replacement Fitness Excess Return data series returned
inaccurate value when agent creation bar is no longer in memory. Now if
agent creation bar is not in memory anymore, no value is returned. In
distribution data series, the agent's return will be set to 0.
- Logarithmic scaling exceptions
- Performance window: when compounding period is longer than memory
size, an exception was caused.
- Population window: exception when drawing density chart or legend and
only 1 value one z-axis.
- Population window: number of gridlines drawn at bin edges could exceed
maximum, causing exception.
- Some data series gave index out of range when MinBreedingAge was
higher than 100.
- Batch started from command line failed to launch multiple models.
- Chart period combobox was not being repopulated when Market Trading
Hours changes resulted in less possible chart periods.
- In long term chart, last bar's value was sometimes not visible.
- Unstable/alternating x-axis gridlines and labels
Other changes relevant to users of previous versions
- "X-Axis unit" combobox (to select chart period) has been replaced by a
more intuitive "Chart period" combobox
- Forecast Divergence data series has been replaced by the Forecast
Error data series
- random seed value is now included with batch export data
- data overlay now appears automatically when user presses SHIFT while
hovering over a chart
- bar shown in data overlay is now remembered when switching between
data series and saved with model
- in Export dialog, user can now check "export historical values" also
when export file already exists (warning will be given)
Note: Backwards compatibility of data files will be supported for files
from version 1.0 and higher. Data files from versions lower than 1.0 can
not be read with version 1.0 due to several improvements in internal
data structures.
Adaptive Modeler 0.99.3050 Release Notes
8 May 2008
Bugs fixed
- Application no longer starts minimized after running a batch.
- Very wide charts with many gridlines no longer cause errors.
- Extreme values in Distribution charts no longer cause errors.
- Multiple changes to the Market Trading Hours that occurred during a
(data series) calculation period no longer cause errors.
- Demaximize button now shown after opening a model containing a
maximized chart.
- Increased width of some text fields in Agent window for showing very
large values.
- Division by 0 when all bin boundaries of a distribution chart are
equal.
- When exporting historical bars manually while AutoExport is on, the
current bar will not be exported twice anymore.
- Checking whether a data series returned a value was not always
performed well, in some cases causing 0 values to be reported instead of
no values.
Other changes
- ForecastedPriceChange data series now returns DateTime of current bar
instead of previous bar.
- Some agent distribution series now return DateTime of previous bar
instead of current bar to correspond better with their corresponding
(individual) agent data series. This counts for: Breeding / Replacement
fitness (excess) return, Volatility, Beta.
- Some improvements to the way model data is stored in memory to speed
up computation and saving and loading of models, especially for larger
models with many bars and/or agents.
Adaptive Modeler 0.99 Release Notes
12 Mar 2008
New features
- Creation of trading rules through genetic programming is now
documented in detail
- Trading rules can now be viewed
- Selection of 'genes' (functions) to be used in trading rules is now
user configurable
- Maximum size and depth of trading rules is now user configurable
- Improved Batch mode with GUI (simplifies creation of batch processes)
- Context-sensitive help system
- "Best Agents price" as alternative to Virtual Market price forecast
(with adjustable groupsize)
- Agent default management and improved short positions management
- Volume data is now being used by trading rules
- Improved pseudo random number generator (uses Mersenne twister
algorithm, stores seed value, seed value can be set by user)
- New data series: Right/Wrong Foreceasted Price Changes, Buy/Sell
Orders in Orderbook, Spread, Margin Calls, Defaults, Volume, etc.
- Maximizing of windows
- New chart interval of "4 hours" added
- Performance Panel and Distribution charts are no longer being
recalculated when not visible
- Tooltips in data series treeview with short descriptions
- Various bug fixes and minor improvements
Changes relevant to users of previous versions that are not evident
from the user interface
- The Forecasted Price Change, Forecast Divergence, Right/Wrong
Forecasted Price Changes, FDA and FDS data series now have a source
parameter, allowing to choose between the Virtual Market price or the
Best Agents Price.
- Some names of data series related to the Virtual Market have changed.
Note that the output of the Forecast data series now depends on the
setting of the "Forecast" parameter (either Virtual Market Price or Best
Agents Price).
- Some default model configuration settings have changed.
- Number of agent trades is now advanced by 1 (not 2) when an agent
switches from a long to a short position or v.v. (relevant for Trade
Duration data series).
- The calculation of the Breeding / Replacement Fitness Excess Return
data series is now based on a moving average of the security's return.
- The Agent Replacement Fitness Excess Return Distribution data series
(i.e. used in Population window) was calculated wrong. This has been
fixed.
- Signals are no longer drawn when there is insufficient space per bar
available in the chart.
- The ENTER key can now be used in the data series tree to add new
charts. F1 on a data series launches help for the data series.
- The command line options for batch processing have changed to support
the new batch functionality (which is also accessible through the GUI).
- In quote files, the "DD.MM.YYYY" date format (European) is now also
supported.
- The maximum number of bars that can be processed per model in the
Evaluation version has been limited to 20,000.
- The Auto Export function is no longer available in the Evaluation
version.
- Bug fixed that caused exception when an error was found in the quote
file or when the quote file could not be found.
- Bug fixed that caused exception when opening the export file with
another program during Auto Export.
Adaptive Modeler 0.98 Release Notes
25 Jul 2007
New features
- Population window (visualizes model dynamics by plotting 2 or 3 agent
properties simultaneously in colored scatter chart including correlation
and regression)
- Several new agent time & distribution data series (breeding fitness
return, replacement fitness return, trade duration, volatility, beta,
generation, etc.)
- Agent window to show agent details
- Customizable User Interface (moving windows, tabbed windows,
maximizing charts, etc.)
- Support for multiple Charts windows/tabs
- Return distribution data series with kurtosis (for prices and
forecasts)
- Up to 8 data series can be shown per chart
- Histogram bin details can be shown in data overlay
- Improved quote retrieval (incl. support for MetaTrader4 export files)
- Various minor features, improvements and bug fixes
Changes relevant to users of previous versions that are not evident
from the user interface
- Some Population data series have been renamed (the word "agent" has
been removed).
- A bug has been fixed in the calculation of r-squared in the beta data
series.
- "New..." and "Open..." commands/buttons can now be used without having
to close the current model first.
- Showing OHLC bars (for the security's price) is now optional (as a DS
parameter).
- In quote files, "mmddyy", "mm/dd/yy", "mmddyyyy" and "yyyy.mm.dd" data
formats are now accepted.
- Volume data is now accepted in the default (headerless) Adaptive
Modeler quote file format (but not yet used).
- bug fixed that caused exception when dialog appeared for entering new
quote file path (when quote file of existing model could not be found).
- bugs fixed that caused exceptions when Exchange Trading Hours were
changed during model evolution.
Adaptive Modeler 0.97 Release Notes
28 Feb 2007
New features
- New return & risk indicators (alpha, beta, Sharpe ratio, VaR,
Risk-adjusted return, Max Drawdown, MAR, etc.)
- Trading Simulator Performance Overview with various return/risk
indicators and sub period results & statistics
- Data exporting
- Histogram charts showing agent wealth distribution, simulation return
distributions, etc.
- FDA-based filter for trading signals (user configurable)
- In-chart data overlay showing current/mouse-over values
- Automatic linear/logarithmic scaling of charts
- Simple batch functionality through command line (i.e. automatic
creation of models from all quote files in a directory and exporting of
results)
- New data series (excess return, weighted FDA, total FDA, etc.)
- Several improvements to existing features and bug fixes
Changes in terminology
- Previous "Tracking Error" data series has been renamed to "Forecasted
Price Change".
- Previous "Forecast Error" data series has been renamed to "Forecast
Divergence".
- "Rolling Return" data series have been renamed to "Trailing Return".
- Several other data series names have been changed slightly so that all
data series now have unique names. Full pathnames are no longer required
to identify a data series and will no longer be shown in chart context
menus. However, they can still be shown above the charts through the
"Options" dialog.
Functional changes relevant to users of previous versions that are
not evident from the user interface
- Slippage parameter is defined differently requiring adjustment of
slippage values as entered in older versions (see User's Guide).
- "MM/dd/yyyy" and "d-M-yyyy" quote date formats are now supported. A
date format with "yyyy" is required for quote dates before 1930.
- Most data series that were previously non-recomputable are now
recomputable.
- It is now allowed to move the quote file that a model is using to
another location. Adaptive Modeler will prompt the user for the new
location if it can't find the quote file in the expected path.
- Modifications to the quote file that change the position in the file
of existing quotes are now allowed. This eliminates the problems caused
when using Excel to edit and save the quote file. Also see the User's
Guide (chapter 4).
- Changes of the Exchange Trading Hours during model evolution are now
being recorded in order to more accurately calculate actual trading time
between two dates (i.e. for compounding data series to other intervals)
and for finding appropriate comparison dates for calculating return and
risk indicators.
Adaptive Modeler 0.96.2448 Release Notes
14 Sep 2006
- Trading Signals are now visualized in charts with up/down arrows
- Fixed bugs and documented some issues regarding importing Yahoo CSV
quote files
Adaptive Modeler 0.96 Release Notes
16 Aug 2006
- Saving and loading of configurations (model parameters)
- Improved quote retrieval (new quotes are now read whenever quote file
has been updated, timezone independent)
- Faster quote file pre-processing
- Bugs fixed relating to 24h markets (forex)
- Bugs fixed relating to short intervals
Adaptive Modeler 0.95 Release Notes
24 Jul 2006
- Risk Management functions (i.e. historical/Monte Carlo
simulations)
- Improved & faster charts (including bar charts)
- Selected data series and window layout can be saved separately and
applied to any other model
- Several new data series (volatility, more population/agent/GP info)
- Configurable data series
- Moving Averages
- Automatic handling of missing quotes and changes in trading hours
- Trading Signals
- Logger (to keep track of notifications, warnings, etc.)
- Various other improvements and bug fixes
Adaptive Modeler 0.94 Release Notes
30 Dec 2005
- evolved sample model included with installation
- user friendly introduction screen and tooltips
- improved screen layout
- various minor improvements and bugs fixed
Adaptive Modeler 0.93a Release Notes
26 Oct 2005
Added support for common ASCII quote file formats such as MetaStock ASCII and Yahoo CSV.
Adaptive Modeler 0.92a Release Notes
14 Oct 2005
- toolbar added
- some improvements to agent-based model (i.e. limitation of short
positions)
Adaptive Modeler 0.91a Release Notes
13 Sep 2005
- extensive documentation added
- various improvements and bugs fixed
Adaptive Modeler 0.9a Release Notes
26 Aug 2005
Initial pre-release version.
Online User's Guide