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Adaptive Modeler 1.1.4


Adaptive Modeler 1.1.4

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Adaptive Modeler 1.1.4 Ranking & Summary

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Ranking Level
User Review: 9 (1 times)
File size: 1.44 MB
Platform: WinNT 4.x,Windows2000,WinXP,Windows Vista Sta
License: Shareware
Price: $0
Downloads: 202
Date added: 2009-04-12
Publisher: Altreva

Adaptive Modeler 1.1.4 description

Adaptive Modeler 1.1.4 is used for creating agent-based market simulation models for price forecasting of real world stocks, ETFs or other securities. Thousands of trading agents are provided with real world market data and use their trading rules to compete and adapt on a simulated market. Their collective behavior is used to generate forecasts and trading signals. Models evolve and adapt incrementally (walk-forward) in real-time without repeated optimization or overfitting on historical data. This results in better adaptability to changing market conditions and more consistent and reliable performance.
Adaptive Modeler features an easy to use drag-and-drop user interface, real-time charts and plots to visualize model evolution, behavior and performance, a user configurable genetic programming engine for trading rule creation, (custom) quote intervals from 1 second to daily, Trading Simulator with hedge-fund style performance report, data export function, batch mode, User?s Guide, Tutorial, examples, context-sensitive help and much more.

Major Features:

  1.  Quotes retrieval
    • support for custom quote intervals (from 1 second to daily and longer)quote file formats supported: CSV (ASCII) formats such as MetaStock, Yahoo, MetaTrader4 and others.
    • automatic detection of quote interval, market trading hours, number of decimal digits, etc.
    • automatic detection/handling of missing quotes and changes in exchange trading hours
    • accurate calculation of actual trading-time during a period for accurate compounding of returns, volatilities, etc.
  2. User configurable model parameters
    • market trading hourspopulation size
    • initial agent wealth distribution method (equal, Pareto, Maxwell-Boltzmann)
    • initial agent position distribution method (equal, Gaussian)
    • stepsize of agent position values
    • transaction costs for agents
    • random seed value
    • minimum price increment
    • forecast source (Virtual Market Price or Best Agents Price)
    • Best Agents group size
    • breeding frequency
    • minimum breeding age
    • parent selection group size
    • mutation probability
    • maximum genome size and depth
    • minimum and maximum initial genome depth
    • functions and terminals to use for creating trading rules
    • optional uniqueness requirement for creation of new trading rules
  3.  Model creation and evolution
    • saving and loading of model configurations
    • Mersenne twister pseudo random number generator
    • pausing and resuming
    • step mode
    • multi-threading (model evolution continues during most user operations)
  4. Available output data (data series)
    • several return calculations of security, Trading Simulator and individual agents such as total (excess) return, compounded average (excess) return and trailing (excess) return
    • return distributions (of security or forecasts) with kurtosis
    • weighted/historical volatility of security, Trading Simulator and individual agents
    • Virtual Market price and Best Agents Price
    • bid, ask and spread on Virtual Market
    • trading volume and number of trades on Virtual Market
    • number of buy/sell orders in orderbook before/after market clearing
    • agent defaults and margin calls
    • forecast, forecasted price change, forecast error, mean absolute error, (root) mean squared error, right/wrong forecasted price changes, Forecast Directional Accuracy, Forecast Directional Significance, Forecast Directional Area Under Curve (AUC)
    • filtered volatility (volatility during right forecasted bars and during wrong forecasted bars)
    • historical averages and distribution data series for agent values such as age, wealth, position, (excess) return, volatility, beta, trade duration, number of offspring, genome size, genome depth
    • genetic operators statistics such as average nodes crossed, average nodes mutated, number of mutations
    • Trading Simulator data series such as wealth, position, trades, total (excess) return, compounded average (excess) return, trailing (excess) return, weighted/historical volatility, beta, alpha, (relative) Value at Risk, Sharpe ratio, risk-adjusted return, maximum drawdown, MAR ratio
    • Historical and Monte Carlo Simulations of Trading Simulator returns based on user specified parameters such as investment horizon, sample period / expected drift and (filtered) volatility, expected forecast accuracy, wealth, VaR confidence level, etc.
    • and others
  5. Trading Simulator
    • user configurable parameters (allow short positions, broker commissions, spread, slippage, etc.)
    • forecast accuracy filter
    • performance overview including total (excess) return, compounded average (excess) return, beta, historical volatility, (Relative) Value at Risk, Maximum Drawdown, Sharpe Ratio, Alpha, Risk-adjusted return, MAR ratio
    • performance calculated according to user configurable parameters (compounding period (i.e. year, quarter ,month, week), number of periods, risk free rate, VaR confidence level)
    • sub period returns and statistics
  6. Charts
    • bar charts and line charts with up to 8 series per chart (real-time)
    • histogram charts (real-time)
    • dragging and dropping of data series into charts
    • horizontal dragging of charts to browse through history
    • transparant data overlay and crosshair for showing current or mouse-over values
    • linking of charts for synchronized browsing and crosshairs
    • lineair/logarithmic scaling (automatic)
    • moving averages
  7. Population window
    • scatter plots of 2 agent values
    • colored scatter plots of 3 agent values
    • agent density plots
    • correlation and regression (of agent values)
    • 3 different axis modes (auto, standard deviation intervals and custom)
    • 3 different gridline modes (round numbers, standard deviation intervals and bin edges)
  8. Market Depth window
    • visualizes virtual market pricing mechanism by showing depth of orderbook before or after clearing
    • shows matching volume
    • cumulative or non-cumulative volumes
    • price range shown can be adjusted by user
  9. Agent window
    • shows agent details such as age, wealth, position, (excess) returns, trade duration, volatility, beta, generation, genome size, genome depth, etc.
    • shows trading rule
    • allows fast browsing through all agents
  10.  User Interface
    • customizable user interface (tabbed windows, moving windows, maximizing windows, renaming, maximizing charts, changing colors of chart gridlines and axes, white or black backgrounds)
    • creating multiple window instances possible (for Charts, Population and Agent Windows)
    • saving and loading of Styles (workspace layout)
    • choice between displaying US or European dates
    • automatic scaling of GUI elements to system font and dpi settings to support various screensizes
    • context-sensitive help (dialog boxes, data series tree, gene selection)
    • optional user interface tooltips
    • Startup window with recently used models, examples and tip of the day
    • Getting Started Tutorial
  11. Data exporting
    • Automatic (real-time) exporting of values of any data series to a CSV file
    • manual exporting of historical values of any data series to a CSV file
  12. Batch processing
    • automatically create models for all quote files in a folder (using a given model configuration and Style)
    • automatically create multiple runs (models) for a security (using a given model configuration and Style)
    • automatically export results of multiple models to a single export file (CSV)
    • run models until end of quote file or for a given number or bars
    • automatic naming, saving and closing of models
    • saving and loading of batch settings
    • batch creation through application user interface or command line
  13. Logger
    • keeps track of missing quotes, unexpected quote times and other non-critical irregularities in received quotes


  • Tutorial
  • Examples
  • Startup window


  1. Minimum system requirements for running Adaptive Modeler are:
    • Windows 2000, XP or NT 4.0
    • Microsoft .Net Framework 2.0 or higher (will automatically be installed during installation of Adaptive Modeler if not present yet).
    • 512Mb RAM (supports up to 20,000 agents; for 100,000 agents 1Gb RAM is required)
  2. Other requirements:
    • historical quotes of the security to be modeled
  3. Recommended:
    • quote retrieval software that automatically downloads quotes and saves them in one of Adaptive Modeler’s recognized formats
    • fast CPU
  4. For simultaneously running multiple instances of Adaptive Modeler using the same quote file the following additional requirements apply:
    • for Windows 2000: SP3
    • for Windows XP: SP1
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