Building Automated Trading Strategies October 2018 | Page 57

(2) ADAPTING TO NEW MARKET CONDITIONS -ADAPTIVE AUTONOMOUS AGENTS (AAA) According to Eugene A. Durenard (2013), an AAA is a physical or software decision-making process that is composed of the following three elements: 1. Sensors: Any device that receives information from the external world. Trading strategy: various indicators as well as performance measures of a range of simulated strategies. 2. Actuators: Any device by which the agent outputs information and acts on the external world. Trading strategy: order management system that ensures current desired market position and emits current desired passive or aggressive orders 3. Adaptive Control System: A goal-oriented decision-making system that reads sensors and activates actuators. Trading strategy: feedback and subsumption architecture that achieves optimal profit under constraints of capital utilization and minimal drawdown 9 . (Note that subsumption architecture is a robotic architecture associated with behavior-based robotics) 9 Professional Automated Trading Theory and Practice” -Eugene A. Durenard (2013) 57 / 64 « B u i l d i n g A u t o m a t e d T r a d i n g S t r a t e g i e s »