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)
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Professional Automated Trading Theory and Practice” -Eugene A. Durenard (2013)
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