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General Notes:

1. It's no longer necessary to uninstall prior versions of Builder before installing the new version, provided the new version differs in the second digit of the version number, such as 1.5 vs. 1.4. In this case, the new version will be installed in a new folder, such as "Adaptrade Builder 1.5." A minor update, such as 1.5.1 will be installed in the same folder and will over-write the existing version (e.g., 1.5.1 will install over 1.5.0). In this case, it's usually best to uninstall the prior version first.
2. Provided the installation is on the same computer as the prior installation, no new activation code should be required. The new version should install already activated.
3. Uninstalling or installing over an older version will not affect any project files (.gpstrat files) you may have created or saved.
4. New versions of Builder are designed to read files (.gpstrat files) from prior versions. However, once a file is saved in the new version of Builder, you will not be able to open it in an older version.
5. The window layout stored with a currently installed version of Builder is not removed when that version is uninstalled. This means that if a new version, such as 1.5.1, has a different window layout than the prior installed version, the layout may need to be adjusted when the program is first run. The recommended window layout for the current version of Builder can be gleaned from the images in the user's guide. The output windows in Builder (Results tables, Output, Performance Report, Build Report, Equity Curve, Trades List, and Strategy Code) are dockable pane windows that can be moved by clicking and dragging.
6. The most recent version released is listed first, followed by prior releases. The most recent release is always the recommended download version.

Version 1.5.3.0 (4/23/13)

This release adds stress testing with Monte Carlo analysis, as previewed in a recent newsletter article. The stress testing can be performed on existing strategies and incorporated into the build process for new strategies. When stress testing is applied, the results are reported based on the Monte Carlo analysis of the stress test results at a user-specified confidence level. The stress testing options and settings are available on the Build Options tab. The user's guide section for the Build Options tab describes the available settings and options. Also, please see the new section in the user's guide "Stress Testing and Monte Carlo Analysis" in the chapter Usage Topics for a discussion of this feature. The other features of this release are detailed below.

The following changes and fixes were incorporated into this release:

1. Memory management has been improved, which should allow larger populations to be built before reaching the computer's memory limits.
2. Two new metrics have been added to better account for open profit/losses: open profit/loss and the total net profit. The latter is the sum of the closed trade net profit and the open trade profit/loss. Optimizing for total net profit, rather than net (i.e., closed trade) profit should help avoid strategies that end the build period with large open losses.
3. "Signal Price" has been added to the Trade List for both trade entry and trade exit. The signal price is the price calculated by the strategy, whereas the entry and exit prices are the (simulated) fill prices. The signal price is often different than the fill price because of where the bar opens following the bar on which the order price was calculated. Knowing the calculated price can help explain the position size for "percent of equity" position sizing, among other things.
4. The order fill rule for filling limit orders only when the limit price has been exceeded has been added back in to Builder. This is in addition to the bid/ask fill rule on the Evaluation Options tab.
5. The option on Evaluation Options to "Use position sizing stored with the strategy when evaluating existing strategies" has been replaced with a button "Reset to Build Settings". Now, whatever position sizing settings are visible on this tab will be applied when a strategy is evaluated. To restore the settings in place when the strategy was originally built, click the button.
6. The text in the Output window can now be selected and copied to the clipboard.

Version 1.5.2.0 (2/15/13)

The most visible feature in this release is the new Welcome screen, which is optionally displayed when the program starts up. The Welcome screen allows you to directly access three new example projects for stocks, forex, and futures. The screen also displays tips and contains a link for the Quick Start Steps topic of the help files. The other features of this release are primarily convenience (user-interface) features and bug fixes, which are detailed below.

The following changes and fixes were incorporated into this release:

1. The in-sample and out-of-sample Results and Top Strategies tables can be sorted together using a new option, which is selected by right-clicking on the tables ("Sort to Match").
2. The up/down arrow keys can now be used to change the selection of the strategy in the Results and Top Strategies tables.
3. "Move Up" and "Move Dn" buttons have been added to the Change Performance Metrics dialog window to allow you to move metrics up and down in the list of selected metrics. Also, these buttons can be accessed by right-clicking.
4. Builder can now accept price files in reverse date order, where the most recent date is first and the earliest date is last in the file.
5. Builder now verifies that all rows of price data are in consecutive order. If the dates appear out of order, it can indicate that the wrong date format is being used, which can be corrected by selecting a different locale.
6. The maximum position size on the Evaluation Options tab now automatically changes to be at least as large as the fixed size when fixed size position sizing is selected. This helps prevent the position size from being inadvertently limited by an incorrect setting for the maximum position size.
7. The Top Strategies tables are now checked for duplicates before adding a new strategy to the tables.
8. To make it easier to delete items from the Top Strategies tables, multiple rows can be selected together using shift-click and control-click combinations. The selected strategies can be deleted using the delete key or by right-clicking and selecting "Delete Selected Strategies".
9. [bug fix] In MetaTrader 4 code for fixed fractional position sizing, a semi-colon was missing at the end of the statement for the NSharesL or NSharesS variable. This has been corrected.
10. [bug fix] The seconds part of the time field in a price file was not read correctly when the hour part was zero. This has been corrected.
11. [bug fix] When no conditions were selected for the Top Strategies tables, every strategy was copied to Top Strategies by default. This has been changed so that if no conditions are selected, no strategies are copied to Top Strategies.
12. [bug fix] The code for members in Top Strategies was not generated for strategies that were not saved in the Results table, which meant that, in some cases, the code window was blank and, in other cases, the code was from a prior generation. This problem, which also affected the strategy member number, has been corrected.
13. [bug fix] Using a small population size or a small price file could cause a program crash in cases where the build process progressed so fast than the results panes couldn't keep up. This has been corrected.

Version 1.5.1.0 (1/25/13)

This release significantly enhances the build process in Builder. You can now build strategies based on performance requirements and constraints, such as profit factor >= 1.5, drawdown <= 20%, number of trades between 100 and 300, etc. The Build Metrics table has been replaced with separate lists of build objectives (metrics to minimize or maximize) and build conditions (metrics specified in the new constraint conditions). In addition, similar conditions can be specified to filter the results during building to set aside any strategies that meet your requirements. For example, you could have the program set aside any strategy from any step of any build that has a correlation coefficient greater than 0.95 as measured across all segments of the data and which has a net profit of more than $5000 on the out-of-sample segment. These strategies are listed in the new Top Strategies tables, which work the same as the existing performance tables.

In addition, the following changes and fixes were made in this release:

1. [bug fix] Indicator shifting was not handled properly for the accumulation/distribution indicator, which could cause a program crash. This has been corrected.
2. [bug fix] The code variable "InitialStop" was not being initialized properly when the option to apply protective stops on the bar of entry was used but no stop was used, resulting in a code compilation error. This has been corrected.
3. [bug fix] The code variable for average true range (ATR) was incorrectly labeled when exits were applied on the bar of entry for ATR stops, resulting in a code compilation error. This has been corrected.
4. [bug fix] In some cases, the Build Report incorrectly displayed the indicator list for a strategy as empty. This has been corrected.

Version 1.5.0.0 (12/23/12)

This release adds MetaTrader 4 script (MQL4 code) as an optional Code Output option. MetaTrader 4 (MT4) is a popular forex trading platform. Builder now includes special functionality, including versions of several indicators, specifically to ensure maximum compatibility with MT4. MT4 strategies ("Expert Advisors" or EAs) can be saved directly to a .mq4 file or copied and pasted into the MetaQuotes Language Editor (MetaEditor).

In addition, the following changes and fixes were made in this release:

1. Indicator shifting has been added. For example, Average(C, N1)[NShift] indicates that the moving average has been shifted by NShift bars, which means the statement returns the average NShift bars ago. The probability that an indicator will be shifted can be specified under Strategy Options.
2. An option has been added to Strategy Options for allowing nested indicators, such as Momentum(XAverage(H, N2), N3). Previously, nesting was always "on". If unchecked, indicators will not be nested, regardless of tree depth.
3. Price files can now be read with the date and time in the same field; e.g., 11/5/2012 13:15 or 20090531 13:15. The field should be labeled "date" and no "time" field should be present.
4. The percentage of computer memory currently in use is now displayed in the status bar. This makes it easier to see the relationship between program settings, such as population size, and the amount of memory used by the program.
5. The Exit command (File menu) and the close button on the main window are now active at all times, including during the build process, and can be used to terminate the program at any time. A confirmation message is displayed before the program is closed if a build is ongoing.
6. A value can be entered on the Markets tab for the bid/ask spread of each symbol. The value defaults to the tick size but can be changed to any value. The Order Fill Rule on the Evaluation Options tab has been changed so that, if checked, it uses the bid/ask spread to determine fills. For example, buys occur at the ask and sells at the bid, so a market buy order will be filled at the chart price (bid) plus the bid/ask spread. Similarly, a buy stop order will not be filled unless ask price (chart price plus bid/ask spread) rises to or through the stop price.
7. The max bars back value ("Max Look-back Length") can now be entered for custom indicators on the Price File Format window.
8. When strategies include both long and short trades that enter using market orders, logic has been added to prevent both long and short entries from occurring at the same time.
9. On the Options window (Strategy menu), a time-out interval can be set to control how long the program waits for lengthy calculations. Previously, a "Calculations timed out..." error message was produced if any given strategy took longer than two minutes to evaluate. This cut-off time can now be set by the user.
10. The cents part of the equity labels has been removed from the y-axis of the Equity Curve plot.
11. [bug fix] Custom indicators were not listed in the Build Report in the indicators build set section. This has been corrected.
12. [bug fix] The Suggest Range button on the Strategy Options tab did not work correctly when the average true range was less than 1.0. This has been corrected.

Version 1.4.1.0 (9/24/12)

This release changes the EasyLanguage code formatting of entry and exit conditions to solve a problem previously encountered in TradeStation. With nested indicators, such as Average(Average(Average(Average(C, N1), N2), N3), N4), TradeStation has difficulty evaluating the expression, which can cause the chart to freeze. Eventually, TradeStation will finish evaluating the strategy, but it can take many minutes in some cases. Aside from avoiding that kind of logic, the only solution previously was to rewrite the condition as follows:

   Var1 = Average(C, N1);

   Var2 = Average(Var1, N2);

   Var3 = Average(Var2, N3);

   EntCondL =Average(Var3, N4);

in which Var1, Var2, Var3, and Var4 are variables, and EntConL is the final, overall condition.

Builder now incorporates this style of code formatting, in which the entry and exit conditions are decomposed into multiple variables. This eliminates the difficulty TradeStation has with nested indicators. As a result, it's no longer necessary to reduce the tree depth in order to prevent complex, nested conditions or to rewrite the code by hand.

In addition, the following new features were added to the Price File Format window:

1. A "Clear All Formatting" button has been added. This button removes all column headings from the table of price data and clears the table of custom indicator settings. This can be used prior to setting the column headings to remove the default headings in cases where each column must be relabeled.
2. A "Data Format" pull-down menu has been added. This menu allows you to select the locale for use in interpreting the data in the price file. The menu defaults to "English (United States)", which means it will expect dates to be in MM/DD/YYYY format and numbers to use a "." as the decimal symbol and "," as the digit group symbol. Changing the format, for example, to "English (United Kingdom)" will cause the program to expect dates in the format DD/MM/YYYY. If the prices use a comma as the decimal symbol (e.g., 100,01), the correct selection may be a European format, such as French or German.

Version 1.4.0.0 (8/25/12)

This release adds portfolio capabilities. It's now possible to build over multiples markets simultaneously so that the resulting strategy is designed to perform on all selected markets. Building over multiple markets can produce strategies that are more robust that single-market strategies and enables a diversified, portfolio approach to trading. In addition to the new portfolio feature, the following changes and fixes were made in this release:

1. The open trade equity has been added to the Performance Report, making it easier to determine if there is any significant performance impact from open trades.
2. [bug fix] When the number of stored strategies was set to be larger than the population size, the program would attempt to evaluate the non-existent population members. This has been corrected.
3. [bug fix] When the trade list was saved to a file, the quantity was displayed as "1" in the output file regardless of the true size. This has been corrected.
4. [bug fix] The Equity Low performance metric displayed random characters when there were no trades in the segment (in-sample or out-of-sample). This has been corrected.
5. [bug fix] In EasyLanguage code, range bars should not use the HighD, LowD, CloseD and OpenD functions, which return -1 when applied to range bars. Builder now excludes these functions from the build set when range bars are being used.
6. [bug fix] The minimum number of shares setting from the Strategy Options tab has now been added to the Performance Report.

Version 1.3.0.1 (5/21/12)

This release corrects several errors in the prior release, mostly related to the position sizing features added in that version.

The following changes and fixes were made in this release:

1. [bug fix] The list of Build Metrics sometimes displayed multiple instances of the Net Profit metric. Each additional occurrence pushed a metric off the bottom of the list. This has been corrected. However, the fix is not retroactive, so project files that display this problem will continue to do so. The extra occurrences of the Net Profit metric can be removed by right-clicking on the Build Metrics table and using the Remove button.
2. [bug fix] With fixed fractional position sizing and no protective (money management) stop, the risk value was supposed to be provided by the largest loss. However, because the position size defaulted to zero, no trades were made in this case, so no losses were recorded. This has been corrected by adding a setting for the minimum number of shares strategies will trade, with a default value of 1. The minimum number of shares is set on the Evaluation Options tab.
3. [bug fix] Return, return/drawdown ratio, percentage drawdown, and several other metrics dependent on account equity gave zero or incorrect results in the out-of-sample (OOS) period because the starting equity in the OOS period was incorrectly set to zero. This has been corrected. As a result, any strategies with an OOS period built in version 1.3.0.0 will need to be re-evaluated from the Build menu to properly calculate the OOS results. The equity curve will show a discontinuous jump until the strategy is re-evaluated.
4. [bug fix] Parts of the build report did not update during the build process each generation, such as the number of generations and total build time. This has been corrected.
5. [bug fix] Fixed dollar (protective) stops didn't work well for forex because the stop sizes, which are per-share, were too small in most cases to display properly in the EasyLanguage code. The input value for the stop size displayed only two decimal digits, which was insufficient to display the stop values. This has been corrected.
6. [bug fix] Fixed ratio position sizing didn't work well for forex because it started at a position size of 1 and incremented the size by 1. Forex typically trades in sizes of 10,000 or 100,000 per lot. This has been corrected by using the "round to.." and minimum share options. If the option to round the position size to, say, 10,000 shares is selected, the delta value for the fixed ratio method will be relative to 10,000 shares. Also, the fixed ratio method now starts with the minimum number of shares specified on the Evaluation Options tab.
7. [bug fix] The trading costs field in the table on the Markets tab didn't display enough decimal digits to display the trading costs for forex properly. For example, the costs for forex might be 0.003 per share for a lot size of 10,000, which would give costs of $30 per lot. The table now displays the decimal digits properly.
8. [bug fix] When clicking on the results tables during building (e.g., to sort the results), the program sometimes crashed. This happened when the tables were redrawing while being updated with the results from the recently completed generation. This has been corrected.

Upgrading Note: As noted above in #3, any strategies built in version 1.3.0.0 with a non-empty out-of-sample (OOS) period will need to be re-evaluated from the Build menu to properly calculate the OOS results. The equity curve will show a discontinuous jump between the in-sample and OOS periods until the strategy is re-evaluated.

Version 1.3.0.0 (4/9/12)

This release adds position sizing options to the program. Whereas previously, the position size defaulted to "1" and all trades had the same size, strategies may now use any of six different position sizing methods, including fixed fractional, fixed ratio, constant value, and percent of equity. You can elect to have the build process choose the position sizing method and/or parameter value or set them yourself prior to building.

In addition to position sizing, the following changes and fixes were made in this release:

1. More than 60 new performance metrics were added to provide more control in specifying build goals, including period returns (daily, weekly, monthly, annual), R-multiples, percentage drawdown, leverage, Sharpe ratio, and many others.
2. A detailed performance report for each strategy, including results for long and short trades, is now part of the output. The report can be printed, copied, or saved to a file in several different formats.
3. A build report is generated for each strategy describing the features of the strategy along with all the settings used in the build process. The report can be printed, copied, or saved to a file in several different formats.
4. A time range option for trade entries was added so that the entry time can be limited to the chosen times on intraday data.
5. An option for limit orders to be filled only when the limit price is exceeded was added, which makes it possible to build realistic strategies using limit orders on short intraday bars (e.g., 1 min or tick data).
6. A new input data tab -- Evaluation Options -- was added for the new position sizing settings and options and the new limit order fill rule option.
7. The set of performance metrics used in the performance tables and in the build metrics list can now be customized for each strategy.
8. The Trade List now includes additional columns for the position size, entry and exit signal types (i.e., labels), position trading costs, and gross profit/loss.
9. A program options feature was added to allow the following settings:
   1. The number of parallel processes used during the build can be specified to give the user more control over how the computer's cores are utilized.
   2. The default set of build metrics used for new projects can be selected from a list of all available metrics.
10. The EasyLanguage code output now includes labels for each order.
11. An open trade at the end of the trade history is now recorded in the trade list, where it's marked as "open trade".
12. The equity curve can now be copied to the clipboard by right-clicking.
13. A "Recommend Range" button has been added to the Strategy Options tab to calculate a recommended range of stop values for fixed size protective stops. Because these stops are now applied per share or contract, rather than "per trade", a meaningful range of stop sizes is sometimes not obvious. The button multiples the average true range by 0.25 and by 4.0 to determine the equivalent dollar stop values for the recommended range.
14. [bug fix] The "known issue" from the prior release, related to the use of the SetStopLoss statement for protective stops applied on the bar of entry, has been eliminated with the addition of position sizing.
15. [bug fix] When the stop type was changed from ATR to fixed sized stop for an existing strategy, and the strategy was rebuilt, the stop size was zero. This has been corrected.
16. [bug fix] Invalid code output was generated when the symmetry option was used, then subsequently switched off, before rebuilding using the prior population as a starting point. This has been corrected.
17. [bug fix] Percentage stops were incorrectly updated on each bar within Builder, whereas the generated code specified that they were updated only on the bar of entry. This has been corrected so that the stops are only calculated on the bar of entry within Builder.
18. [bug fix] The risk values in Builder were not calculated correctly in some cases. This has been corrected.

Upgrading Notes: For those upgrading from a prior version of Builder, please note the following regarding the use of project files from prior versions:

Version 1.2.3.1 (1/5/12)

This version is mainly a bug fix release. The following changes and fixes were made in this release:

1. [bug fix] When multiple orders were filled on the same bar, such as an entry and an exit occurring on the same bar, the fill prices were incorrect in some cases. This has been corrected.
2. [bug fix] For fixed dollar stops, the CurrentShares keyword was omitted from the stop price statement, resulting in  incorrect stop prices for stocks and forex. This has been corrected.
3. [bug fix] For ATR and percentage stops, when the stops were applied on the bar of entry, the CurrentShares keyword was omitted from the SetStopLoss statement, resulting in incorrect values when applied to stocks and forex. This has been corrected.
4. [bug fix] When time was provided in HHMM format in the price file, a value of zero (0000), representing midnight, was not read correctly, which resulted in an error message indicating that the time or date field format was incorrect. This has been corrected, so that a time of 0 is properly recorded as midnight.
5. [bug fix] The total elapsed time displayed in the status bar was not initialized properly after the initial build, so that it displayed an incorrect value upon subsequent builds until the first time update. This has been corrected.
6. [bug fix] A new routine to detect the number of logical cores has been implemented in order to address cases for which the prior function failed to detect the actual number of cores on the user's computer. This function is used in the parallel processing algorithms to allocate processing among the available cores.
7. Price files can now be read with time values in the format HHMMSS (e.g., 091500 for 9:15 a.m.). Previously, time had to be either in Windows-standard format or in HHMM format.
8. On the Build Options tab, the genetic programming options of crossover percentage, mutation percentage, tree depth, and tournament size have been labeled as "Advanced" to make it clearer that the default values usually suffice for most applications.
9. The default tree depth has been reduced to 3 from the prior value of 4. In some cases, multiple levels of nesting of indicators can cause strategies to take too long to evaluate in TradeStation and MultiCharts. Reducing the tree depth should reduce the likelihood of obtaining such strategies.

Known issue (posted 1/15/12; corrected in v 1.3): The SetStopLoss statement contains the keyword CurrentShares, which will have the value zero when there is no open position. This will result in a stop size of zero, which will trigger an immediate exit at the entry price. A workaround is to replace "CurrentShares" with "MaxShares(1)".

Version 1.2.3.0 (11/22/11)

The following features and fixes are part of this release:

1. Two new types of protective stop orders were added: a fixed size stop and a percentage stop. The fixed size stop is given in dollars (or your local currency); e.g., a $500 stop. The percentage stop is placed a given percentage from the entry price; e.g., 2% of the entry price below the entry for a long trade.
2. All three types of protective stops can be applied on the bar of entry. This option on the Strategy Options tab is implemented using the SetStopLoss command in EasyLanguage.
3. The following new indicators were added: weighted moving average, triangular moving average, TRIX, CCI, Bollinger band, Keltner channel, and standard deviation.
4. Indicators that previously only accepted price or price-based indicators as input, such as moving averages, now also accept other types of indicators as input.
5. The check-box option for exiting end-of-day was removed from the Strategy Options tab because it was redundant given the recently added ability to specify order types to include in all strategies. This now allows the build process to consider this exit type without requiring it to be included in each strategy whereas previously, the user had to choose whether or not to include it in each strategy.
6. Minimum length values were added to the indicator and price pattern look-back ranges on the Strategy Options tab. For example, the indicator look-back range can be specified as "20 to 30".
7. The Strategy Options tabbed window has been separated into three windows: Indicators, Order Types, and Strategy Options.
8. Help buttons, which bring up the relevant help topic, have been added to each tabbed input window.
9. The coloring on the out-of-sample (OOS) portion of the Trade List window has been changed. Instead of coloring the entire OOS portion red or green, depending on whether the OOS net profit is positive or negative, the background color for each row is colored red or green depending on the trade profit/loss. This provides contrast to the in-sample part of the list, where the text color is used to differentiate profits and losses.
10. The start bar for evaluating strategies has been changed to be consistent with how strategies are evaluated in TradeStation. Previously, if the start date was changed in Builder, the strategies would use data prior to the new start date for the required look-back period; e.g., if the MaxBarsBack setting was 90, the strategy would look back 90 bars prior to the new start date. This has been changed so that the strategies now start all calculations on the new starting date.
11. An "Elapsed Time" display message has been added to the status bar during builds.
12. The time at which the build process is completed has been added to the Output window, alongside the existing total build time.
13. The strategy member number has been added in parentheses to the display windows (Equity Curve, Trade List, Strategy Code) to make it easier to identify the strategy that has been selected from the performance tables.
14. The MaxBarsBack value has been added to code heading comment block of each strategy to make it easier to set this value in TradeStation without having to refer back to the Builder file.
15. A beep sound has been added to indicate when the build process is finished.
16. The amount of installed memory recognized by Builder has been added to the About Builder window.
17. There are new colors and icons for the user interface.
18. [bug fix] The EasyLanguage keyword BarType has been replaced with DataCompression because the latter works for both TS 9 and TS 2000i, whereas BarType is not recognized in TS 2000i.
19. [bug fix] The routine for detecting memory capacity in the 64-bit version of Builder may not have worked correctly in some cases. This has been corrected.
20. [bug fix] Project files from versions 1.1.0 to 1.1.1 that contained an exit-on-close exit lost that exit when opened in versions of Builder newer than 1.1.1. This has been corrected.
21. [bug fix] When performing an "Evaluate All", the population member numbers were reset, but the old numbers were still displayed in the strategy code header comment. This has been corrected so that the population numbers are not reset.
22. [bug fix] When sorting the table of order types, the "Include" column disappeared. This has been corrected.

Versions 1.2.2.0 - 1.2.2.2 (9/6/11, 9/7/11, 9/20/11)

This release adds the ability to include custom indicators in Builder. If a custom indicator is plotted on a chart and the data is saved to a text file, the column of indicator values can be read into Builder and associated with a text string that represents the code for the corresponding indicator function used to generate the values in the file. When Builder uses the indicator in strategies, it includes the text string for the indicator function code in the entry or exit statement in which the indicator is used. Provided that function is available in the trading platform when the strategy is executed, the code will generate the same results as in Builder. More information on this feature can be found in the section of the user's guide entitled Input Data and Settings.

Part of this new feature is the Price File Format window, which allows the user to specify the columns of data in the text file of price data. This provides more flexibility for reading price files. For example, the minimum allowable price file now consists of the date and closing price, whereas previously it was necessary to include date, time, open, high, low, and close. Any column that should be ignored or skipped over can be labeled as such. The label for any column in the file can be selected from a list that includes date, time, open, high, low, close, volume, up-tick volume, down-tick volume, indicator (for custom indicator data), and don't read/ignore. Similarly, there is now a checkbox for combining the up-tick and down-tick volumes into total volume. The Price File Format window is opening automatically when reading in a new price file and can be opened again at any time from the Markets tab in order to change the settings.

[bug fix] Version 1.2.2.1 corrects a bug in version 1.2.2.0 that can cause sporadic program crashes when using custom indicators with a return type of "price". Otherwise, version 1.2.2.1 is identical to 1.2.2.0.

[bug fix] Version 1.2.2.2 corrects a bug that can cause occasional program crashes when building on intraday data when the exit end-of-day option is selected.

[bug fix] Version 1.2.2.2 improves the use of custom indicators when more than one custom indicator uses the custom return type. In version 1.2.2.0 and 1.2.2.1, different custom indicator returning custom return values could not be compared to each other. In version 1.2.2.2, it's possible for different custom indicators returning custom values to be compared to each other. For example, if you have several correlation indicators, each returning custom values in the range -1 to +1, the different indicators may now be compared to each other, such as correlation(C of data1, C of data2, 14) < correlation(C of data1, C of data3, 14).

Version 1.2.1.1 (8/8/11)

This release corrects several errors related to the new order processing engine developed for the prior release that can occur when using the new option to allow trades to reverse existing positions. Specifically, the changes in this version are as follows:

1. [bug fix] When the option to "Wait for exit before entering new trade" was unchecked, certain exit orders previously were entered at incorrect prices when there was an open position on the same bar and the buy (sell) stop price was below (above) the open. This has been corrected.
2. [bug fix] When the option to "Wait for exit before entering new trade" was unchecked and the option to exit-at-close was selected (checked), an extra variable (EndofSess) was added to the entry condition statements, which prevented entry orders from being placed. This has been corrected.
3. A more refined assumption about the order of prices on a given bar has been incorporated into Builder. In general, it's not possible to know whether the high or low occurred first on a given bar given only the open, high, low and close. Consequently, when multiple orders are executed on the same bar, it's necessary to assume which occurred first, the high or the low. Typically, when the bar closes up, it's assumed that the low occurs first. However, when the close and the open are at the same price, Builder now looks at whether these prices are closer to the high or the low. If they're closer to the high, it's assumed that the high occurs first.
4. The way in which the population is initialized when "Reset on Build" option is unchecked has been changed. Previously, the program just copied the members from the current population without re-evaluating them. It was assumed that in this case they would be used to continue building on the same price data. Now, the members that are copied from the prior population are re-evaluated before continuing. This makes it easier to develop strategies that can work across multiple markets. For example, you can build a few generations on one market, select a different market under the Markets tab, and, with the Reset on Build option unchecked, build a few generations on the second market. The second build step will start the build using the population members generated on the first market and evolve them from there using the second market's data. You could then repeat the process for other markets.
5. The name of the project (.gpstrat) file is now included in the comment header block at the top of each strategy. To include this in existing strategies, just select the given strategy and select Evaluate from the Build menu.

Known issue in v 1.2.1.1:

When using the AccumDist function in intraday strategies, the volume in the price file should be the sum of the up tick and down tick volumes. Typically, the up and down tick volumes are present in separate fields in the price file. When Builder asks whether the two volume fields should be combined, it's necessary to say "yes" in order for the AccumDist function to evaluate correctly. However, with some symbols, the intraday volume in TradeStation is defined as the up tick volume only, so it's necessary to say "no" when asked to combine the two volume fields. For these symbols, the AccumDist function should be excluded from the build set or incorrect results may be obtained.

Version 1.2.1.0 (7/27/11)

This release includes versions compiled specifically for both 32-bit and 64-bit versions of Windows. Under 64-bit Windows, programs can allocate more than 2GB of memory, which is the limit under 32-bit Windows. This means that the 64-bit version of Builder can handle larger population sizes and longer price files. While the 32-bit version (and all prior releases) will work under both 32 and 64-bit versions of Windows, it's recommended that the 64-bit version be installed on computers running 64-bit Windows.

Please note that both the 32 and 64-bit versions of this release are compiled from the same code and are functionally identical, including the Builder (.gpstrat) files generated. Because they're the same program, only one may be installed on any given computer. If you first install the 32-bit version, it will be necessary to uninstall it if you later decide to install the 64-bit version. If your computer runs 64-bit Windows, it's strongly recommended that you install the 64-bit version; otherwise, it will be necessary to install the 32-bit version.

Other changes in version 1.2.1.0 are as follows:

1. An "Include" column has been added to the Order Build Set table. Checking rows in this column specifies that the checked order type is to be included in every generated strategy. For example, to include a money management (protective) stop exit in each strategy, check the Include column for the protective stop order type.
2. An option has been added to the Strategy Options tab: "Wait for exit before entering new trade". In prior versions, this was always true for generated strategies. If this option, which is checked by default, is unchecked, new entries can reverse existing positions; e.g., a short entry can reverse a long trade before the long trade exits on its own.
3. A more versatile and accurate strategy order processing engine has been developed to support both current and future program requirements. This enables the simulation of more complex combinations of trading orders and yields more accurate results, including more accurate drawdown calculations. Somewhat slower processing times may be noticed.
4. The About Builder window now includes the label "Windows 32-bit Edition" or "Windows 64-bit Edition" depending on which version is installed. The number of processor cores recognized by Builder is also displayed in this window.
5. The View window on the Markets tab now allows full row selection to highlight the row of data clicked on.
6. [bug fix] The highest and lowest indicator functions are now initialized better to give accurate results on bars prior to the MaxBarsBack setting.
7. [bug fix] End-of-session logic used to filter entry and exit statements didn't work correctly on tick data where multiple ticks had the same time stamp. The end-of-session logic has been removed for tick and range bars.
8. [bug fix] Trade exits based on the time limit condition (e.g., trade only between 10:30 and 12:30) were not executing properly on some data where the session end time preceded the session start time. This has been corrected.
9. [bug fix] Time-based conditions for entry and exit didn't take into account the time range limit set by the user. Also, the number of bars for the "exit at N bars" exit was based on the total number of bars in the day, rather than the number of bars in the time range selected by the user for trading. Both issues have been corrected.
10. [bug fix] Trades exiting on the last bar of the chart were not recorded or listed in the performance tables. This has been corrected.
11. [but fix] In certain cases, a long entry and a short entry can both be filled at the open on the same bar, such that the second order reverses the position established by the first entry order, leaving the position dependent on which order is filled first. The cases of both entries being stop orders and both entries being limit orders were not properly accounted for in prior versions. This has been corrected.

Known issue in v 1.2.1.0 (corrected in version 1.2.1.1):

With the "Wait for exit before entering new trade" option turned off (unchecked) and the exit end-of-day option selected, there will be an extra EndofSess variable added to the entry conditions. The erroneous entry conditions look like the following (depending on other options selected):

Versions 1.2.0.2 (5/24/11)

The substantially faster build speed of version 1.2 makes it feasible to process much larger files of price data covering longer time periods. Unfortunately, this also means that the program can require more memory to process these larger files than is available from the computer. To avoid program crashes resulting from memory allocation errors, version 1.2.0.2 now includes memory management features that monitor Builder's memory usage. When more than 95% of the computer's memory is allocated and additional memory is required during the build process, Builder sends an error message to the Output window and exits the build. The message suggests reducing either the population size or the size of the price file. In most cases, the memory management routines shut down the build process while avoiding a program crash. The build parameters can then be changed and the build rerun.

The new memory features in version 1.2.0.2 also increase the size of the population that can be built before running into memory problems by roughly 50%.

Other changes in this version are as follows:

1. The help files and PDF user's guide have been updated with the latest changes and features through this version.
2. Previously, if the evaluation date range was changed so that it included periods both before and after the range of dates used in the build, only the largest of the two periods was included in the evaluation range. This was the out-of-sample period. This was done because Builder only tracks one out-of-sample period at a time -- either preceding or following the in-sample period, but not both. However, this meant that the user could select a date on the Markets tab, evaluate the strategy, and the strategy would not necessarily be evaluated over the entire chosen range of dates. This has been changed so that the evaluation is performed over the entire date range selected by the user on the date range bar on the Markets tab. If there are periods both preceding and following the build period, then the largest of those will be identified as the out-of-sample period.
3. [bug fix] The option to limit trades to specified times of day on the Strategy Options tab did not cause trades to exit properly at the end of the time range in cases where the trading session spanned two days, such as with some forex data. This has been corrected.

Versions 1.2.0 and 1.2.0.1 (4/29/11 and 5/4/11)

These versions contain substantial improvements in strategy building speed along with several enhanced strategy logic features. The new features and improvements in these versions are as follows:

1. The build algorithm has been fully parallelized to take full advantage of multi-core processors. Builder detects the number of physical cores on the computer and processes population members in parallel on the different cores.
2. The strategy evaluation algorithm has been rewritten to improve processing speed. In combination with the new parallelized version of the build algorithm, initial testing indicates speed improvements of up to 25 times on a dual core machine compared to prior versions.
3. An option to limit trades to specified times of day has been added to the Strategy Options tab. For example, an intraday strategy may be specified to trade only between 9:00 am and 12:00 pm. In this example, no trades will be entered prior to 9:00 am and any trade open at 12:00 pm will be closed at market.
4. Logical conditions for exiting trades have been added. These conditions, which are equivalent to the entry conditions, are evolved along with the entry conditions during the build process. The conditions (one for long trades; another for short trades) are used to exit the trades at market. Accordingly, an "Exit at Market" order type has been added to the Order Build Set.
5. Price-based indicators can now apply to other price-based indicators. For example, it's now possible to evolve logical conditions such as Average(XAverage(H, N1), N2), MACD(Highest(C, N1), N2, N3), and Momentum(Lowest(Average(C, N1), N2), N3). The following indicators have this capability: Average, XAverage, Highest, Lowest, RateofChange, RSI, Momentum, and MACD.
6. The crosses above/crosses below operator has been added and can be seen in the Indicator Build Set.
7. A new build metric has been added to measure the maximum value of the MAE (maximum adverse excursion) across all trades. This metric (Max MAE) is listed in the Build Metric table (Build Goals tab) and complements the Ave MAE metric that was added previously. Minimizing the Max MAE may improve trade quality.
8. Variables have been added in the generated EasyLanguage code for the entry prices for stop orders and for target exit prices.
9. More flexibility has been added in reading text files of price data. The file may now start with an optional line of labels. The lines of price data are assumed to consist of date, time, O, H, L, C, Volume1, Volume2. The last two fields are optional and contain volume information, such as the total volume or down tick and up tick volume, respectively. If two fields following the closing price are found, the user is prompted as to whether the two fields should be added together to get the total volume. For tick or intraday data, the two volume fields would generally represent up and down tick volume and should be combined to get the total volume.
10. A "View" button has been added to the Markets tab. Clicking the button opens a simple tabular display of the price data for the market selected in the Market Data table.
11. [bug fix] An error that caused end-of-day exits to occur at the end of the calendar day, rather than at the end of the trading session, primarily on forex data, has been corrected. The error affected intraday strategies with the "Exit End-of-Day" option selected for which the session starting time was later than the session ending time (i.e., the session spanned two calendar days).
12. [bug fix, v 1.2.0.1] The setting for whether the two volume fields in a price file are combined to get the total volume was not recorded properly, which caused the program to prompt again for the same information. This has been corrected.
13. [bug fix, v 1.2.0.1] A bug that caused the program to crash when the Cancel button was clicked in certain circumstances has been corrected.
14. [bug fix, v 1.2.0.1] A bug that caused memory leaks when the Cancel button was clicked in certain circumstances has been corrected.
15. [bug fix, v 1.2.0.1] An error that resulted in the Crosses above/below indicator to continue to be included in strategies after the user removed it from the build set has been corrected.
16. [bug fix, v 1.2.0.1] When all but a small number of indicators were removed from the build set, the mutation operator caused a program crash. This has been corrected.

Version 1.1.1 (1/15/11)

This is mainly a "bug fix" release to correct several small errors in version 1.1.0, described below. If you currently have version 1.1.0 installed, you should read the items below to determine if installing this version would correct any discrepancies you may have noticed in your results compared to the corresponding results in TradeStation. The changes in this version are as follows:

1. [bug fix] On intraday data, the Chaikin oscillator incorrectly used "volume" as the first input, rather than "ticks." This has been corrected. This only applies to intraday data, which includes tick and range bars. Please note that re-evaluating strategies that incorrectly use "volume" as the input will not change the input to "tick." The strategies must be rebuilt in order to obtain the correct code.
2. [bug fix] When setting a limit on the number of entries per day on intraday data ("EntriesToday(date) < x"), the EasyLanguage code mistakenly examined the last bar of the day when evaluating the number of entries for the first bar of the day. In some cases, this prevented entries on the first bar of the day. This has been corrected. Re-evaluating a strategy that limits daily entries on intraday data will re-write the code to the correct form.
3. [bug fix] The number of entries per day was not calculated correctly on intraday data when two entries occurred on the same bar. This has been corrected. Re-evaluating a strategy that includes such trades will correct the strategy results in Builder.
4. [bug fix] When using Range bars in Builder, the OpenD, CloseD, HighD, and LowD functions did not match TradeStation. In TradeStation, these functions are set to return -1 on Range/Momentum bars. Builder previously calculated the correct values for the functions, which generated a mismatch between Builder and TradeStation. This has been corrected. Re-evaluating a strategy that contains these functions when the data is Range bars will correct the performance results in Builder.
5. [bug fix] When using Range bars in TradeStation, the SetExitOnClose command is inactive. Previously in Builder, this command worked as expected, which produced a mismatch between Builder and TradeStation. This has been corrected. Selecting the "Exit end-of-day" option in Builder will still insert the SetExitOnClose command in the EasyLanguage code, but the command will not be recognized when evaluating the strategies, either in Builder or in TradeStation, when range bars are used. Re-evaluating a strategy that contains this command on range bar data will correct the performance results in Builder.
6. Improvements to reading price files. Builder can now read trade times in a variety of formats, including the format used when saving price data from MultiCharts (e.g., 2:36:02 PM). A MultiCharts price file will generally be read correctly by Builder up through the volume field (date, time, O, H, L, C, Volume). Also, volume is now an optional field. If the volume field is not present, the volume values will be set to zero. For files saved from the TradeStation Data View window on intraday data, volume consists of two fields, up volume and down volume. The two values are added together to obtain the "volume" value for each bar. If the second field (down volume) is not present, the volume will be set to the first volume field.

Version 1.1.0 (11/12/10)

This is the final release of version 1.1.0 and replaces version 1.1.0 Beta, described below. This release includes fully updated documentation consisting of the PDF user's guide and the html help files that are accessible from within the running program. In addition to the documentation, several other changes and fixes have been implemented since the beta version was released. These include:

1. If the program can't read the price data file or the format is incorrect, an error message is now displayed.
2. [bug fix] An error in evaluating the order of entries when both long and short entries occur at the open has been corrected.
3. [bug fix] An error where the open trade equity at the end of the in-sample period was not accounted for at the start of the out-of-sample period (when out-of-sample follows in-sample) has been corrected. The drawdown not includes the open loss at the end of the period.
4. The absolute value operator is now used by default when forming the price difference for entry and exit stop and target orders unless the user has excluded absolute value from the build set. This should reduce the likelihood of ill-formed entry orders, such as a buy stop order below the market.
5. [bug fix] A memory error that could cause the program to crash when building on intraday data has been corrected.
6. [bug fix] An error in which the views were not updated after the population was re-initialized following a restart based on out-of-sample performance has been corrected.
7. [bug fix] The horizontal scroll bars on the Markets and Build Options tabs now work properly.
8. [bug fix] An error in which the slider control on the Markets tab was initialized with the in-sample and out-of-sample periods reversed when the out-of-sample preceded the in-sample has been corrected.
9. The functionality of the Cancel button has been improved so that the program cancels more quickly. Previously, the program had to wait for the current population member to finish building before cancelling, which could make it seem like the program was "hanging" when building on long data files.
10. [bug fix] An out-of-memory error that could crash the program when a large population size or large tree depth was selected now generates an error message recommending that the population size or tree depth be reduced.
11. [bug fix] An error in which the "Reset on out-of-sample performance" field didn't permit a "." character for decimal numbers, such as the correlation coefficient, has been corrected.
12. [bug fix] An error in which the AccumDist function (accumulation distribution) used "volume" as the input, rather than "ticks", when building on intraday data has been corrected.

Version 1.1.0 Beta (10/1/10)

This version is a major update of version 1.0.1. The following are some of the more notable features and changes in this version:

The settings table has been replaced by a series of tabbed windows that provide additional options and more intuitive controls, such as slider bars, spin buttons, tables, etc. The tabbed windows are: Markets, Strategy Options, Build Goals, and Build Options. A brief description of each one follows. The windows are shown on the Screen Shots page.

Markets Tab. This window provides a table of any price data files that have been selected. The build process will be run on whichever file is selected in the table. Following the build, any selected strategy may be evaluated on a different market by selecting the market from the table and selecting Evaluate from the Build menu.

 

This window also allows you to:

1. Select the start and end dates for analysis, and
2. Segment the data into in-sample and out-of-sample segments using a slider control. The build process will take place on the in-sample segment, and, following the build, the strategies will be evaluated on the out-of-sample data.

 

Strategy Options Tab. This window presents the list of available indicators and entry and exit orders in two table. The two tables represent the "build set". By clicking on each entry in the table, the associated indicator or order type can be added or removed from the build set. Removing an item means it will not be considered during the build process. By default, all items are initially included in the build set. This means all items may be chosen during the build process, although whether or not any given indicator or order type is used will depend on how it affects strategy performance.

 

This tab also includes other strategy options, such as long/short symmetry, market sides (long only, short only, or long/short), etc.

 

Build Goals Tab. This window contains a table of performance weightings to guide the build process. In this version of Builder, a number of new performance metrics have been added (see below). Additionally, you're no longer limited to merely weighting each performance metric. You can now select a target value for each metric. For example, if you want guide the build process to strategies with 200 trades, you can click in the Type column in the table in the row for the number of trades and select "Target" from the pull-down menu. Then enter a value of 200 for the target value. You would also enter a weight value to indicate how important this target value is relative to any other metrics you've selected. You can leave only a weight value for any metric that you want to minimize or maximize while selecting both a target and a weight for any metrics that you want to specify more precisely.

 

Build Options Tab. This window contains options that affect the build process, such as the population size, number of generations, tree depth, crossover percentage, etc. There is also a new option on this tab that resets the build process if the out-of-sample results don't meet your goals. You can have the program check the out-of-sample results every x generations, and start over if a specified performance value is not met.

Other new features in version 1.1.0 include:

1. Support for tick and range bar data.
2. Support for TS 2000i. Select TS 2000i on the Build Options tab under Code Output and re-evaluate a strategy using the Evaluate command (Build menu) to convert the code to TS 2000i format.
3. A new price data file format is available to make it easier to copy data from TradeStation. While viewing a chart in TradeStation, just right-click the mouse and select "View Data Window". This option can also be found in the View menu in TradeStation. This will bring up a small window that shows the price data in the chart window. Click the disk icon in the upper-left-hand corner of the data window to save the price data to a text file. You can then select this file in the Markets tab in Builder, which is now capable of reading this format directly. This means the WriteOutPrices function is no longer needed for current versions of TradeStation, although it is still supported.
4. When reading a price file, Builder now auto-detects the bar type, bar size, session times, date range, and tick size.
5. The tick size is used to round fill prices to the nearest tick.
6. The number of entries per day for day trading strategies can be limited to a maximum value via an option on the Strategy Options tab.
7. Limit entry orders are now allowed.
8. The out-of-sample (OOS) performance is listed in a table of results and shown on the equity curve. If the OOS results are profitable, the OOS part of the equity curve is shaded green; otherwise, it's shaded red.
9. The trade-by-trade results are listed in a table. The trades in the OOS segment are shaded with a green background if the OOS segment is profitable or red if the OOS segment is unprofitable. In the in-sample segment, winning trades are shown in green text while losing trades are shown in red text. The trade data can be saved to a text file by right-clicking in the table and selecting "Save to file". The file format is compatible with Market System Analyzer (MSA).
10. New indicators: volume, DI-/DI+, DMI, Accumulation/distribution, Chaiken, momentum, MACD, FastK, FastD.
11. New performance metrics: Ave win, ave loss, win/loss ratio, ret/DD ratio, ave bars in trades, ave bars in wins, ave bars in losses, max win, max loss, average maximum adverse excursion.
12. Additional complexity has been added to the entry and exit orders by generalizing the way stop and target prices are calculated.
13. Specifying the number of generations as zero is now allowed. Doing this produces a population of randomly-generated strategies. This can be a good way to see the variety of strategy logic available from the program.
14. The fidelity of the strategy evaluations relative to those in TradeStation has been improved. Any differences between Builder's performance reporting and the results of running the same strategy in TradeStation should now be minor, with most differences erring on the conservative side.

Several bug fixes have been made, including:

Version 1.0.1 (5/27/10)

This version added an equity curve plot and a table of performance results to version 1.0.0.

Version 1.0.0 (3/28/10)

Initial release. This version is no longer available for download.

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