TradAO: A Visual Analytics System for Trading Algorithm Optimization

Ka Wing Tsang, Haotian Li, Fuk Ming Lam, Yifan Mu, Yong Wang, Huamin Qu

External link (DOI)
View presentation:2020-10-28T14:20:00ZGMT-0600Change your timezone on the schedule page
2020-10-28T14:20:00Z
Exemplar figure
TradAO assists users in exploring the whole optimization process of a trading algorithm and evaluating its detailed performances. A) The algorithm evolution view explores how a trading algorithm evolves along with the configuration of different parameters. B) The parameter correlation view examines if a trading algorithm instance is overfitting. C) The trading residual view helps traders confirm the performance consistency of a trading algorithm instance more efficiently. D) The cash usage view facilitates monitoring the cash usage along different trading periods. E) The trading history view allows users to explore trading order information along the whole trading period.
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Keywords

Index Terms: Human-centered computing-Visualization-Visualization design and evaluation methods,

Abstract

With the wide applications of algorithmic trading, it has become critical for traders to build a winning trading algorithm to beat the market. However, due to the lack of efficient tools, traders mainly rely on their memory to manually compare the algorithm instances of a trading algorithm and further select the best trading algorithm instance for the real trading deployment. We work closely with industry practitioners to discover and consolidate user requirements and develop an interactive visual analytics system for trading algorithm optimization. Structured expert interviews are conducted to evaluate TradAO and a representative case study is documented for illustrating the system effectiveness. To the best of our knowledge, previous financial data visual analyses have mainly aimed to assist investment managers in investment portfolio analysis but have neglected the need of traders in developing trading algorithms for portfolio execution. TradAO is the first visual analytics system that assists users in comprehensively exploring the performances of a trading algorithm with different parameter settings.