Ultimate Algorithmic Trading System

Short lengths: 9, 19, 49
Intermediate lengths: 19, 49, 199
Long lengths: 49, 199, 399
Donchian Channels (DC)
Buy on penetration of highest highs for past N days
Sell short on penetration of lowest lows for past N days
Liquidate long on penetration lowest lows for past N / 2 days or if close <
entryPrice – 3000/bigPointValue
Liquidate short on penetration of highest highs for past N / 2 days or if close >
entryPrice + 3000/bigPointValue
Utilize the following channel lengths:
Short lengths: 20 entry, 10 exit
Intermediate lengths: 40 entry, 20 exit
Long lengths: 100 entry, 50 exit
90
COMPLETE TRADING ALGORITHMS
Bollinger Bands (BB)
Buy on penetration of two standard deviations above N-day moving average.
Sell short on penetration of two standard deviations below N-day moving average.
Liquidate long on penetration of N-day moving average or if close <
entryPrice – 3000/bigPointValue.
Liquidate short on penetration of N-day moving average or if close > entryPrice
+ 3000/bigPointValue.
Utilize the following moving average lengths of 20, 50, and 200.
The results are shown in Table 3.5.
Table 3.5 starts the battle and sets the benchmark with the results of the SMA
algorithm.
Let’s hope the other algorithms have better luck. Before moving on to the results
of the other algorithms a clear explanation of performance metrics might be a good
idea:
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Net Profit—summation of all profits or losses after deduction of execution costs.
Sys Drawdown—the largest peak-to-valley decline experienced in the complete
portfolio. This is a good metric to use in the calculation of how much capital to
allocate to a trading algorithm. However, remember this is a onetime event and in
many cases the Start Trade Drawdown analysis might be a better indicator for
capitalization purposes. Start Trade Drawdown shows the different probabilities
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