Ultimate Algorithmic Trading System

TABLE 3.6
Double Moving Average (DMA) Crossover Algorithm
DMA
Double Moving
Average
Length Net Profit CAR Max.
Sys DD
Profit
Factor
Ulcer
Index
#Trades
Avg
Profit/
Loss
Avg
Bars
Held
%of
Winners
9,19 −29879 −0.19 −548958 1 20.2 8529 −3.5 17.46 35.08
19,49 61910 0.39 −743755 1.01 21.29 3997 15.49 36.11 33.1
49,99 996693 4.53 −692714 1.24 11.39 2307 432.03 61.8 34.07
TABLE 3.7
Triple Moving Average (TMA) Crossover Algorithm
TMA
Triple Moving
Average
Length Net Profit CAR Max.
Sys DD
Profit
Factor
Ulcer
Index
#Trades
Avg
Profit/
Loss
Avg
Bars
Held
percent
of
Winners
9,19,49 −71434 −0.47 −441997.88 0.99 14.68 5160 −13.84 18.21 33.93
19,49,199 527917 2.75 −374103 1.22 9.41 1850 285.36 43.49 32.7
49,199,399 711878 3.5 −211493 1.77 6.09 528 1348.25 137.61 32.01
92
COMPLETE TRADING ALGORITHMS
A vast improvement. The short term and intermediate term still trail their big
brother, but both improved. The DMA with lengths of 49 and 99 cranked out
profits close to a million dollars. This feat was accomplished by trading just 2,307
times—less than 100 times a year across 35 markets. Could the winner already
be revealed? If the double moving average stood head and shoulders above the
single moving average, where do you think the triple moving average will wind up?
Table 3.7 gives the details.
The trend continues. The longer-term triple crossover produced over $700K
on just 528 trades. It made 70 percent of what the longer-term DMA produced
but did it with a less than one-fourth the number of trades. It averaged $1,348 on
every trade. Pretty impressive, but this is more like investing than trading. What
if we changed the lengths of the parameters to try and match the number of trades
from the longer-term DMA? Would that be curve-fitting? The parameter values
that produced so few trades were initially chosen based on a preconceived notion
that a certain number of trades and trade duration would be achieved. Tuning the
parameters to get us into the ballpark of our objective, whatever that might be, is
not over-curve-fitting. So far it looks like the longer-term versions of the DMA and
TMA are producing somewhat comparable results. The next system up gets us out
of the moving averages and back into Turtle mode. Table 3.8 shows the performance
of three different Donchian lengths.
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