Ultimate Algorithmic Trading System

TABLE 3.8
Donchian Channel Breakout for Different Donchian Lengths
Donchian
Donchian Channel Breakout
Length Net Profit CAR Max. Sys DD Profit
Factor
Ulcer
Index
#Trades
Avg
Profit/
Loss
Avg
Bars
Held
%of
Winners
20/10 278329 1.59 −257735.79 1.05 9.61 6070 45.85 17.43 35.34
40/20 754015 3.67 −361607 1.18 8.43 2963 254.48 35.45 36.85
100/50 1114437 4.91 −367415 1.51 7.07 1366 815.84 68.65 32.01
The Turtle hit a home run! All three versions were profitable and the 100-day
Donchian beat the longer-term DMA: $1.1 million on only 1366 trades. It’s going
to be hard to knock this system off of the podium. If any system can, it could be one
based off of John Bollinger’s world famous bands. Table 3.9 tells the tale of the tape.
Well that was a little bit of a disappointment. The trend did not continue as
the longer-term version did not win the battle among the different Bollinger Band
lengths. The intermediate-term version just barely nudged out the longer term with
slightly less profit, but 10 percent less drawdown. The big news is the Bollinger
Band algorithm came in third place when compared with the triple moving average
and Donchian channel.
So the winner is … Hold on! We are getting some complaints out of the Bollinger
Band camp. They are saying it’s not a fair test. They want a rematch! They say
that we held the number of standard deviations constant at two. Just changing the
lengths of the moving averages and not the width of the bands (number of standard
deviations) does not reflect the true capability of such a powerful algorithm. Now
the other camps are complaining, too! What to do?
Why don’t we have a grudge match between the four best algorithms: DMA,
TMA, DC, and BB. But this time, let’s let the computer choose the best parameter
sets. AmiBroker has produced the results thus far, so let’s lean on it a little bit and
have it help us level the playing field. Let’s optimize the living daylights out of each
93
COMPLETE TRADING ALGORITHMS
TABLE 3.9
Bollinger Band Breakout
Bollinger
Bollinger Band Breakout
Length Net Profit CAR Max. Sys DD Profit
Factor
Ulcer
Index
#Trades
Avg
Profit/
Loss
Avg
Bars
Held
%of
Winners
20-Day −41360 −0.27 −343007 0.99 13.83 4860 −8.51 16.06 32.63
50-Day 728097 3.57 −321144 1.24 8.03 2396 303.88 32.94 32.1
100-Day 756849 3.68 −362325 1.37 8.33 1364 554.87 57.83 30.94
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