Ultimate Algorithmic Trading System

algorithm and see what parameter sets produce the best profit-to-drawdown ratio.
Let’s not stop at optimizing the lengths of the parameters but the protective stop
as well. The Bollinger Band camp will be happy because not only will we optimize
the parameter lengths, and the protective stop, but we will also optimize the width
of the bands. Does this smell of over-curve-fitting? Sure it does, but we aren’t
developing a trading system here, we are just doing an analysis.
Now that we have a plan, how can we use AmiBroker to carry it out? The
algorithms are already programmed (source code will be graciously provided in the
appendices), but how many optimizations are we talking about? Quickly doing the
math in my head—millions! Table 3.10 shows the exact number of permutations
and the range that each parameter will be tested across.
The number doesn’t get really large until we move to the TMA
optimization—nearly seven million. This is due to the fact that we are optimizing
four parameters. Well, it was a good idea. We will just have to go with what
TABLE 3.10
Comparison of Parameters for Algorithms Based on Different Strategies
Donchian Start Stop Increment # Iterations
94
COMPLETE TRADING ALGORITHMS
Entry Len 9 100 1 92
Exit Len 5 100 1 96
Protective Stop 3000 6000 500 7
Total 61824
Bollinger Start Stop Increment # Iterations
Average Length 20 200 1 181
#Std. Deviations 0.25 3 0.05 56
Protective Stop 3000 6000 500 7
Total 31752
TMA Start Stop Increment # Iterations
Short Length 9 100 1 92
Intermediate Length 19 200 2 91
Long Length 49 399 3 117
Protective Stop 3000 6000 500 7
Total 6856668
DMA Start Stop Increment # Iterations
Short Length 9 100 1 92
Intermediate Length 19 200 2 91
Protective Stop 3000 6000 500 7
Total 58604
www.rasabourse.com