Ultimate Algorithmic Trading System

TABLE 3.12
The Best Parameter Sets for Each Optimization
Best Parameter Sets Money Net Max. Profit to #
Algo Name Param1 Param2 Param3 Mngmt. Stop P / L Drawdown Drawdown Trades
DMA 9 162 − 3000 1310731 −501739 2.61 2268
TMA 49 194 309 3000 1124260 −159761 7.04 574
DC 92 19 − 3000 959512 −192721 4.98 829
BB 101 2.25 − 3500 1033937 −292963 3.53 1031
Maybe a Peak
98
COMPLETE TRADING ALGORITHMS
FIGURE 3.2 A three-dimensional contour chart of Bollinger performance across a subset of the
parameters that were originally optimized.
Source: AmiBroker
results. One of the better parameter sets sticks out like a sore thumb (90, 1.25,
5000) due to the fact the surrounding parameters are so different, yet produce
similar results. This set might be sitting on top of a peak. Figure 3.2 shows a
three-dimensional contour chart of the Bollinger performance across a subset of the
parameters that were originally optimized. The money management stop was held
at a constant so that a three-dimensional representation could be generated. Notice
where the 88 length and 1.25 width parameter lies on the chart. Almost smack-dab
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