Ultimate Algorithmic Trading System

TABLE 3.15
The Best Parameters for the Portfolio over the Out-Of-Sample (OOS) Time
Period
Net
Profit
CAR
Max.
Sys
DD
Profit
Factor
Ulcer
Index
#
Trades
Avg
P/L
Avg
Bars
Held
%
Winners
Entry Exit Stop
Dollars
182607 3.04 −95572 1.42 3.85 253 721.77 48.67 39.53 30 30 5500
182607 3.04 −95572 1.42 3.85 253 721.77 48.67 39.53 30 30 4500
182607 3.04 –95572 1.42 3.85 253 721.77 48.67 39.53 30 30 4000
182607 3.04 −95572 1.42 3.85 253 721.77 48.67 39.53 30 30 3500
182607 3.04 −95572 1.42 3.85 253 721.77 48.67 39.53 30 30 3000
182607 3.04 −95572 1.42 3.85 253 721.77 48.67 39.53 30 30 6000
182456 3.04 −95583 1.42 3.85 253 721.17 48.67 39.53 30 42 3000
182412 3.04 −95593 1.42 3.85 253 720.99 48.67 39.53 30 84 3000
182412 3.04 −95593 1.42 3.85 253 720.99 48.67 39.53 30 100 5500
TABLE 3.16
The Optimization of the Bollinger Algorithm for the In-Sample (IS) Time
Period
104
COMPLETE TRADING ALGORITHMS
Name
Net
Profit
CAR
Max.
Sys
DD
Profit
Factor
Ulcer
Index
#
Trades
Avg
P/L
Avg
Bars
Held
%
Winners
Len Width
Stop
Dollars
Bollinger 498208 4.13 −59466 2.55 2.2 247 2017.04 66.91 37.65 103 1.5 5000
Bollinger 480108 4 −66439 2.46 2.23 256 1875.42 63.79 38.28 98 1.5 5000
Bollinger 492573 4.09 −59399 2.53 2.07 251 1962.44 65.7 38.25 102 1.5 4500
Bollinger 489796 4.07 −59466 2.49 2.15 250 1959.18 65.93 37.2 103 1.5 4500
Bollinger 516639 4.25 −63828 2.71 2.02 239 2161.67 68.67 38.49 105 1.5 6000
Bollinger 502931 4.16 −61884 2.64 2.06 240 2095.54 68.08 38.33 108 1.5 4000
Bollinger 516685 4.25 −64074 2.74 2.04 243 2126.27 66.91 37.86 105 1.5 4000
Bollinger 515383 4.24 −63828 2.7 2.06 239 2156.42 69.05 38.08 106 1.5 6000
Bollinger 511872 4.22 −63828 2.67 2.1 240 2132.8 68.34 38.33 105 1.5 5500
Bollinger 516735 4.25 −65095 2.72 2.09 231 2236.95 71.45 38.53 110 1.5 5000
continue in this same vein. Maybe the Donchian is just an inferior algorithm.
Table 3.16 is the IS optimization of the Bollinger algorithm and Table 3.17 is the
OOS results.
Okay, looks good. I selected the parameter set [108, 1.5, 4000]. How did it do
during the OOS timespan?
I think I see a trend developing. I would show you the TMA and the DMA, but it
would be just a waste of paper! I am talking reverse makeover. So what happened?
Where do we place the blame? I went back and recreated a portfolio of the top nine
markets based on IS performance and the OOS results were even worse than our
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