Ultimate Algorithmic Trading System

FIGURE 3.5
AmiBroker’s walk-forward optimizer in action.
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FIGURE 3.6
Parameters selected to carry forward for the following year.
more reasonable drawdown of $90,000. Figure 3.7 shows an equity curve of the
walk-forward performance from 2006.
Is this the solution? Stick with your algorithm and readjust based on recent
performance. That is a tough question to answer, and is best left up to what the
trader truly believes when it comes to using optimization in the development of an
algorithm’s parameters. In today’s trading environment, I think everything should
be taken into consideration. Don’t be afraid of new technology.
After the second coming of trend following in 2008, the only bright spot has been
the second half of 2014. And things are looking a little better here in 2015. It seems,
for right now, that the commodity markets are behaving a little trendier. With prices
in the tank trend followers are waiting for the eventuality of their springing back to
life. They are limited resources, right? But how many trend followers will still be
left out there? A lot more than you might think. Due to the nature of commodity
price moves, you cannot simply abandon the trend-following methods. There is just
way too much potential.
COMPLETE TRADING ALGORITHMS
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