Ultimate Algorithmic Trading System

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This system looks at the last day of the month, and if it closes down a certainamount from the prior day’s close, it looks to buy if the first day of the month alsocloses below its open (Box 3.5). This is a reoccurring pattern, and it’s based on theflip of the month.Box 3.5 LastBarOfMonth Pattern (LBM)Calculate percentage change between yesterday’s close and the prior day’s close:%Chg = (close(1) – close(2)) / close(1) * 100If today is the first trading day of the month and the %Chg < -0.2 and today’sclose < today’s open, then buy MOCIf today is the first trading day of the month and the %Chg > 0.2 and today’sclose > today’s open, then sell short MOCLiquidate long at the open of the fifth day after entry day or on a stop @ entryPrice−2000/bigPointValueLiquidate short at the open of the fifth day after entry day or on a stop @entryPrice + 2000/bigPointValue110Day trading is a great complement to trend following as well. The equity curvein Figure 3.9 illustrates a mini-Russell day trading system that trades after a narrowCOMPLETE TRADING ALGORITHMSEquity ($)900008000070000600005000040000300002000010000Equity Curve Detailed - @TF.D 5 min. (11/28/2005 09:35 - 11/27/2015 09.35)LegendEquity Curve0–1000011/27/07 11/25/09 11/22/1111/28/2005 1:45:00 PM - 11/27/2015 9:35:00 AM11/25/13 11/25/15FIGURE 3.9 Mini-Russell day trading system using a narrow range day. It initially puts on twocontracts, pulling the first one off after a certain profit is reached and leaving the second to run itscourse.www.rasabourse.com
range day and initially puts on two contracts and then pulls one off after a certainprofit level and then lets the second contract run its course. It is out on the closeno matter what. This algorithm incorporates trade management in the form ofprotective stop, breakeven stop, and trailing stop (Box 3.6).Box 3.6 Day trading the mini RussellCanTrade = FalseCanBuy = FalseCanShort = FalseIf yesterday’s True Range < MAV(TR,10), then CanTrade = TrueIf yesterday’s close >= prior day’s close, then CanBuy = TrueIf yesterday’s close < prior day’s close, then CanShort = TrueIf CanTrade, thenIf CanBuy, then buy 2 units tomorrow at open +0.2 *MAV(TR,10) stopIf CanShort, then sell short 2 units tomorrow at open −0.2*MAV(TR,10)stopIf market position = longIf current size = 2 units, thenIf H of 5 minute bar > entryPrice + 4.00, thenexitLong 1 unit at H of day – 4.00 on a stopIf current size = 1 unit, thenexitLong at entryPrice stop or MOCIf market position = shortIf current size = 2 units, thenIf L of 5 minute bar <= entryPrice – 4.00, thenexitShort 1 unit at L of day + 4.00 on a stopIf current size = 1 unit, thenexitLong at entryPrice stop or MOC111COMPLETE TRADING ALGORITHMSHow about a system that lets the Commitment of Traders Report (COT) guide itsdirectional trades—one that only trades in the direction of the commercial interests?If the net commercial position is positive, then only take long positions, and viceversa. This type of trading system uses the COT as a sentiment indicator. Severaltrading platforms allow you to import the COT data. This system will be includedon this books companion website and www.georgepruitt.com.www.rasabourse.com
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THE ULTIMATEALGORITHMICTRADING SYST
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THE ULTIMATEALGORITHMICTRADING SYST
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CONTENTSAbout the authorIntroductio
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Reproduction 238Mutation 240Using G
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ABOUT THE AUTHORIt was March of 198
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Well that was 27 years ago and I di
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xivINTRODUCTION TO THE ULTIMATE ALG
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xviINTRODUCTION TO THE ULTIMATE ALG
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CHAPTER 1Introductionto TradingAlgo
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However, at this introductory stage
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completely above the tableau. If th
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Don’t get bogged down trying to u
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checking account was down the $10K,
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Short Liquidation Condition—What
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One BarStrengthTwo BarStrengthThree
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and inexperienced trading system pr
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Input = 6StartInput = 4Input <> 6In
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The diagram in Figure 1.4 looks cle
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observed. If the latter criterion i
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Start or NewBarIs C >AVG(C,200)YesN
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CHAPTER 2Stochastics andAverages an
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The basic theory behind the ADX is
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4. Divide the 14-day smoothed plus
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if myADX < 35 thenif MarketPosition
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TABLE 2.1Performance of Directional
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FIGURE 2.4Source: TradeStationExamp
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Start orNew BarIs RSI < 30YesBuy Ma
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RSI DivergenceMarket Continuing to
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If marketPosition =-1 and close > e
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TABLE 2.3Performance of RSI Failure
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Start orNew BarIs Slow %K CrossingA
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TABLE 2.4Performance of Stochastic
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it is boundless extended readings a
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TABLE 2.5Performance of CCI algorit
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FIGURE 2.11Source: TradeStationThe
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We will discuss moving averages in
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MACDAvg = XAverage( MyMACD,9)MACDDi
Page 75 and 76: FIGURE 2.13Source: TradeStationThre
Page 77 and 78: LC0_E0B −25000 −41790 398 −62
Page 79 and 80: FIGURE 2.14Source: TradeStationA 60
Page 81 and 82: TABLE 2.8 Performance of Bollinger
Page 83 and 84: If filterTrade = false thenIf close
Page 85 and 86: Keltner ChannelChester Keltner brou
Page 87 and 88: FIGURE 2.15Source: TradeStationKelt
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Page 91 and 92: TABLE 2.12Best Parameter Sets of Ke
Page 93 and 94: CHAPTER 3Complete TradingAlgorithms
Page 95 and 96: Box 3.1 Turtle System #1Buy one tic
Page 97 and 98: TABLE 3.1Turtle System 1 without LT
Page 99 and 100: TABLE 3.3Turtle System 1 with LTLF
Page 101 and 102: TABLE 3.4Tandem Performance of Turt
Page 103 and 104: Pause the Battle—Let’s Talk Ris
Page 105 and 106: Box 3.3 Battle Royale—And the Com
Page 107 and 108: TABLE 3.5Single Moving Average (SMA
Page 109 and 110: TABLE 3.8Donchian Channel Breakout
Page 111 and 112: we have, because who has the time t
Page 113 and 114: %Winners ShortLen InterLen StopDoll
Page 115 and 116: on a peak. This demonstrates a lack
Page 117 and 118: The correlation coefficients range
Page 119 and 120: TABLE 3.13The Best Results for the
Page 121 and 122: TABLE 3.17Results for the Donchian
Page 123 and 124: FIGURE 3.5AmiBroker’s walk-forwar
Page 125: direction of the 200-day moving ave
Page 129 and 130: CHAPTER 4Introduction toAmiBroker
Page 131 and 132: Things All Programmers Need to Know
Page 133 and 134: expressions deal with a string of c
Page 135 and 136: AFL uses functions DateNum(), DateT
Page 137 and 138: to Short and Cover as well. If you
Page 139 and 140: FIGURE 4.2The AmiBroker Editor wind
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Page 143 and 144: This is where you can change the va
Page 145 and 146: shortMav = MA(C,avgLen1);longMav =
Page 147 and 148: code. This is a very difficult thin
Page 149 and 150: the order of the arrays. I admit th
Page 151 and 152: FIGURE 4.17The AFL Code Wizard ‘
Page 153 and 154: ■■■This time click on is grea
Page 155 and 156: This should look very similar to th
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Page 159 and 160: COND3 = C > MA(C,100);COND1 = cente
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Page 163 and 164: FIGURE 5.1trading.Once you define t
Page 165 and 166: GetDataGET DATACOMPONENTLoad Data i
Page 167 and 168: 152USING MICROSOFT EXCEL TO BACKTES
Page 169 and 170: performance of the trading system.
Page 171 and 172: 156 FIGURE 5.9 The Visual Basic Edi
Page 173 and 174: FIGURE 5.12This error message appea
Page 175 and 176: End IfIf marketPosition = -1 ThenCa
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■■moc—Market On Close order.
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Simple Moving Average Crossover usi
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Call Trade(ExitShort, "S-ATR Prof",
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168USING PYTHON TO BACKTEST YOUR AL
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It works well on both Unix and Wind
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function modules and some are a lit
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inclusive, the number of iterations
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176This indicator is programmed as
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if prices[curBar - offset] < prices
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All these files deal with opening a
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entryPrice,fileList,entryPrice,entr
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Python has a ton of reusable code a
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186USING PYTHON TO BACKTEST YOUR AL
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portfolioClass. These classes are n
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percent wins, number of trades, and
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>>> c = a + b>>> cAfter you hit ent
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you don’t need to know exactly ho
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Shorting occurs when the low of the
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That was the long entry logic only
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FIGURE 6.4brackets.A Python run-tim
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prevAvg2 and today’s avg1 must be
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■ TradeStation IDE204AN INTRODUCT
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206AN INTRODUCTION TO EASYLANGUAGEt
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FIGURE 7.5The algorithm with a sing
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the Vars statement and initialize t
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TABLE 7.1EasyLanguage Keywords and
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214AN INTRODUCTION TO EASYLANGUAGEF
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standard deviations. In our example
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218AN INTRODUCTION TO EASYLANGUAGEt
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into a project makes it easier to a
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If marketPosition =-1 thenbeginend;
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or program any trading idea. Practi
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CHAPTER 8Genetic Optimization,Walk
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superfast processors, searching a l
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This equation involves four unknown
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For generation = 1 To 100 ' total g
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Converting Fitness in Terms of Slic
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'the 6 darts landedRandomizeFor l =
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roulette(i) = Rnd(1#)If roulette(i)
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selection and reproduction may even
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This is just one possible solution.
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history of each market. This test w
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Crossover RateThe rate that determi
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TradeStation’s and AmiBroker’s
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TABLE 8.3In-Sample Testing TA2Le Se
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Here are the various calculations t
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1. movAvgLen { 50 to 150 by 10 incr
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TABLE 8.6The Out-of-Sample (OOS) Re
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your algorithm are each written on
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That’s it! These seven lines of c
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[Equity]350003000025000200001500010
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Calculating Start Trade Drawdown Wi
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A loop is used to flow through each
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The maximum drawdown of this algori
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■ Fixed Fractional272PORTFOLIO AN
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FIGURE 9.2Add a strategy to your st
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276FIGURE 9.6The UGTATS markets and
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278FIGURE 9.9 How to adjust the set
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FIGURE 9.12 The Trade Analysis wind
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282PORTFOLIO ANALYSISFIGURE 9.15thi
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FIGURE 9.18 Profit and drawdown are
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FIGURE 9.20 To set the portfolio st
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FIGURE 9.24Source: TradeStationThe
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count makes sense; trades are turne
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APPENDIX AAmiBrokerHere is a brief
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switchbreak (part of the switch sta
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Here is the source code from Chapte
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PctSize = PositionRisk * MarginDepo
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■ KeywordsprevMarketPositionmarke
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upSumAvg = upSum / lengthdnSumAvg =
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Sub BollingerBand(dataList, length,
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308EXCEL SYSTEM BACKTESTERIf (kVal
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■ Keywords and Identifierscurrent
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312PYTHON SYSTEM BACKTESTERdef calc
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sysMark =self.systemMarkets[i]avgLo
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class stochClass(object):class stoc
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318PYTHON SYSTEM BACKTESTERfor i in
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■ Python-Specific Keywordsandasas
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Monte Carlo Analysis# Monte Carlo A
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FIGURE D.1324TRADESTATION AND EASYL
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Simple RSI with Profit Objective an
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If condition1 and condition2 then b
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330TRADESTATION AND EASYLANGUAGEIf(
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if lastTradeLoser thenbeginif curre
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Value1 = swingHighBar(1,h,pivotHiSt
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■■■■■■■Statistically
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INDEXNote: Page references followed
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calculation2 standard deviations, u
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ES. See Exhaustive searchESB. See E
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Mini Russell day trading system, na
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PPO. See Percentage price oscillato
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Time-based market order (MOC), exit
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Ultimate Algorithmic Trading System

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