Ultimate Algorithmic Trading System

Recommendations

Info

Simple RSI system using 3 X ATR stop and 5 X ATR profit objective’****************************************************************’**** This is a good place to put all of your function calls ****’**** and system calculations. A simple RSI system ****'**** that buys when RSI < 20 and sells when RSI > 80. ****'**** Utilizes a 5 ATR Profit and a 3 ATR Protective Stop ****’****************************************************************Call BollingerBand(myClose, 60, 2, avg, upBand, dnBand,i, 1)simpleAvg = Average(myClose, 19, i, 1)atr = Average(myTrueRange, 20, i, 1)rsiVal = RSI(myClose, 14, i, 0)Call Stochastic(3, 4, 7, stoK, stoD, slowD, i, 1)’****************************************************************’**** Put All Of Your Orders Here ****’****************************************************************prevMarketPosition = marketPositionIf marketPosition <> 1 And rsiVal < 20 ThenCall Trade(Buy, "RSIBuy", myClose(i), moc, i)End IfIf marketPosition <> -1 And rsiVal > 80 ThenCall Trade(Sell, "RSISell", myClose(i), moc, i)End IfIf marketPosition = 1 ThenIf myClose(i) < entryPrice - 3 * atr ThenCall Trade(ExitLong, "L-ATR Stop", myClose(i), moc, i)End IfIf myClose(i) > entryPrice + 5 * atr ThenCall Trade(ExitLong, "L-ATR Prof", myClose(i), moc, i)End IfEnd IfIf marketPosition = -1 ThenIf myClose(i) > entryPrice + 3 * atr ThenCall Trade(ExitShort, "S-ATR Stop", myClose(i),End Ifmoc, i)If myClose(i) < entryPrice - 5 * atr Then165USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHMwww.rasabourse.com
Call Trade(ExitShort, "S-ATR Prof", myClose(i),moc, i)End IfEnd If’****************************************************************’**** End of Main Trading Loop ****’**** No orders allowed below this point ****’****************************************************************166USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHMwww.rasabourse.com
Page 1 and 2:
THE ULTIMATEALGORITHMICTRADING SYST
Page 3 and 4:
THE ULTIMATEALGORITHMICTRADING SYST
Page 5 and 6:
CONTENTSAbout the authorIntroductio
Page 7 and 8:
Reproduction 238Mutation 240Using G
Page 9 and 10:
ABOUT THE AUTHORIt was March of 198
Page 11 and 12:
Well that was 27 years ago and I di
Page 13 and 14:
xivINTRODUCTION TO THE ULTIMATE ALG
Page 15 and 16:
xviINTRODUCTION TO THE ULTIMATE ALG
Page 17 and 18:
CHAPTER 1Introductionto TradingAlgo
Page 19 and 20:
However, at this introductory stage
Page 21 and 22:
completely above the tableau. If th
Page 23 and 24:
Don’t get bogged down trying to u
Page 25 and 26:
checking account was down the $10K,
Page 27 and 28:
Short Liquidation Condition—What
Page 29 and 30:
One BarStrengthTwo BarStrengthThree
Page 31 and 32:
and inexperienced trading system pr
Page 33 and 34:
Input = 6StartInput = 4Input <> 6In
Page 35 and 36:
The diagram in Figure 1.4 looks cle
Page 37 and 38:
observed. If the latter criterion i
Page 39 and 40:
Start or NewBarIs C >AVG(C,200)YesN
Page 41 and 42:
CHAPTER 2Stochastics andAverages an
Page 43 and 44:
The basic theory behind the ADX is
Page 45 and 46:
4. Divide the 14-day smoothed plus
Page 47 and 48:
if myADX < 35 thenif MarketPosition
Page 49 and 50:
TABLE 2.1Performance of Directional
Page 51 and 52:
FIGURE 2.4Source: TradeStationExamp
Page 53 and 54:
Start orNew BarIs RSI < 30YesBuy Ma
Page 55 and 56:
RSI DivergenceMarket Continuing to
Page 57 and 58:
If marketPosition =-1 and close > e
Page 59 and 60:
TABLE 2.3Performance of RSI Failure
Page 61 and 62:
Start orNew BarIs Slow %K CrossingA
Page 63 and 64:
TABLE 2.4Performance of Stochastic
Page 65 and 66:
it is boundless extended readings a
Page 67 and 68:
TABLE 2.5Performance of CCI algorit
Page 69 and 70:
FIGURE 2.11Source: TradeStationThe
Page 71 and 72:
We will discuss moving averages in
Page 73 and 74:
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
Page 89 and 90:
35000300002500020000150001000050000
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 and 126:
direction of the 200-day moving ave
Page 127 and 128:
range day and initially puts on two
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
Page 141 and 142: to the user. Instead of having to r
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
Page 157 and 158: before a single line of code is typ
Page 159 and 160: COND3 = C > MA(C,100);COND1 = cente
Page 161 and 162: ’********************************
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
Page 177 and 178: ■■moc—Market On Close order.
Page 179: Simple Moving Average Crossover usi
Page 183 and 184: 168USING PYTHON TO BACKTEST YOUR AL
Page 185 and 186: It works well on both Unix and Wind
Page 187 and 188: function modules and some are a lit
Page 189 and 190: inclusive, the number of iterations
Page 191 and 192: 176This indicator is programmed as
Page 193 and 194: if prices[curBar - offset] < prices
Page 195 and 196: All these files deal with opening a
Page 197 and 198: entryPrice,fileList,entryPrice,entr
Page 199 and 200: Python has a ton of reusable code a
Page 201 and 202: 186USING PYTHON TO BACKTEST YOUR AL
Page 203 and 204: portfolioClass. These classes are n
Page 205 and 206: percent wins, number of trades, and
Page 207 and 208: >>> c = a + b>>> cAfter you hit ent
Page 209 and 210: you don’t need to know exactly ho
Page 211 and 212: Shorting occurs when the low of the
Page 213 and 214: That was the long entry logic only
Page 215 and 216: FIGURE 6.4brackets.A Python run-tim
Page 217 and 218: prevAvg2 and today’s avg1 must be
Page 219 and 220: ■ TradeStation IDE204AN INTRODUCT
Page 221 and 222: 206AN INTRODUCTION TO EASYLANGUAGEt
Page 223 and 224: FIGURE 7.5The algorithm with a sing
Page 225 and 226: the Vars statement and initialize t
Page 227 and 228: TABLE 7.1EasyLanguage Keywords and
Page 229 and 230: 214AN INTRODUCTION TO EASYLANGUAGEF
Page 231 and 232:
standard deviations. In our example
Page 233 and 234:
218AN INTRODUCTION TO EASYLANGUAGEt
Page 235 and 236:
into a project makes it easier to a
Page 237 and 238:
If marketPosition =-1 thenbeginend;
Page 239 and 240:
or program any trading idea. Practi
Page 241 and 242:
CHAPTER 8Genetic Optimization,Walk
Page 243 and 244:
superfast processors, searching a l
Page 245 and 246:
This equation involves four unknown
Page 247 and 248:
For generation = 1 To 100 ' total g
Page 249 and 250:
Converting Fitness in Terms of Slic
Page 251 and 252:
'the 6 darts landedRandomizeFor l =
Page 253 and 254:
roulette(i) = Rnd(1#)If roulette(i)
Page 255 and 256:
selection and reproduction may even
Page 257 and 258:
This is just one possible solution.
Page 259 and 260:
history of each market. This test w
Page 261 and 262:
Crossover RateThe rate that determi
Page 263 and 264:
TradeStation’s and AmiBroker’s
Page 265 and 266:
TABLE 8.3In-Sample Testing TA2Le Se
Page 267 and 268:
Here are the various calculations t
Page 269 and 270:
1. movAvgLen { 50 to 150 by 10 incr
Page 271 and 272:
TABLE 8.6The Out-of-Sample (OOS) Re
Page 273 and 274:
your algorithm are each written on
Page 275 and 276:
That’s it! These seven lines of c
Page 277 and 278:
[Equity]350003000025000200001500010
Page 279 and 280:
Calculating Start Trade Drawdown Wi
Page 281 and 282:
A loop is used to flow through each
Page 283 and 284:
The maximum drawdown of this algori
Page 285 and 286:
■ Fixed Fractional272PORTFOLIO AN
Page 287 and 288:
FIGURE 9.2Add a strategy to your st
Page 289 and 290:
276FIGURE 9.6The UGTATS markets and
Page 291 and 292:
278FIGURE 9.9 How to adjust the set
Page 293 and 294:
FIGURE 9.12 The Trade Analysis wind
Page 295 and 296:
282PORTFOLIO ANALYSISFIGURE 9.15thi
Page 297 and 298:
FIGURE 9.18 Profit and drawdown are
Page 299 and 300:
FIGURE 9.20 To set the portfolio st
Page 301 and 302:
FIGURE 9.24Source: TradeStationThe
Page 303 and 304:
count makes sense; trades are turne
Page 305 and 306:
APPENDIX AAmiBrokerHere is a brief
Page 307 and 308:
switchbreak (part of the switch sta
Page 309 and 310:
Here is the source code from Chapte
Page 311 and 312:
PctSize = PositionRisk * MarginDepo
Page 313 and 314:
■ KeywordsprevMarketPositionmarke
Page 315 and 316:
upSumAvg = upSum / lengthdnSumAvg =
Page 317 and 318:
Sub BollingerBand(dataList, length,
Page 319 and 320:
308EXCEL SYSTEM BACKTESTERIf (kVal
Page 321 and 322:
■ Keywords and Identifierscurrent
Page 323 and 324:
312PYTHON SYSTEM BACKTESTERdef calc
Page 325 and 326:
sysMark =self.systemMarkets[i]avgLo
Page 327 and 328:
class stochClass(object):class stoc
Page 329 and 330:
318PYTHON SYSTEM BACKTESTERfor i in
Page 331 and 332:
■ Python-Specific Keywordsandasas
Page 333 and 334:
Monte Carlo Analysis# Monte Carlo A
Page 335 and 336:
FIGURE D.1324TRADESTATION AND EASYL
Page 337 and 338:
Simple RSI with Profit Objective an
Page 339 and 340:
If condition1 and condition2 then b
Page 341 and 342:
330TRADESTATION AND EASYLANGUAGEIf(
Page 343 and 344:
if lastTradeLoser thenbeginif curre
Page 345 and 346:
Value1 = swingHighBar(1,h,pivotHiSt
Page 347 and 348:
■■■■■■■Statistically
Page 349 and 350:
INDEXNote: Page references followed
Page 351 and 352:
calculation2 standard deviations, u
Page 353 and 354:
ES. See Exhaustive searchESB. See E
Page 355 and 356:
Mini Russell day trading system, na
Page 357 and 358:
PPO. See Percentage price oscillato
Page 359 and 360:
Time-based market order (MOC), exit
show all

Ultimate Algorithmic Trading System

Create successful ePaper yourself

Delete template?

Save as template?