Ultimate Algorithmic Trading System

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def exitPos(myExitPrice,myExitDate,tempName,myCurShares):global mp,commissionglobal tradeName,entryPrice,entryQuant,exitPrice,numShares,myBPV,cumuProfitif mp < 0:trades = tradeInfo('liqShort',myExitDate,tempName,myExitPrice,myCurShares,0)profit = trades.calcTradeProfit('liqShort',mp,entryPrice,myExitPrice,entryQuant,myCurShares) * myBPVprofit = profit - myCurShares *commissiontrades.tradeProfit = profitcumuProfit += profittrades.cumuProfit = cumuProfitif mp > 0:trades = tradeInfo('liqLong',myExitDate,tempName,myExitPrice,myCurShares,0)profit = trades.calcTradeProfit('liqLong',mp,entryPrice,myExitPrice,entryQuant,myCurShares) * myBPVtrades.tradeProfit = profitprofit = profit - myCurShares * commissioncumuProfit += profittrades.cumuProfit = cumuProfitcurShares = 0for remShares in range(0,len(entryQuant)):curShares += entryQuant[remShares]return (profit,trades,curShares)#------------------------------------------------------------#End of functions#------------------------------------------------------------Lists and Variables Initiation You can use this section to initialize your ownlists and variables. These lines of code are pretty cool.#------------------------------------------------------------#Lists and variables are defined and initialized here#------------------------------------------------------------alist, blist, clist, dlist, elist = ([] for i in range(5))marketPosition,listOfTrades,trueRanges,ranges =([] for i in range(4))dataClassList,systemMarketList,equityDataList =([] for i in range(3))181USING PYTHON TO BACKTEST YOUR ALGORITHMwww.rasabourse.com
entryPrice,fileList,entryPrice,entryQuant,exitQuant =([] for i in range(5))#exitPrice = list()currentPrice,totComms,barsSinceEntry = 0numRuns,myBPV,allowPyra,curShares = 0#------------------------------------------------------------#End of Lists and Variables#------------------------------------------------------------alist, blist, clist, dlist, elist = ([] for i in range(5))The first line of code creates five different lists using an implicit for loop, a one-linerfor loop. You are probably starting to see the magic of Python.182USING PYTHON TO BACKTEST YOUR ALGORITHMData Import and Configuration and Portfolio Setup The list of data classobjects are assigned whatever is returned by the function getData(). When the PSBis launched, one of the first things it asks the user is to pick some data (commodity,equities, or index prices). The getData function handles the creation of an OpenFile dialog, the selection of data files, and determining the market specificationsfor each file selected. The following is the complete listing of the function’s sourcebroken down into easily explainable components.#------------------------------------------------------------#Get the raw data and its associated attributes[pointvalue,symbol,tickvalue]#Read a csv file that has at least D,O,H,L,C - V and OpIntare optional#Set up a portfolio of multiple markets#------------------------------------------------------------dataClassList = getData()numMarkets = len(dataClassList)portfolio = portfolioClass()import csvimport tkinter as tkimport os.pathfrom marketDataClass import marketDataClassfrom dataMasterLists import commName, bigPtVal, minMovefrom tkinter.filedialog import askopenfilenamesfrom equityDataClass import equityClassdataClassList = list()fileName = "c:\PBS\dataMaster.csv"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
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FIGURE 2.13Source: TradeStationThre
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LC0_E0B −25000 −41790 398 −62
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FIGURE 2.14Source: TradeStationA 60
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TABLE 2.8 Performance of Bollinger
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If filterTrade = false thenIf close
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Keltner ChannelChester Keltner brou
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FIGURE 2.15Source: TradeStationKelt
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35000300002500020000150001000050000
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TABLE 2.12Best Parameter Sets of Ke
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CHAPTER 3Complete TradingAlgorithms
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Box 3.1 Turtle System #1Buy one tic
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TABLE 3.1Turtle System 1 without LT
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TABLE 3.3Turtle System 1 with LTLF
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TABLE 3.4Tandem Performance of Turt
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Pause the Battle—Let’s Talk Ris
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Box 3.3 Battle Royale—And the Com
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TABLE 3.5Single Moving Average (SMA
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TABLE 3.8Donchian Channel Breakout
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we have, because who has the time t
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%Winners ShortLen InterLen StopDoll
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on a peak. This demonstrates a lack
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The correlation coefficients range
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TABLE 3.13The Best Results for the
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TABLE 3.17Results for the Donchian
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FIGURE 3.5AmiBroker’s walk-forwar
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direction of the 200-day moving ave
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range day and initially puts on two
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CHAPTER 4Introduction toAmiBroker
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Things All Programmers Need to Know
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expressions deal with a string of c
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AFL uses functions DateNum(), DateT
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to Short and Cover as well. If you
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FIGURE 4.2The AmiBroker Editor wind
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to the user. Instead of having to r
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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
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Page 163 and 164: FIGURE 5.1trading.Once you define t
Page 165 and 166: GetDataGET DATACOMPONENTLoad Data i
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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 and 180: Simple Moving Average Crossover usi
Page 181 and 182: Call Trade(ExitShort, "S-ATR Prof",
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: All these files deal with opening a
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
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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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