Ultimate Algorithmic Trading System

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FIGURE 7.2Source: TradeStationTradeStation’s trading apps.205AN INTRODUCTION TO EASYLANGUAGEFIGURE 7.3The initial screen of the TradeStation Development Environment.www.rasabourse.com
206AN INTRODUCTION TO EASYLANGUAGEthrough Chapter 4, you will also notice a very close similarity to the AFL editor.Here is a quick tutorial on the editor.An impressive feature of this editor is the ability to quickly and easily move fromthe source code of one program to another. When you open to edit more thanone analysis technique, each program or file is opened underneath its own tab verysimilar to the way Microsoft Excel uses tabs for different worksheets. This is a nicefeature because it makes copying existing code from one Strategy, Function,Indicator,orPaintbar to another very easy. As you have seen thus far in the book,building trading algorithms is done by extending existing code. After programmingfor a while, you will develop a library of ideas that you use and reuse again andagain. So it’s nice to be able to program a new idea with bits and pieces of old ideas.The multiple-tab concept makes this much simpler.The TDE also incorporates the idea of Outlining. We touched on this in Chapter4 on AmiBroker very briefly when we switched to loop programming mode.If you skipped that chapter or want a refresher, just follow along. Outlining is afeature where blocks of source code can be grouped together to make readabilitymuch easier. This also helps make programs much more modular. Let’s play aroundwith the EL Editor a bit. If you haven’t downloaded the companion EL code for thisbook, it would be advisable to do so now. If you need help, go to the TradeStationappendix and follow the instructions. The EL Editor should still be open from ourprevious exercise. If not, then go ahead and launch it. From the File menu, selectOpen and when the Open Easy Language Document dialog box appears selectStrategy in the Select Analysis Type drop-down menu. Your screen should looklike the one in Figure 7.4.FIGURE 7.4The EasyLanguage editor in the TradeStation Development Environment.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
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shortMav = MA(C,avgLen1);longMav =
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code. This is a very difficult thin
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the order of the arrays. I admit th
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FIGURE 4.17The AFL Code Wizard ‘
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■■■This time click on is grea
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This should look very similar to th
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before a single line of code is typ
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COND3 = C > MA(C,100);COND1 = cente
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’********************************
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FIGURE 5.1trading.Once you define t
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GetDataGET DATACOMPONENTLoad Data i
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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 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 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: ■ TradeStation IDE204AN INTRODUCT
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
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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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