Ultimate Algorithmic Trading System

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FIGURE 7.9How to change the inputs and adjust your strategy.215AN INTRODUCTION TO EASYLANGUAGEFIGURE 7.10The four input variables to adjust the mean reversion strategy.Continuing on through the code, the first order of business is the assignmentof myBollingerB. myBollingerB is assigned the output of the functionBollingerB. This function requires four parameters or arguments: price data array,lookback period, the number of + standard deviations, and the number of negativewww.rasabourse.com
standard deviations. In our example, we are using the closing prices, a five-barlookback, and positive one and negative one standard deviations.myBollingerB = BollingerB(c,5,1,-1);The BollingerB function returns a value between a negative value and a positivevalue and 1.00 which indicates the location of the current bar’s close in relation tothe upper and lower Bollinger Bands. The lower the value, the closer it is to thelower band. The higher the value, the closer it is to the upper band.If MarketPosition = 0 andclose > average (close,200) andaverage(myBollingerB,triggerSmooth) < triggerVal thenbuy("LongReversion") next bar at market;If MarketPosition = 0 andclose < average (close,200) andaverage(myBollingerB,triggerSmooth) > 1 - triggerVal thensellShort("ShortReversion") next bar at market;216AN INTRODUCTION TO EASYLANGUAGEYou might not be able to tell by this code snippet, but EL follows the bar-by-barprogramming paradigm. The keyword If might have given you a hint, though. If youhave read the chapter on AmiBroker, you know you usually don’t use the keywordIf when dealing with array programming. When you use the data arrays (open, high,low, close, volume, or opInt) without an index variable you are simply looking atthe very last day of data up to that point in the master loop.C is the same as C[0]. The [0] is optional. Since there is an implied index, youcan be assured you are not dealing with array programming. The lack of the indexfor the last value in the arrays makes EL look more like English. Take a look at thefollowing line of code:If close > average(c,200) then buy next bar at open;Doesn’t this look like English? You bet it does. Hence, the name EasyLanguage.The language is simple on the surface, but can become much more complicated asthe complexity of the algorithm increases. This is a good thing—EasyLanguage isn’tnecessarily easy, but it’s not weak by any stretch of the imagination. And it’s gettingmore powerful every year.These lines of code direct TradeStation to check the current market position, andif it is flat, to check if today’s close > the 200-bar moving average and the 3-barmoving average of myBollingerB is less than the triggerVal. In this example,the triggerVal is set to 0.2. If the criteria are met, then a market order to buy isplaced for the next bar’s open. A similar criterion is used to initiate a short positionwww.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
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performance of the trading system.
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156 FIGURE 5.9 The Visual Basic Edi
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FIGURE 5.12This error message appea
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End IfIf marketPosition = -1 ThenCa
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■■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 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: 214AN INTRODUCTION TO EASYLANGUAGEF
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
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Page 279 and 280: 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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