Ultimate Algorithmic Trading System

This trade, optimize, implement, and trade cycle is easy to see. Testing using this
process on a long stream of historical data would be very difficult if tools such as
the TS WFO were not available. A test would have to be started, stopped, results
recorded, backed up, and optimized on in-sample data, started, stopped, results
recorded, backed up, and optimized on in-sample data, started, stopped … .You
get the picture.
Before proceeding, please refer to the TradeStation WFO Help menu to learn
how to set up an optimization and then load that information into the software. The
TS WFO Help system will also show how to perform an individual walk-forward
analysis (WFA), or a cluster WFA.
Here is an individual WFA of a Turtle-like system selectively changing its
parameters every two years. The first results shown are with the benefit of hindsight.
The best parameters for each time period were utilized to construct the continuous
track record. All the reports shown were produced using the TS WFO. The system
labeled TA2 will enter and exit the market utilizing the following criteria:
//EasyLanguage Code for Turtle-like Algo
Buy Next Bar at Highest (H[1],xLongEntryLen) stop;
250
Sell Short Next Bar at Lowest (L[1],xShortEntryLen) stop;
GENETIC OPTIMIZATION, WALK FORWARD
If MarketPosition = 1 Then
Sell Next Bar at Lowest (L[1],xLongExitLen) stop;
If MarketPosition =-1 Then
BuyToCover Next Bar at Highest(H[1],xShortExitLen) stop;
In-Sample Testing You will notice four optimizable parameters:
1. xLongEntryLen
2. xLongExitLen
3. xShortEntryLen
4. xShortExitLen
Since the long entry parameter may not be the same as the short this system is not
symmetric. This also applies to the long and short exits. Different parameters for
long and short entries were used to increase the search space sufficiently to enable
a genetic optimization. You will notice if the exhaustive search space is less than
10,000, then the genetic method is disabled. Table 8.3 shows the in-sample testing
results of TA2 over the past 14 years on 30-year bonds.
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