Ultimate Algorithmic Trading System

1. movAvgLen { 50 to 150 by 10 increments } [11 iterations]
2. pivotHiLookBack {3 to 5 by 1 increment} [3 iterations]
3. pivotHiStrength {1 to 3 by 1 increment} [3 iterations]
4. pivotLowLookBack {3 to 5 by 1 increment} [3 iterations]
5. pivotLowStrength {1 to 3 by 1 increment} [3 iterations]
6. LprofitObjective {500 to 1500 by 50 increment} [21 iterations]
7. LstopLoss {250 to 750 by 50 increment} [11 iterations]
8. SprofitObjective {500 to 1500 by 50 increment} [21 iterations]
9. SstopLoss {250 to 750 by 50 increment} [11 iterations]
10. longExitDays {5to15by1} [11 iterations]
11. shortExitDays {5to15by1} [11 iterations]
The total search space = 11 ∗ 3 ∗ 3 ∗ 3 ∗ 3 ∗ 21 ∗ 11 ∗ 21 ∗ 11 ∗ 11 ∗ 11
= 5,752,902,771
That is nearly 6 billion iterations. Fortunately, the genetic method of optimization
is available.
Here is the code for entries and exits:
Value1 = SwingHiBar(1,H,pivotHiStrength,pivotHiLookBack);
Value2 = SwingLowBar(1,L,pivotLowStrength,pivotLowLookBack);
If C > Average(C,avgLen) then
Begin
If Value1 <> -1 then Buy this Bar on Close;
End;
If C < Average(C,avgLen) then
Begin
If Value2 <> -1 then SellShort this Bar on Close;
End;
If MarketPosition = 1 Then
Begin
Sell Next Bar at EntryPrice + LprofitObjective/bigPointValue limit;
Sell Next Bar at EntryPrice - longStopLoss/bigPointValue stop;
End;
255
GENETIC OPTIMIZATION, WALK FORWARD
If MarketPosition = -1 Then
Begin
BuyToCover Next Bar at EntryPrice - SprofitObjective/
bigPointValue limit;
BuyToCover Next Bar at EntryPrice + shortStopLoss/
bigPointValue stop;
End;
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