Ultimate Algorithmic Trading System

TABLE 8.6
The Out-of-Sample (OOS) Report
p1 p2 p3 p4 p5 p6 p7 p8 p9 p10 p11 Begin Date End Date Bars Profit Max DD
90 5 2 5 2 900 650 13 600 400 9 2007/08/16– 2007/12/11 117 −5, 512. −7, 037
100 5 1 5 2 1450 350 14 1050 750 12 2007/12/11–2008/04/01 112 8, 325. −4, 862
70 4 1 4 2 900 550 13 1150 750 8 2008/04/01–2008/07/16 106 4, 862. −2, 962
100 5 1 5 2 1450 350 14 1050 750 12 2008/07/16–2008/11/10 117 21, 150 −4, 425
90 5 1 5 3 1500 350 13 1050 750 5 2008/11/10–2009/03/03 113 10, 475 −5, 150
90 5 1 5 3 1500 350 13 1050 750 5 2009/03/03–2009/05/29 87 −7, 362 −10, 400
90 5 1 5 3 1500 350 13 1050 750 5 2009/05/29–2009/10/02 126 2, 025 −1, 925
90 5 1 5 1 1400 300 13 1050 750 11 2009/10/08–2010/02/02 117 −2, 675 −4, 025
90 5 1 5 1 1450 350 8 1050 750 8 2010/02/02–2010/05/21 108 2, 050 −3, 425
90 5 1 5 1 1400 650 9 1100 650 11 2010/05/21–2010/09/03 105 −2, 200 −5, 862
90 5 1 5 1 1450 350 8 1100 750 13 2010/09/08–2010/12/27 110 4, 687 −2, 612
70 5 1 5 1 1400 450 8 1500 700 8 2010/12/30–2011/04/19 110 −2, 137 −4, 775
70 5 1 5 1 1450 350 8 1200 700 9 2011/04/19–2011/08/08 111 −1, 475 −6, 875.
100 5 1 3 1 1400 500 11 1100 700 6 2011/08/08–2011/11/23 107 662 −4, 937
100 5 1 3 1 1200 350 9 1200 700 13 2011/11/23–2012/03/22 120 3, 500 −1, 675
100 3 1 5 1 1450 350 9 1050 750 15 2012/03/22–2012/07/06 106 −1, 937 −3, 200
100 5 1 3 1 1200 350 9 1200 700 13 2012/07/12–2012/10/17 97 1, 512 −3, 337
90 4 1 3 1 1200 350 6 1200 700 9 2012/10/17–2013/02/19 125 −1, 070 −4, 932
80 4 1 3 2 1050 550 14 800 300 7 2013/02/21–2013/06/12 111 3, 800 −1, 650
90 4 1 4 1 1500 650 6 600 700 9 2013/06/12–2013/09/30 111 −750 −5, 300
90 4 1 4 1 1500 650 6 600 700 9 2013/09/30–2014/01/21 113 0 −1, 662
100 5 3 3 1 1200 700 13 1100 700 6 2014/01/21–2014/05/13 112 −2, 125 −4, 950
150 4 1 5 1 1150 350 13 950 500 14 2014/05/13–2014/08/28 108 3, 212 −3, 600
150 4 1 5 1 1150 350 13 950 500 14 2014/08/28–2014/12/18 112 2, 112 −4, 737
150 4 1 5 1 1150 350 13 950 500 14 2014/12/18–2015/04/07 110 11, 075. −4, 087
TABLE 8.7
WFO Report Card TA3
Test Criteria Result Comment
1 Overall Profitability Pass Total Profit > 0. System likely to perform profitably on unseen data.
2 Walk-Forward Efficiency Pass >= 30%. System likely to perform in future at a rate between
30–100% of those achieved during optimization.
3 Consistency of Profits Pass 50%+ of walk-forward runs were profitable.
4 Distribution of Profits Pass No individual time period contributed more than 50% of Tot. Profit.
5 Maximum Drawdown Pass No individual run had a drawdown of more than 40% of init. capital.
257
GENETIC OPTIMIZATION, WALK FORWARD
Overall Result
PASSED
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