Ultimate Algorithmic Trading System

FIGURE 9.16 The arrows indicate the parameters that you can change from the Money
Management window. For now, keep the ATR lookback set to 10 and the round quantity set to 1.
This overlay will calculate two times the 10-day ATR and use it as the
denominator in our Fixed Fractional formula. The numerator will be 1 percent
of the total portfolio balance. Both numerator and denominator will rise and fall.
The denominator will replicate market volatility and the numerator will reflect
1 percent of the account as it grows or shrinks. Click on the Backtest Portfolio
button and change the Initial Capital to 500,000. This test will apply the
Turtle 55 algorithm to the UGTATS Symbol List all the while overlaying a Fixed
Fractional money management scheme. Sounds like a lot to carry out, so let’s see
what happens by clicking the Perform Backtest button (make sure you are going
10 Years Back). Figure 9.17 shows the equity curve of the backtest, and yes, you
are seeing close to a million-dollar profit.
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PORTFOLIO ANALYSIS
FIGURE 9.17
Source: TradeStation
The equity curve of the backtest reveals a profit of nearly $1 million.
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