Ultimate Algorithmic Trading System

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AddColumn(myRSI,"RSI");AddColumn(myStoch,"StochD");AddColumn(C,"Close");AddColumn(C>myMovAvg,"C>MAV(19)");AddColumn(C,"Close",format= 1.4);296AMIBROKERThe code snippet starts out by assigning MACD, RSI, StochD, and MAV valuesto four user-defined variables: myMACD, myRSI, myStoch, and myAvg. Thesevariables are then used in the AddColumn function along with a descriptive name.AddColumn can take a variable number of parameters, but most of the time youwill only need to pass two or three. The first parameter is the name of the array thatyou want to print and the second parameter is a string that will be printed as thecolumn heading. The third and optional parameter is the format the array will beprinted out in. Figure A.1 shows the printout of this particular exploration.Notice how the first ‘‘Close’’ column only shows two decimal places, whereasthe second ‘‘Close’’ column has been formatted to show four. The AddColumncapability is very powerful because it is so easy to print out the internal workingsof your algorithm. This tool comes in really handy when a trading algorithm isn’tperforming the way you intended—just print out the values that make up the criteriaof your buy / sell / short / cover logic. Remember to include Filter = 1 at thetop of your code listing. This informs AmiBroker to go ahead and allow values to beprinted out in a spreadsheet format in the Results window.FIGURE A.1Results of an exploration with three parameters.www.rasabourse.com
Here is the source code from Chapter 4 that included some interesting topics thatis discussed here.//Chapter 2 MACD utilizing AMIBROKERS//Exploration FeatureFilter = 1;PositionSize = MarginDeposit = 1;Setting Filter = 1 turns on the Exploration tool. PositionSize = Margin-Deposit = 1 facilitates futures trading mode.myMACD = MACD(fast=12,slow =26);myMACDAvg = MA(myMACD,9);myMACDDiff = myMACD - MYMACDAvg;leftBar2 = Ref(myMACDDiff,-4);leftBar1 = Ref(myMACDDiff,-3);centerBar = Ref(myMACDDiff,-2);rightBar1 = Ref(myMACDDiff,-1);rightBar2 = Ref(myMACDDiff,0);Call the MACD function and calculate the difference between it and its nine-periodsmoothing average. Utilize Ref to get historic values in the myMACDDiff array.Visualize the MACD difference plotted as a histogram. This bit of code is gatheringinformation to determine if pivot point of the histogram has occurred. CenterBar istwo bars back and leftBar1, leftBar2, rightBar1, and rightBar2 are self-explanatory.297AMIBROKERCOND3 = C > MA(C,100);COND1 = centerBar < 0 AND centerBar < Min(leftBar2,leftBar1) AND centerBar < min(rightBar1,rightBar2);COND2 = centerBar > 0 AND centerBar > Max(leftBar2,leftBar1) AND centerBar > Max(rightBar1,rightBar2);COND3 is set to true when the close is above the 100-day moving average.COND1 is set to true when the center bar forms a pivot low and is below 0.COND2 is set to true when the center bar forms a pivot high and is above 0.www.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.
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Simple Moving Average Crossover usi
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Call Trade(ExitShort, "S-ATR Prof",
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168USING PYTHON TO BACKTEST YOUR AL
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It works well on both Unix and Wind
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function modules and some are a lit
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inclusive, the number of iterations
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176This indicator is programmed as
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if prices[curBar - offset] < prices
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All these files deal with opening a
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entryPrice,fileList,entryPrice,entr
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Python has a ton of reusable code a
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186USING PYTHON TO BACKTEST YOUR AL
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portfolioClass. These classes are n
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percent wins, number of trades, and
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>>> c = a + b>>> cAfter you hit ent
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you don’t need to know exactly ho
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Shorting occurs when the low of the
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That was the long entry logic only
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FIGURE 6.4brackets.A Python run-tim
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prevAvg2 and today’s avg1 must be
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■ TradeStation IDE204AN INTRODUCT
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206AN INTRODUCTION TO EASYLANGUAGEt
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FIGURE 7.5The algorithm with a sing
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the Vars statement and initialize t
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TABLE 7.1EasyLanguage Keywords and
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214AN INTRODUCTION TO EASYLANGUAGEF
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standard deviations. In our example
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218AN INTRODUCTION TO EASYLANGUAGEt
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into a project makes it easier to a
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If marketPosition =-1 thenbeginend;
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or program any trading idea. Practi
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CHAPTER 8Genetic Optimization,Walk
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superfast processors, searching a l
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This equation involves four unknown
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For generation = 1 To 100 ' total g
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Converting Fitness in Terms of Slic
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'the 6 darts landedRandomizeFor l =
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roulette(i) = Rnd(1#)If roulette(i)
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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
Page 277 and 278: [Equity]350003000025000200001500010
Page 279 and 280: Calculating Start Trade Drawdown Wi
Page 281 and 282: A loop is used to flow through each
Page 283 and 284: The maximum drawdown of this algori
Page 285 and 286: ■ Fixed Fractional272PORTFOLIO AN
Page 287 and 288: FIGURE 9.2Add a strategy to your st
Page 289 and 290: 276FIGURE 9.6The UGTATS markets and
Page 291 and 292: 278FIGURE 9.9 How to adjust the set
Page 293 and 294: FIGURE 9.12 The Trade Analysis wind
Page 295 and 296: 282PORTFOLIO ANALYSISFIGURE 9.15thi
Page 297 and 298: FIGURE 9.18 Profit and drawdown are
Page 299 and 300: FIGURE 9.20 To set the portfolio st
Page 301 and 302: FIGURE 9.24Source: TradeStationThe
Page 303 and 304: count makes sense; trades are turne
Page 305 and 306: APPENDIX AAmiBrokerHere is a brief
Page 307: switchbreak (part of the switch sta
Page 311 and 312: PctSize = PositionRisk * MarginDepo
Page 313 and 314: ■ KeywordsprevMarketPositionmarke
Page 315 and 316: upSumAvg = upSum / lengthdnSumAvg =
Page 317 and 318: Sub BollingerBand(dataList, length,
Page 319 and 320: 308EXCEL SYSTEM BACKTESTERIf (kVal
Page 321 and 322: ■ Keywords and Identifierscurrent
Page 323 and 324: 312PYTHON SYSTEM BACKTESTERdef calc
Page 325 and 326: sysMark =self.systemMarkets[i]avgLo
Page 327 and 328: class stochClass(object):class stoc
Page 329 and 330: 318PYTHON SYSTEM BACKTESTERfor i in
Page 331 and 332: ■ Python-Specific Keywordsandasas
Page 333 and 334: Monte Carlo Analysis# Monte Carlo A
Page 335 and 336: FIGURE D.1324TRADESTATION AND EASYL
Page 337 and 338: Simple RSI with Profit Objective an
Page 339 and 340: If condition1 and condition2 then b
Page 341 and 342: 330TRADESTATION AND EASYLANGUAGEIf(
Page 343 and 344: if lastTradeLoser thenbeginif curre
Page 345 and 346: Value1 = swingHighBar(1,h,pivotHiSt
Page 347 and 348: ■■■■■■■Statistically
Page 349 and 350: INDEXNote: Page references followed
Page 351 and 352: calculation2 standard deviations, u
Page 353 and 354: ES. See Exhaustive searchESB. See E
Page 355 and 356: Mini Russell day trading system, na
Page 357 and 358: 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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