Ultimate Algorithmic Trading System

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340INDEXAmiBroker Function Language (AFL) (Continued)Editor, 114auto-completion tool, 124ffunction helper, 124flaunching, 122fwindow, example, 123fEdit Rule pane, parameters (change), 136ferror warning, 125fexpressions, 116–117results, 117–118features, 113–114initiation, 113–118integrated development environment (IDE), 114knowledge, programmer requirements, 115–118operators, 116–117precedence, 117–118parameters, setting, 126fportfolio results, 128power (feature), 114price (feature), 113request (sending), exclamation point(clicking), 137fSend to Analysis window icon, 126fSet Futures mode, 127fsimple moving average crossover, 120speed (feature), 114syntax, 129–1333-D optimization chart, 130ftrade-by-trade report, 128fusage, 227–230variable naming, 116variables, 115–116names, restrictions, 115Wizard, 133–139(AmiBroker keyword)flow control structures, 294–295Analysis phase, 125Analysis window, 129, 131Annual return, performance metric, 91APO. See Absolute price oscillatorAppels, Gerald, 53, 56bApplyStop function, 132Arguments, usage, 161fArithmetic expressions, 116ASCIIdatabase (futures prices), 121data importer, 114ATR. See AveragetruerangeAuto-generated formula, 135, 137Average (VBA function), 160–161Average Directional Index (ADX), 29Average Directional Movement Index (ADX),26–3214-day ADX, calculation, 28–29length, 28trend detector function, 29fAverages, 24Average true range (ATR), 11b, 272ATR Sell MOC, 35b, 46b, 49b, 52b, 56bBuyToCover MOC, 40b, 46b, 49b, 52b, 56b5X ATR profit objective, usage, 165–166lookback, parameter (change), 282multiplier, parameter (change), 2813X ATR stop, usage, 164, 165–1662ATR,usage,69usage, 70–71Averaging methods, performances, 59, 62avgLen, default value, 124avgMP, 119AvgTrueRange, 208BBacktestequity curve, profit (display), 283fparameters, setting, 126fperformance report, 279fBacktest button, 129Backtester settings, example, 262fBacktestingExcel, usage, 145software structure, 149–154flowchart, 150fBandy, Howard, 114Bars held, performance metric, 91BASIC. See Beginner’s All-purpose SymbolicInstruction CodeBBandBot, 124BBandTop, 124Beginner’s All-purpose Symbolic Instruction Code(BASIC), 145, 154Berkely, George, 243Berlinski, David, 1bin increment (binInc) variable, 267binTuple, 267Bollinger algorithmbenchmark, 73optimization, 104tBollinger Bands, 62–68algorithmbest parameter sets, 74tversion 1 (performance), 65tversion 2 (performance), 68tbreakout, 93twww.rasabourse.com
calculation2 standard deviations, usage, 6360 days standard deviation, usage, 63data, Keltner Channel data (comparison), 71fexample, 90bfunction, 196Function Module, 319optimization, 72froutine, defining, 148f60-day, two-SD Bollinger Band, example, 63fsubroutine, 160–161system, example, 9b–10btrend algorithm, 64trend follower function, 63b–64bBollingerBand subroutine, 147Bollinger Benchmark, Keltner Challengers(contrast), 74tBollinger, John, 62Bollinger performance, three-dimensional contourchart, 98fBoolean expression, 116Boolean flags, usage, 15bBOTTOM failure, 39bottoming out, term (removal), 6Building Reliable Trading Systems (Fitschen), 264buy (AmiBroker keyword), 293Buy-and-hold mentality, 26BUY order, 121buyprice (AmiBroker keyword), 293buy (keyword), recognition, 4CCCI. See Commodity Channel IndexCFDT. See Cumulative frequency distribution tablechange (keyword), recognition, 4Choppy Market Indicator (CMI), 243–244Chromosomescrossing, VBA Excel (usage), 238–240dartboardcreation, VBA Excel (usage), 236example, 236dart-throwing blindfolded monkey (simulation),VBA Excel (usage), 236–237finding moms and pops, VBA Excel (usage),238–240fitness of chromosomes (testing), VBA Excel(usage), 232–233genes allocation process, VBA Excel (usage), 240genes passage, 240finitial population setup, VBA Excel (usage), 232mutation, 240–243VBA Excel, usage, 242–243population, 231probability of being hit by dart calculation, VBAExcel (usage), 235replacement function, VBA Excel (usage),237–238reproduction, 238–240selection, 233–238slice size, 234fitness conversion, VBA Excel (usage), 235class (object), 176ClassicShell, 169class rsiClass(object):, 317–318class stochClass(object):, 316–317Cluster analysis. See Walk-forward optimizationCMI. See Choppy Market IndicatorCode, arguments (presence), 161fCode Wizard. See AmiBroker Function LanguageCoincident indicator performance, 54tCombination lock (workings), finite statementmachine modeling, 17fComment text, usage, 157fCommitment of Traders Report (COT), 111commName, 183Commodity Channel Index (CCI), 48–53algorithmcoincident indicator performance, 54texample, 221–222performance, 51ttrades, generation, 50fOB/OS system description, 49b–50bprofit objective, usage, 327protective stop, usage, 327system, usage, 53ftrend following system, 52bp-code, 52b20-day CCI, calculation, 48Computer language, syntax (understanding), 2Conditional execution, 294–295Connors/Alvarez, time-based exit (usage),327–328Consecutive bar exact sequence paradigm,12, 21Consecutive bar sequence, 21–23COT. See Commitment of Traders Reportcover (AmiBroker keyword), 293Cover arrays, 121–122coverprice (AmiBroker keyword), 293Crossover rate, 247Crude oil, 60-day, two-SD Bollinger Band(example), 63fCumulative daily equity/drawdown, plotting(example), 153f341INDEXwww.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
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This is just one possible solution.
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history of each market. This test w
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Crossover RateThe rate that determi
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TradeStation’s and AmiBroker’s
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TABLE 8.3In-Sample Testing TA2Le Se
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Here are the various calculations t
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1. movAvgLen { 50 to 150 by 10 incr
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TABLE 8.6The Out-of-Sample (OOS) Re
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your algorithm are each written on
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That’s it! These seven lines of c
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[Equity]350003000025000200001500010
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Calculating Start Trade Drawdown Wi
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A loop is used to flow through each
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The maximum drawdown of this algori
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■ Fixed Fractional272PORTFOLIO AN
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FIGURE 9.2Add a strategy to your st
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276FIGURE 9.6The UGTATS markets and
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278FIGURE 9.9 How to adjust the set
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FIGURE 9.12 The Trade Analysis wind
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282PORTFOLIO ANALYSISFIGURE 9.15thi
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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
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Page 305 and 306: APPENDIX AAmiBrokerHere is a brief
Page 307 and 308: switchbreak (part of the switch sta
Page 309 and 310: Here is the source code from Chapte
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: INDEXNote: Page references followed
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
Page 359 and 360: Time-based market order (MOC), exit
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