Ultimate Algorithmic Trading System

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348INDEXReserved words, 118Results worksheet. See Excel System BacktesterReversal, algorithm exit procedure, 162Reversion analysis strategy (EasyLanguage), 214fRisk aversion, 64, 66Risk of ruin (RoR)calculation, 88competitors, examples, 89b–90bimpact, 87–88RNG. See Random number generatorRobust parameter sets, presence, 247fRoR. See Risk of ruinroundlotsize (AmiBroker keyword), 294Round quantity, parameter (change), 282RSI. See Relative Strength IndexrsiClass, 174–178Ruin, riskcalculation, 88impact, 87–88Run menu, 199run (keyword), recognition, 4SsAverage, 172–174function, parameters, 172save (keyword), recognition, 4Selection (chromosomes), 233–238Selection of the fittest, concepts, 230sell (AmiBroker keyword), 293Sell arrays, 120–121SELL order, 121sellprice (AmiBroker keyword), 293Send To Analysis, 125setSysMarkInfo, 190Sharpe ratio, performance metric, 91short (AmiBroker keyword), 293Short entries, 9b–10bshortprice (AmiBroker keyword), 293short (keyword), recognition, 4Simple Average Function/Module, 319Simple moving average crossoveralgorithm, 88Simple moving average crossover systemAFL usage, 1203X ATR stop, usage, 164Simple moving averages, 58–62Single simple moving average (SMA)crossover, 89balgorithm, example, 91tSKIP words, 209Slow %D, 42Slow %K, 42Slow stochastic system description, 46bSMA. See Single simple moving averageSource code, initiation, 157fStandard deviation (SD) Bollinger Band, 62START state, 16–18, 20–21Start Trade Drawdown, 264–269analysis, 90–91calculation, 265source code, 320–322Stochastic (STO), 25, 42–47algorithm, performance, 47t14-day stochastic (FAST), calculation, 42oscillator crossover, entry signal usage, 45fprofit objective, usage, 326–327protective stop, usage, 326–327slow stochastic systemdescription, 46bp-code, 46btrading algorithm, flowchart (FC) diagram, 44fusage, examples, 41f, 60t–61tVBA function, 161Stop loss, setting, 286fStop (stp) order, 161Strategy Groupconcepts, 273creation, 281Straw broom chart, 263fSubroutines. See Visual Basicreturns, 161values, 161Symbol List, creation, 275SyntaxAmiBroker Function Language (AFL), 129–133EasyLanguage, 209–221errors, list (TradeStation), 219fSys Drawdown, performance metric, 90–91systemMarket, 191systemMarketClass, 189System TA2, WFO default settings (usage),252–254SystemTester module, 155SystemTester.py, 178–179TTA. See Trading algorithmTDE. See TradeStation Development Environment10-day average, calculation, 111bTestSystem (ESB component), 149, 1513D Optimization chart, 1293D Optimization chart, 130f3X ATR stop, usage, 164ticksize (AmiBroker keyword), 294www.rasabourse.com
Time-based market order (MOC), exit procedure,162TMA. See Triple simple moving averageTOP failure swing, occurrence, 39TotalBarsPerRun, 253Total P/L option, 281fTotal transaction costs, performance metric, 91TP. See Typical priceTrade Analysistab, 279window, trading statistics display, 280fTrade-by-trade report, 128fTrade draw down, initiation, 264–269tradeInfoClass, 311–313Tradesexample (generation), RSI (usage), 35fgeneration (example), stochastics (usage), 41f,60t–61tsignals (initiation), histogram pivot points(usage), 55fskipping, 149TradeStation, 113, 323algorithm codes, 325–334Connors/Alvarez, time-based exit (usage),327–328dates/times, storage, 212functions, 324–325keywords, 324–325long position exit instruction, 218Portfolio Maestro (PM) launch window, 273fprofit objective, usage, 326–327protective stop, usage, 326–327syntax errors, list, 219fTurtle, LTL filter/pyramiding/position sizing(usage), 328–332usage, 227–230TradeStation Development Environment (TDE),203, 204algorithm, 208fcode verification/recalculation, confirmingmessage, 218fEasyLanguage editor, 206finitial screen, 205fTradeStation IDE, 204–209home screen, 204ftrading apps, 205ftradeTuple, 261, 266Tradingidea, pseudocode conversion process, 12statistics, display, 280fsystem development, genetic algorithms (usage),243–247Trading algorithm 1 (TA1), EasyLanguage Code(usage), 333Trading algorithm 2 (TA2)EasyLanguage code, usage, 333WFA report, 254tTrading algorithm 3 (TA3)EasyLanguage code, usage, 333–334WFO report card TA3, 257tTrading algorithms, 77describing/programming, 12example, 7b–8bflowchart (FC)example, 78fusage, example, 23programming, Boolean flags (usage), 15bRSI trading algorithm, flowchart (FC) diagram,37fstochastic trading algorithm, flowchart (FC)diagram, 44fTrading Blox testing platform, 82, 84Trenddetector, function, 29ffollower, 63bfollowing system. See Commodity Channel Index.trading, 86–100Trend follower functionBollinger Bands, 63b–64bKeltner Channel, 69b–70bTrigger, incorporation, 44Triple simple moving average (TMA) crossover,89b–90balgorithm, 92tTrue range (TR), 28Turtle 55 strategy, appearance, 274fTurtle, LTL filter/pyramiding/position sizing(usage), 328–332Turtle systemexamples, 79bLTLFabsence, examples, 81t, 82tinclusion, examples, 83t, 85ttrading algorithm flowchart, example, 78f12-day moving averages, usage, 5520-day CCI, calculation, 4820-day moving averages, examples, 59f26-day moving averages, usage, 55Typical price (TP), 48, 69VVariable bar liberal sequence paradigm, 12, 21Variable bar sequence, 13–21depiction, long entry signal description, 14f349INDEXwww.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
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FIGURE 9.20 To set the portfolio st
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FIGURE 9.24Source: TradeStationThe
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count makes sense; trades are turne
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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 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: PPO. See Percentage price oscillato
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