Ultimate Algorithmic Trading System

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APPENDIX D TradeStation and EasyLanguage 323Importing ELD file from Book Website 323Keywords and Functions 324Sample Algorithm Codes 325APPENDIX E 335About the Companion Website 337Index 339viiiCONTENTSwww.rasabourse.com
ABOUT THE AUTHORIt was March of 1989 as I drove my beat-up Dodge up Hillside Rd. in Hendersonville,NC. In an attempt to pay for my last semesters of college I was answering aclassified ad that was looking to hire a computer programmer. As I drove up the thindrive I passed several houses and then through a gate attached to two large stonepillars. I stopped the car and looked down at the ad again to make sure I was atthe right place. I proceeded down the country lane and the view opened up into alarge meadow. At the end of the lane was a circular drive and large farm house. AsI circled and went back down the road I thought to myself I must have the wrongaddress or directions. So I followed the small road back down the main highwayand then to a small convenient store. Once there I asked myself again what type ofbusiness was this Futures Truth and if I should call and get directions or just simplyforget about it. Curiosity and the need for money were too much so I used thestore’s pay phone and called the number once again.‘‘Hello—Futures Truth, may I help you?’’ a lady’s voice answered.‘‘Yes, this is George Pruitt and I made an appointment for an interview but Ican’t seem to find your office.’’‘‘Do you drive a red Dodge?’’ she asked.‘‘Yes I do. How did you know?’’‘‘We saw you drive right by the office. When you come through the two stonepillars turn immediately to the left. Don’t go all the way down the drive—that’s theowner’s house.’’ixwww.rasabourse.com
Page 1 and 2: THE ULTIMATEALGORITHMICTRADING SYST
Page 3 and 4: THE ULTIMATEALGORITHMICTRADING SYST
Page 5 and 6: CONTENTSAbout the authorIntroductio
Page 7: Reproduction 238Mutation 240Using G
Page 11 and 12: Well that was 27 years ago and I di
Page 13 and 14: xivINTRODUCTION TO THE ULTIMATE ALG
Page 15 and 16: xviINTRODUCTION TO THE ULTIMATE ALG
Page 17 and 18: CHAPTER 1Introductionto TradingAlgo
Page 19 and 20: However, at this introductory stage
Page 21 and 22: completely above the tableau. If th
Page 23 and 24: Don’t get bogged down trying to u
Page 25 and 26: checking account was down the $10K,
Page 27 and 28: Short Liquidation Condition—What
Page 29 and 30: One BarStrengthTwo BarStrengthThree
Page 31 and 32: and inexperienced trading system pr
Page 33 and 34: Input = 6StartInput = 4Input <> 6In
Page 35 and 36: The diagram in Figure 1.4 looks cle
Page 37 and 38: observed. If the latter criterion i
Page 39 and 40: Start or NewBarIs C >AVG(C,200)YesN
Page 41 and 42: CHAPTER 2Stochastics andAverages an
Page 43 and 44: The basic theory behind the ADX is
Page 45 and 46: 4. Divide the 14-day smoothed plus
Page 47 and 48: if myADX < 35 thenif MarketPosition
Page 49 and 50: TABLE 2.1Performance of Directional
Page 51 and 52: FIGURE 2.4Source: TradeStationExamp
Page 53 and 54: Start orNew BarIs RSI < 30YesBuy Ma
Page 55 and 56: RSI DivergenceMarket Continuing to
Page 57 and 58: If marketPosition =-1 and close > e
Page 59 and 60:
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
Page 121 and 122:
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
Page 131 and 132:
Things All Programmers Need to Know
Page 133 and 134:
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 =
Page 147 and 148:
code. This is a very difficult thin
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the order of the arrays. I admit th
Page 151 and 152:
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
Page 165 and 166:
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",
Page 183 and 184:
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
Page 191 and 192:
176This indicator is programmed as
Page 193 and 194:
if prices[curBar - offset] < prices
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All these files deal with opening a
Page 197 and 198:
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
Page 203 and 204:
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
Page 213 and 214:
That was the long entry logic only
Page 215 and 216:
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
Page 227 and 228:
TABLE 7.1EasyLanguage Keywords and
Page 229 and 230:
214AN INTRODUCTION TO EASYLANGUAGEF
Page 231 and 232:
standard deviations. In our example
Page 233 and 234:
218AN INTRODUCTION TO EASYLANGUAGEt
Page 235 and 236:
into a project makes it easier to a
Page 237 and 238:
If marketPosition =-1 thenbeginend;
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or program any trading idea. Practi
Page 241 and 242:
CHAPTER 8Genetic Optimization,Walk
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superfast processors, searching a l
Page 245 and 246:
This equation involves four unknown
Page 247 and 248:
For generation = 1 To 100 ' total g
Page 249 and 250:
Converting Fitness in Terms of Slic
Page 251 and 252:
'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
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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
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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
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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
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sysMark =self.systemMarkets[i]avgLo
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class stochClass(object):class stoc
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318PYTHON SYSTEM BACKTESTERfor i in
Page 331 and 332:
■ Python-Specific Keywordsandasas
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Monte Carlo Analysis# Monte Carlo A
Page 335 and 336:
FIGURE D.1324TRADESTATION AND EASYL
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Simple RSI with Profit Objective an
Page 339 and 340:
If condition1 and condition2 then b
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330TRADESTATION AND EASYLANGUAGEIf(
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if lastTradeLoser thenbeginif curre
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Value1 = swingHighBar(1,h,pivotHiSt
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■■■■■■■Statistically
Page 349 and 350:
INDEXNote: Page references followed
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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
Page 359 and 360:
Time-based market order (MOC), exit
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Ultimate Algorithmic Trading System

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