Ultimate Algorithmic Trading System

If close crosses above myTopChannel, then
Buy MOC
If close crosses below myBotChannel, then
SellShort MOC
If position is long, then
If close crosses below myAvg, then
Sell MOC
If position is short, then
If close crosses above myAvg, then
BuyToCover MOC
Here is the pseudocode for the algorithm:
‘Trend Following with Keltner Channels
‘Utilizing Typical Price = (H + L + C)/3
‘Utilizing 60-day average and 2 average true ranges
70
myAVG = SMA(C,60)
myTypicalPrice = (H + L + C)/3
myTopChannel = KeltnerChan(myTypicalPrice,60,+2)
myBotChannel = KeltnerChan(myTypicalPrice,60,-2)
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
If close > myTopChannel then
Buy this bar on close
If close < myBotChannel then
SellShort this bar on close
If marketPosition = 1 and c < myAvg then sell this bar on close
If marketPosition =-1 and c > myAvg then buyToCover this bar on close
Using the ATR instead of standard deviation creates smoother outer Bands due to
how ATR reacts slower than deviation. Figure 2.15 shows a chart with both Keltner
Channels (60 length and 2 ATR) and Bollinger Bands (60 length and 2 STDDEV)
applied to the underlying data.
Notice how much smoother the Keltner Channels are compared to the Bollinger
Bands. Does this mean they are better? Since the TP takes into consideration more
data, is it a better gauge than just the close? Looking at the chart it seems like
both indicators got into the short crude position at about the same time. This is a
difficult question so let’s use the computer tell us which is the better algorithm.
This is not going to be an easy task because it is difficult to equate standard deviation
to ATR. As you can tell by the chart, the Bollinger Bands encompass the Keltner
Channels a majority of the time. This is a consequence of using the same settings
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