Ultimate Algorithmic Trading System

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FIGURE 2.17 Keltner Channel optimization.
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of trades. I scanned the Keltner Channel results and pulled out the parameter sets
that generated trades within +/− 2 percent of the 3,580. Most of the selected
parameter sets included the same 3.0 width. There are a couple of outliers, though.
Table 2.10 shows the performance of the Bollinger Band algorithm that was derived
earlier using (len = 60, stdDev = 2) and the Keltner Channel algorithm utilizing
the different parameter sets that generated nearly the same number of trades.
From this information, we might be able to derive that a Bollinger Band
(60, 2) is similar to a Keltner Channel (60, 3). If we accept this assumption, then
the winner is easy to pick from this table. The Bollinger Band algorithm performed
much better than the Keltner with these parameters. However, with such stringent
criteria and utilizing the Bollinger algorithm as the benchmark, are we being fair to
Keltner? We forced the Keltner to fit into criteria where a similar number of trades
were generated. Let’s take the gloves off and again do the same optimization and
pick the top five parameter sets for both algorithms based on the average profit and
net profit. In this analysis, a $50 round-turn commission will be deducted from each
trade—this will take execution costs into consideration, which will in turn provide
a level playing field for parameter sets that do not generate a large number of trades.
Tables 2.11 and 2.12 show the best performers for the Bollinger Band algorithm.
The first set of performance metrics were derived by sorting by average profit/loss
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
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