Ultimate Algorithmic Trading System

TABLE 2.10
Bollinger Benchmark versus Keltner Challengers
Set Net Profit Max.
Sys DD
CAR/
MDD
Profit
Factor
Sharpe
Ratio
#Trades
Avg
P/L
Avg
Bars
Held
L. Avg.
Bars
Held
BB [60,2.00] 1677369.47 −345343 0.27 1.4 0.2 3580 469 43.59 23.72
Plateau
Set Net Profit Max.
Sys DD
CAR/
MDD
Prft.
Factor
Sharpe
Ratio
#Trades
Avg
P/L
Avg
Bars
Held
L. Avg.
Bars
Held
74
STOCHASTICS AND AVERAGES AND RSI! OH, MY!
KC[56,3] 1253131.73 −443724 0.16 1.27 0.14 3612 347 44.47 24.65
KC[58,3] 1318378.23 −434112 0.17 1.29 0.15 3593 367 44.53 24.66
KC[60,3] 1338616.09 −409094 0.18 1.29 0.15 3579 374 44.56 24.6
KC[62,3] 1391495.03 −404823 0.19 1.31 0.16 3564 390 44.64 24.69
KC[64,3] 1449520.83 −410137 0.2 1.33 0.17 3535 410 44.82 24.69
KC[66,3] 1506179.43 −375805 0.23 1.35 0.17 3523 428 44.86 24.68
KC[68.3] 1520843.29 −386511 0.22 1.35 0.18 3516 433 44.81 24.61
Outliers
KC[12,2.5] 1085527.09 −300175 0.18 1.27 0.15 3521 308 37.83 20.75
KC[26,3.0] 1299080.88 −407407 0.18 1.29 0.15 3589 362 42.1 22.21
TABLE 2.11
Ranking Based on Average Trade
No.
Net
Profit
Best Parameter Sets of Bollinger Bands Algorithm
Max.
Drawdown
Sharpe
Ratio
#Trades
Avg
Profit/Loss
Avg
Bars Held
%of
Winners
Len Width
360 $1,157,014 −$302,350 0.22 1769 654.05 61.25 40.64 80 2.5
359 $1,147,202 −$308,547 0.22 1788 641.61 59.79 40.6 78 2.5
358 $1,158,434 −$358,085 0.22 1827 634.06 58.48 40.56 76 2.5
324 $1,427,825 −$323,166 0.21 2271 628.72 59.56 39.89 80 2.25
323 $1,442,568 −$379,483 0.21 2340 616.48 58.16 39.74 78 2.25
Ranking Based on Net Profit
No.
Net
Profit
Max.
Drawdown
Sharpe
Ratio
#Trades
Avg
Profit/Loss
Avg
Bars Held
%of
Winners
Len Width
216 $1,792,835 −$397,785 0.19 3622 494.98 51.55 34.65 80 1.5
211 $1,789,623 −$395,046 0.18 4092 437.35 45.71 34.41 70 1.5
180 $1,788,584 −$400,129 0.18 4149 431.09 48.06 33.29 80 1.25
179 $1,765,374 −$392,321 0.17 4257 414.7 46.82 33 78 1.25
215 $1,754,942 −$408,842 0.18 3726 471 50.16 34.33 78 1.5
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