Ultimate Algorithmic Trading System Toolbox + Website (eBook)

GEORGE PRUITT is director of research for Futures Truth Magazine. In addition to coding more than 1,000 different trading methodologies, he has written for Futures, ActiveTrader, and SFO Magazine, had his research published by The Wall Street Journal and Barron's, and coauthored The Ultimate Trading Guide and Building Winning Trading Systems with TradeStation.

About the author ix

Introduction to the Ultimate Algorithmic Trading Systems Toolbox xiii

Chapter 1 Introduction to Trading: Algorithm Development 1

What Is an Algorithm? 1

How to Get My Trading Idea into Pseudocode 12

Summary 23

Chapter 2 Stochastics and Averages and RSI! Oh, My! 25

Oscillators 26

Price-Based Indicators 58

Summary 75

Chapter 3 Complete Trading Algorithms 77

Trend-Trading Battle Royale 86

Portfolio Composition 100

Multi-Algorithm Strategy (MAS) 108

Summary 112

Chapter 4 Introduction to AmiBroker's AFL 113

Quick Start 113

Price Bar Interface 118

AFL Array Programming 120

Syntax 129

AFL Wizard 133

AmiBroker Loop Programming 139

Summary 140

Chapter 5 Using Microsoft Excel to Backtest Your Algorithm 145

VBA Functions and Subroutines 147

Data 148

Software Structure 149

Programming Environment 154

Summary 163

Chapter 6 Using Python to Backtest Your Algorithm 167

Why Python? 167

Python Installation 169

PSB Installation 169

PSB Structure 171

Getting Down to Business 193

Summary 202

Chapter 7 An Introduction To Easy language 203

TradeStation IDE 204

Syntax 209

Samples of Easy Language 221

Summary 224

Chapter 8 Genetic Optimization, Walk Forward, and Monte Carlo Start Trade Analysis 227

Utilizing TradeStation and AmiBroker 227

Computers, Evolution, and Problem Solving 230

Population 231

Initial Population Setup Using VBA Excel 232

Testing Fitness of Chromosomes Using VBA Excel 232

Selection 233

Reproduction 238

Mutation 240

Using Genetic Algorithms in Trading System Development 243

Preventing Over-Curve-Fitting 247

Walk-Forward Optimizer: Is It Worth the Extra Work and Time? 249

Monte Carlo Analysis 258

Start Trade Drawdown 264

Summary 269

Chapter 9 An Introduction to Portfolio Maestro, Money Management, and Portfolio Analysis 271

Fixed Fractional 272

Portfolio Maestro 272

Summary 290

Appendix A AmiBroker 293

Keywords 293

Flow Control Structures 294

Functions 295

Utilizing Exploration for Debugging 295

Position Sizing in Futures Mode 298

Appendix B Excel System Backtester 301

Data Arrays 301

Keywords 302

Functions and Subroutines 302

Appendix C Python System Backtester 309

Data Arrays or Lists 309

Keywords and Identifiers 310

Classes 310

Indicator Classes and Functions 315

Python-Specific Keywords 320

Appendix D Tradestation and Easy language 323

Importing ELD file from Book Website 323

Keywords and Functions 324

Sample Algorithm Codes 325

Appendix E 335

About the Companion Website 337

Index 339