The accessible, beneficial guide to developing algorithmic trading solutions The Ultimate Algorithmic Trading System Toolbox is the complete package savvy investors have been looking for. An integration of explanation and tutorial, this guide takes you from utter novice to out-the-door trading solution as you learn the tools and techniques of the trade. You'll explore the broad spectrum of today's technological offerings, and use several to develop trading ideas using the provided source code and the author's own library, and get practical advice on popular software packages including TradeStation, TradersStudio, MultiCharts, Excel, and more. You'll stop making repetitive mistakes as you learn to recognize which paths you should not go down, and you'll discover that you don't need to be a programmer to take advantage of the latest technology. The companion website provides up-to-date TradeStation code, Excel spreadsheets, and instructional video, and gives you access to the author himself to help you interpret and implement the included algorithms.
Algorithmic system trading isn't really all that new, but the technology that lets you program, evaluate, and implement trading ideas is rapidly evolving. This book helps you take advantage of these new capabilities to develop the trading solution you've been looking for.
- Exploit trading technology without a computer science degree
- Evaluate different trading systems' strengths and weaknesses
- Stop making the same trading mistakes over and over again
- Develop a complete trading solution using provided source code and libraries
New technology has enabled the average trader to easily implement their ideas at very low cost, breathing new life into systems that were once not viable. If you're ready to take advantage of the new trading environment but don't know where to start, The Ultimate Algorithmic Trading System Toolbox will help you get on board quickly and easily.
Table of Contents:
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
About the Author :
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.
