Cover

Title Page

Copyright

Contents

About the author

Introduction to the Ultimate Algorithmic Trading Systems Toolbox

Chapter 1 Introduction to Trading: Algorithm Development

What Is an Algorithm?

How to Get My Trading Idea into Pseudocode

The Tale of Two Paradigms

Summary

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

Oscillators

Average Directional Movement Index (ADX)

Relative Strength Index (RSI)

George Lane’s Stochastics—Fast %K: Fast %D: Slow %K: Slow %D

Donald Lambert’s CCI—Commodity Channel Index

Gerald Appel’s MACD—Moving Average Convergence Divergence

Price-Based Indicators

Simple, Exponential, and Weighted Moving Averages

Bollinger Bands

Keltner Channel

Summary

Chapter 3 Complete Trading Algorithms

Trend-Trading Battle Royale

Portfolio Composition

An Act of Futility?

Multi-Algorithm Strategy (MAS)

Summary

Chapter 4 Introduction to AmiBroker's AFL

Quick Start

Things All Programmers Need to Know

Price Bar Interface

AFL Array Programming

Syntax

AFL Wizard

AmiBroker Loop Programming

Summary

Code Samples

Chapter 5 Using Microsoft Excel to Backtest Your Algorithm

VBA Functions and Subroutines

Data

Software Structure

Programming Environment

The ESB VBA Code

Summary

Chapter 6 Using Python to Backtest Your Algorithm

Why Python?

Python Installation

PSB Installation

IDLE

PSB Structure

Indicator.py

Getting Down to Business

Summary

Chapter 7 An Introduction to EasyLanguage

TradeStation IDE

Syntax

Samples of EasyLanguage

Summary

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

Utilizing TradeStation and AmiBroker

Genetic Algorithms:What Are They?

Computers, Evolution, and Problem Solving

Population

Initial Population Setup Using VBA Excel

Testing Fitness of Chromosomes Using VBA Excel

Selection

Converting Fitness in Terms of Slice Size—Using VBA Excel

Calculate Probability of Being Hit by Dart—Using VBA Excel

Creating Chromosome Dartboard—Using VBA Excel

Simulating a Dart-Throwing BlindfoldedMonkey Using VBA Excel

Chromosome Replacement Function—Using VBA Excel

Reproduction

Crossing Chromosomes/Finding Moms and Pops—Using VBA Excel

How to Allocate Genes to Junior—Using VBA Excel

Mutation

Mutating Chromosomes—Using VBA Excel

Using Genetic Algorithms in Trading System Development

Generations

Mutation Rate

Population Size

Crossover Rate

Preventing Over-Curve-Fitting

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

WFO Example 1

WFO Example 2

Monte Carlo Analysis

Start Trade Drawdown

Summary

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

Fixed Fractional

Portfolio Maestro

Strategy Group

Fixed Fractional MoneyManagement Overlay

Portfolio Analysis

Summary

Appendix A: AmiBroker

Keywords

Flow Control Structures

Functions

Utilizing Exploration for Debugging

Position Sizing in Futures Mode

Appendix B: Excel System Backtester

Data Arrays

Keywords

Functions and Subroutines

Appendix C: Python System Backtester

Data Arrays or Lists

Keywords and Identifiers

Classes

Indicator Classes and Functions

Python-Specific Keywords

Appendix D: TradeStation and EasyLanguage

Importing ELD file from Book Website

Keywords and Functions

Sample Algorithm Codes

Appendix E

About the Companion Website

Index

EULA