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.
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 EasyLanguage 203 TradeStation IDE 204 Syntax 209 Samples of EasyLanguage 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 ItWorth the Extra Work and Time? 249 Monte Carlo Analysis 258 Start Trade Drawdown 264 Summary 269 CHAPTER 9 An Introduction to Portfolio Maestro, MoneyManagement, 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 EasyLanguage 323 Importing ELD file from Book Website 323 Keywords and Functions 324 Sample Algorithm Codes 325 APPENDIX E 335 About the CompanionWebsite 337 Index 339
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