The Ultimate Algorithmic Trading System Toolbox + Website: Using Today's Technology To Help You Become A Better Trader (Wiley Trading)

361 Pages·2016·8.275 MB·English

by  George Pruitt

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TheWileyTradingseriesfeaturesbooksbytraderswhohavesurvivedthemarket’s
ever changing temperament and have prospered—some by reinventing systems,
others by getting back to basics. Whether a novice trader, professional, or
somewhereinbetween,thesebookswillprovidetheadviceandstrategiesneeded
toprospertodayandwellintothefuture.Formoreonthisseries,visitourwebsite
atwww.WileyTrading.com.
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T U
HE LTIMATE
A
LGORITHMIC
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OOLBOX
+
Website
Using Today’s Technology to Help
You Become a Better Trader
George Pruitt
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CopyrightC2016byGeorgePruitt.Allrightsreserved.
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LibraryofCongressCataloging-in-PublicationData:
Names:Pruitt,George,1967-author.
Title:Theultimatealgorithmictradingsystemtoolbox+website:usingtoday’s
technologytohelpyoubecomeabettertrader/GeorgePruitt.
Description:Hoboken:Wiley,2016.|Series:Wileytrading|Includesindex.
Identifiers:LCCN2016010889(print)|LCCN2016011196(ebook)|ISBN9781119096573(hardback)|
ISBN9781119262961(pdf)|ISBN9781119262978(epub)
Subjects:LCSH:Electronictradingofsecurities.|Investmentanalysis.|Futures.|BISAC:
BUSINESS&ECONOMICS/Finance.
Classification:LCCHG4515.95.P7882016(print)|LCCHG4515.95(ebook)|
DDC332.640285/4678—dc23
LCrecordavailableathttp://lccn.loc.gov/2016010889
CoverDesign:Wiley
CoverImages:Cagsandrew/Shutterstock
PrintedintheUnitedStatesofAmerica.
10 9 8 7 6 5 4 3 2 1
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CONTENTS
Abouttheauthor ix
IntroductiontotheUltimateAlgorithmicTrading
SystemsToolbox xiii
CHAPTER1 IntroductiontoTrading:Algorithm
v
Development 1
WhatIsanAlgorithm? 1
HowtoGetMyTradingIdeaintoPseudocode 12
Summary 23
CHAPTER2 StochasticsandAveragesandRSI!Oh,My! 25
Oscillators 26
Price-BasedIndicators 58
Summary 75
CHAPTER3 CompleteTradingAlgorithms 77
Trend-TradingBattleRoyale 86
PortfolioComposition 100
Multi-AlgorithmStrategy(MAS) 108
Summary 112
CHAPTER4 IntroductiontoAmiBroker’sAFL 113
QuickStart 113
PriceBarInterface 118
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AFLArrayProgramming 120
Syntax 129
AFLWizard 133
AmiBrokerLoopProgramming 139
Summary 140
CHAPTER5 UsingMicrosoftExceltoBacktestYour
Algorithm 145
VBAFunctionsandSubroutines 147
Data 148
SoftwareStructure 149
ProgrammingEnvironment 154
Summary 163
CHAPTER6 UsingPythontoBacktestYourAlgorithm 167
WhyPython? 167
PythonInstallation 169
PSBInstallation 169
vi
PSBStructure 171
S
T GettingDowntoBusiness 193
N
E
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N
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CHAPTER7 AnIntroductiontoEasyLanguage 203
TradeStationIDE 204
Syntax 209
SamplesofEasyLanguage 221
Summary 224
CHAPTER8 GeneticOptimization,WalkForward,and
MonteCarloStartTradeAnalysis 227
UtilizingTradeStationandAmiBroker 227
Computers,Evolution,andProblemSolving 230
Population 231
InitialPopulationSetupUsingVBAExcel 232
TestingFitnessofChromosomesUsingVBAExcel 232
Selection 233
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Reproduction 238
Mutation 240
UsingGeneticAlgorithmsinTradingSystem
Development 243
PreventingOver-Curve-Fitting 247
Walk-ForwardOptimizer:IsItWorththeExtra
WorkandTime? 249
MonteCarloAnalysis 258
StartTradeDrawdown 264
Summary 269
CHAPTER9 AnIntroductiontoPortfolioMaestro,
MoneyManagement,andPortfolioAnalysis 271
FixedFractional 272
PortfolioMaestro 272
Summary 290
APPENDIXA AmiBroker 293
Keywords 293 vii
FlowControlStructures 294 C
O
Functions 295 N
T
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UtilizingExplorationforDebugging 295 T
S
PositionSizinginFuturesMode 298
APPENDIXB ExcelSystemBacktester 301
DataArrays 301
Keywords 302
FunctionsandSubroutines 302
APPENDIXC PythonSystemBacktester 309
DataArraysorLists 309
KeywordsandIdentifiers 310
Classes 310
IndicatorClassesandFunctions 315
Python-SpecificKeywords 320
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APPENDIXD TradeStationandEasyLanguage 323
ImportingELDfilefromBookWebsite 323
KeywordsandFunctions 324
SampleAlgorithmCodes 325
APPENDIXE 335
AbouttheCompanionWebsite 337
Index 339
viii
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ABOUT THE AUTHOR
ItwasMarchof1989asIdrovemybeat-upDodgeupHillsideRd.inHendersonville,
NC. In an attempt to pay for my last semesters of college I was answering a
classifiedadthatwaslookingtohireacomputerprogrammer.AsIdroveupthethin
drive I passed several houses and then through a gate attached to two large stone
pillars. I stopped the car and looked down at the ad again to make sure I was at
ix
the right place. I proceeded down the country lane and the view opened up into a
largemeadow.Attheendofthelanewasacirculardriveandlargefarmhouse.As
I circled and went back down the road I thought to myself I must have the wrong
address or directions. So I followed the small road back down the main highway
andthentoasmallconvenientstore.OncethereIaskedmyselfagainwhattypeof
businesswasthisFuturesTruthandifIshouldcallandgetdirectionsorjustsimply
forget about it. Curiosity and the need for money were too much so I used the
store’spayphoneandcalledthenumberonceagain.
‘‘Hello—FuturesTruth,mayIhelpyou?’’alady’svoiceanswered.
‘‘Yes, this is George Pruitt and I made an appointment for an interview but I
can’tseemtofindyouroffice.’’
‘‘DoyoudrivearedDodge?’’sheasked.
‘‘YesIdo.Howdidyouknow?’’
‘‘We saw you drive right by the office. When you come through the two stone
pillarsturnimmediatelytotheleft.Don’tgoallthewaydownthedrive—that’sthe
owner’shouse.’’