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



The Ultimate Algorithmic Trading System Toolbox gives savvy investors a complete package for writing efficient, powerful algorithms by providing an instructional guide, a repository of trading tools, and a story of how this whole business of algorithmic trading started and evolved over the past twenty-five years.

Written for the nonprogrammer who wants to enter the world of algorithmic trading, this easy-to-use resource gives you a step-by-step process for turning your ideas for capturing profits into fully optimized and back-tested codes you can use in the real world. Peerless coverage lets you:

  • Move from theory to practice at a very quick pace
  • Develop a complete trading solution using provided source code and libraries
  • Evaluate different trading systems' strengths and weaknesses

The author's expert support goes beyond what the book covers to an associated website that gives you regularly updated information and codes implementable in some of today's most popular investment software platforms to develop and use your trading systems.

Get off the sidelines and discover the world of automated wealth generation with The Ultimate Algorithmic Trading System Toolbox.

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 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


About the CompanionWebsite 337

Index 339