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February 2014 Stocks and Commodities Traders Tips


A Degree of Complexity

AIQ Version:

Original article by Oscar G. Cagigas
AIQ Code by Richard Denning

The five Donchian breakout systems are coded using the following rules:

System

Entry Rule

Exit Rule

Entry Price Formua

Exit Price Formula

2 Param-Long

Buy2P

ExitBuy2P

Buy2Ppr

ExitBuy2Ppr

2 Param-Short

Sell2P

ExitSell2P

Sell2Ppr

ExitSell2Ppr

4 Param-Long

Buy4P

ExitBuy4P

Buy4Ppr

ExitBuy4Ppr

4 Param-Short

Sell4P

ExitSell4P

Sell4Ppr

ExitSell4Ppr

6 Param-Long

Buy6P

ExitBuy6P

Buy6Ppr

ExitBuy6Ppr

6 Param-Short

Sell6P

ExitSell6P

Sell6Ppr

ExitSell6Ppr

8 Param-Long

Buy8P

ExitBuy8P

Buy8Ppr

ExitBuy8Ppr

8 Param-Short

Sell8P

ExitSell8P

Sell8Ppr

ExitSell8Ppr

9 Param-Long

Buy9P

ExitBuy9P

Buy9Ppr

ExitBuy9Ppr

9 Param-Short

Sell9P

ExitSell9P

Sell9Ppr

ExitSell9Ppr

The EDS code file that can be downloaded from the above web site has the back-tests already setup for all of the above long and short rules. In Figure 1, I show the typical setup for the pricing. In Figure 2, I show the typical setup for the exit rule.

Captions:
Figure 1 – Typical setup for the pricing portion of the back-tests.
Figure 2 – Typical setup for the exit portion of the back-tests.

EDS Code:
DegCmpx.EDS
(right click and choose Save As)


 

Traders Studio Version :

Original article by Oscar G. Cagigas
Traders Studio Code by Richard Denning

The following code files are contained in the download from the websites:

  • System: DON2P – Basic Donchian system with 2 parameter
  • System: DON4P – Donchian system with 4 parameters
  • System: DON6P – Donchian system with 6 parameters
  • System: DON8P – Donchian system with 8 parameters
  • System: DON9P – Donchian system with 9 parameters
The in-sample and out-of-sample tests discussed by the author could be run using TradersStudio built-in walk-forward processor. I did not have time to attempt to run such tests. In Figure 1, I show the typical setup to run a walk-forward optimization for the DON2P system.

Captions:
Figure 1 – Typical setup for running a walk-forward optimization in TradersStudio.

Traders Studio Code:
DegreeOfComplexity_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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