Wednesday, June 29, 2016
Pruitt, The Ultimate Algorithmic Trading System Toolbox
Pruitt’s focus in this book is not so much on system development per se as it is on popular programming tools for building and back testing technical trading systems. Yes, he has chapters on “Genetic Optimization, Walk Forward, and Monte Carlo Start Trade Analysis” and “An Introduction to Portfolio Maestro, Money Management, and Portfolio Analysis,” but what will most likely draw traders to Pruitt’s book is his extensive array of clearly explained sample code.
His examples of input into technical trading systems are drawn from the usual suspects, such as Bollinger bands, Keltner channels, MACD, RSI, stochastics, and various moving average indicators. More important, he shows traders who don’t use comprehensive platforms how to write system testers. He developed his own bare-bones Python and Excel testing engines. A website accompanying the book includes this software, with all its source code, as well as source code that can be run in TradeStation and AmiBroker. Unlike much of the Python code that is available online, Pruitt’s actually seems to be error-free. I didn’t test his other code.
One of Pruitt’s aims in this book was to offer “the most important and simplest programming techniques to transform a non-quant into a not-so-non-quant.” He has, I believe, succeeded admirably.