Going with Flo, More and More

I create my algos by going through a fairly easy process. It's not easy to create a good algo, but having a process makes it easier.


I start with an idea. Eyeball the charts. Then I make a simple strategy to run in TradeStation or MultiCharts. If it looks promising, I refine it. I then run an optimisation. Below is one such result.

In addition to the rows of numbers, I draw your attention to the comment circled in red that the algo is a good candidate for Walk Forward Analysis. This is a TradeStation result and TS can produce WFO files to do the WF.  After running the WFO, TS examines the result and creates a test. This is what it's result looks like.

Looking further into the WFO results, I can look at lots of stats including the ones below.

Once I am happy and I lock in the inputs to use based on the WFO, I can look at the stats for the historical performance of the chosen inputs.

Looking at the Equity Curve, I can see a couple of dips.

As this algo will run as part of a portfolio of markets, I'm not concerned about the dips as I have accepted the draw downs flagged by the results.


In the coming year, I will be relying more and more on my fully auto algos. I can get some good diversification with proper money management and believe that I'll work less and earn more.