When we are designing our Algo Trading System, drawdown of the portfolio will be a very important factor for many traders. Today, I will do a brief explanation about the new design using indicator – Zig Zag.
Assume we are using the daily bars and daily closing prices for this case.
The indicator, Zig Zag, can show you a trend line made up from difference points(means historical daily prices). In general, Zig Zah help you can recognize what the local high and local low were in the past period. In addition, the line made up from these points can show us a trend of the stock price.
Here is the record of my sample design that I wrote in AFL:
My basic setting for this trading system of trading Apple (Ticker: AAPL):
Assume the maximum drawdown I can accept is 5%. Open long position for the stock only. When the trading rule meets, submit buy order at the closing price. The initial principal was $10000 USD.
For more information about this trading system code, you can leave me a message. The code is not for free. You can send me a e-mail if you wish to make a purchase. I will reply you with a reasonable price. : )
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