Progress on the algorithm but ...

I found a technical indicator that works better than MACD on the tests I've done so far. It's call RSI (Relative Strength Index):

It doesn't generate as many trade signals as I had with the MACD test, and it does show a profit. BUT the profit only comes after a too-large drawdown of the account (over 60%) in the middle of the backtest sequence.

More research is needed! I'll update when I learn a bit more about the next step.

The Algorithm: current status

I started out trying to program against a standard technical indicator, the MACD crossover:

For day trading I tried using different settings than the standard (9,12,26); this Python library I found, qtpylib, had (3,10,16) programmed in by default and found that was recommended by a trading guru as good for intraday trading so tried that.

I couldn't get Python to match what the charts (on ThinkOrSwim) were doing at the same time I was reading this book:

The author was going on about TradeStation and its backtesting features. At the same time I found that Zaner supported TradeStation to send signals into its platform, Zaner360. So I opened a TradeStation account as well.

So far my testing with MACD shows that it puts out too many trade signals. I haven't necessarily given up on it yet but I tried another indicator, the RSI (relative strength index) that seemed to work better:

I'm still working on this as the test shows a lovely profit, but with too much 'drawdown' in the middle of the test. If you start with $100,000 and end with $380,000 that's great ... but not if you have a trough in the middle where you're down $104,000.

There are ways around this and I'm still working on it ... more details when I have them.