Ant Colony Algorithm is a new bionics optimization algorithm from mimic the swarm intelligence of ant colony behavior. And it is a very good combination optimization method. To extend the ant colony algorithm, and to improve the searching performance, from the connections of continuous optimization and searching process of ant colony algorithm, one new Continuous Ant Colony Algorithm is proposed. To verify the new algorithm, the typical functions, such as Schaffer function and “Needle-in-a-haystack” function, are all used. And then, the results of new algorithm are compared with that of immunized evolutionary programming proposed by author.