May 28, 2012

After Dumping Ichimoku

After dumping the Ichimoku Kinko script, I decided to improve another old free WL4 script. This one based on a Bollinger Band system. The intention was to study the strengths and weaknesses of the trading procedures implemented in the original design and then try to improve the trading strategy to reach better performance levels.

It all started with the original script which produced the following:

AAPL original script

And then, I started applying trading procedure modifications. Notice in the following charts the position count and the time stamps as progress is made:

AAPL 147k.

AAPL 197k.

AAPL 1065k.

AAPL 1269k

AAPL 1712k.

AAPL 2016k.

There is nothing in this series of charts that is fraudulent, esoterical or misguided. What is being applied are improvements to an existing trading strategy. The original design was simply auto-limiting itself and quite frankly succeeded. When you start liberating its potential, you can improve its strengths and reduce its weaknesses. But all of it is simply an iterative process: you make modifications one by one trying to find better and better procedures to try to trade more efficiently; not for a specific stock, but for stocks in general. No lottery, No scam, No Ponzi. Just an individual trying to improve on things.

And to make the point clear that the improved trading procedures would apply to most stocks in my SD1 list, I tried out 10 in succession and only 10 with the following results:











So when looking for inspiration or new ideas, one might start with what is already there and then find ways to improve upon it. This is accessible to anyone who wants to put in the effort. The original script was modified in less than 3 hours to reach its current performance level. To me, it is still just an intermediary level, I will continue to improve on the design and trading procedures. All the above charts cry for automation, and the more I will improve the strategy, the more it will need it.

The set of charts also show that it is the trading procedures that matter. As I was improving the script based on the AAPL chart, the price series did not change from iteration to iteration. And as a consequence, in the payoff matrix: Σ(H+ .* ΔP) it is only the enhanced trading strategy, the set of trading procedures that could make a difference. And once you have improved your trading strategy, the next step is to apply it to other stocks: Σ(H+ .* ΔP?).

Created... May 28, 2012 © Guy R. Fleury. All rights reserved

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