June 3rd, 2011
After ending the Livermore Challenge the same day it started, I was left with a why did you start that in the first place feeling. I thought it would have taken at least a couple of weeks to push performance levels that high. But then again, that was just the first draft of the program. I could design improvements to the script with ease and raise performance even higher.
It took about 5 minutes of coding, like add this and that and overall performance rose.
Push here, push there, add this other thing, ah yes, this will help and switch to level 1. Level 1 is a request you pre-set, it determines your aggressiveness should price increase more than you could anticipate but where you stand ready to take advantage of the rise anyway. You don't know that the rise may come, but your trading behavior has been pre-set to react to it. After adding all the modifications I wanted for level 1, there was only one thing left to do and that was run the script on the same dataset to see if it improved performance for all the stocks in the list. There would be only one test run, and whatever the result of the outcome of the test, then that would be it.
Here are the test results for the modifications applied after the Livermore Challenge was issued. It is only the first round, so may I say, stay tuned...