These tests are based on the Ichimoku Kinko Hyo trading script as found on the old Wealth-Lab 4 website. It was first shown that it had no value. And was then modified to more adhere to my trading philosophy. In doing so, the modifications were so extensive that nothing of the original trading script's logic remained. Thus making it a totally different proposition.
May 23, 2012
The Ichimoku Kinko script was improved to such an extent that it has become an enviable script with desirable long-term performance results. Over its almost 6-year test, it achieved a 47% CAGR while accumulating shares and cash in its account. Its average hit rate improved from some 35% to over 70%. 40 of the 43 stocks in the portfolio showed higher performance results. Of the 16 stocks showing losses in the original test, only 3 remained with total losses representing less than 1% of the generated portfolio profits. A very small price to pay for the added performance.
May 14, 2012 Last modified May 20, 2012 (see bottom of page)
After presenting the performance results of the original Ichimoku Kinko Yho trading script, it was time to start making some improvements. But first, there was a requirement of understanding what the script was doing exactly, and once understood, then proceed to the next phase.
May 14, 2012
The idea behind this research note was that it might be interesting to show the progression one might take to improve the performance of a particular script. But then, would that not be like over-optimizing or over-fitting an existing trading strategy?
I think it would be over-fitting only if the results improved just a little. But what if the results were greatly improved?