June 2, 2011

After making more modifications to the Livermore Market Key script and opting for a higher performance level, it was time to test the new script against a list of stocks. The obvious choice was, of course, the same list of stocks as in the previous test, otherwise, how could one compare results.

Making several modifications to an existing script all at once and hoping for the best is not what one would call orthodox development procedures.

However, if you knew what your modifications would do, meaning that they were all within your trading philosophy and methodology, then why not.

This new version of the script integrates more of the preset behavior and is set to operate at what I estimate to be level 1 which requires more performance output meaning more profits.

There is only one way to show that indeed the modifications where worthwhile and that is to present the results, so here they are:

After Livermore Challenge Model 05 Level 1

(click to enlarge)

The items I find remarkable are:

    1. The sum of all losses for the entire stock list over the 5.83 years test interval is less than 1% of total profits.
    2. The improvements, whatever they were, did indeed improve performance results for all the stocks in the list, not just a few here and there.
    3. The win ratio is over 80% where the average profit is over $19,000 while the average loss is less than $ 400.
    4. Over 60% of stocks on average lost less than $100 when executing their stop losses.
    5. Achieving over 100% annual compounded return over a 5.83 years investment period is certainly more than remarkable.

The Alpha Power trading methodology which tries to trade over its accumulation functions using the excess equity buildup may have something going for it after all. Well, at least, it is my opinion backed by my mathematical model. 

(click to enlarge)

AAPL ADM AGQ AMZN
BHH BIDU CCK CF
CMG CRDN CSX DBS
DDS DIT ERX GLD
GTLS IBM IMAX IPGP
JNPR NFLX NTES PAAS
PANL PCLN SCCO SINA
SLV SLW SOHU SRZ
TBL TDSC TRMB TRN
TSCO TZOO ULTA URI
WLK WTW XOP  

( click to enlarge)


 Created on ... June 2, 2011, © Guy R. Fleury. All rights reserved.