October 30, 2011

After my last commentary where I was showing performance results of some charts using random entries, I had to make a formal test: take one of the data sets, go through the routine for each stock and then tally the results. If the random entries had some value as a concept, then running the script over a dataset should demonstrate either its weaknesses or its strengths.

Here are the results:

Random Entries

Relative Strenght

(click to enlarge)

The random entry test was performed on the 43 stocks in the first data set with the following results.

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)

All the charts were generated on the old Wealth-Lab 4 website using their program and their data.

From the table above, running 481,729 trades over the 5.83-year test cries for trade automation. Even on a random entry scenario, the procedures managed to maintain a 63% hit rate which should be viewed as remarkable. But the most stunning part is the overall performance where the CAGR is over 150% per year.

I will not be playing this script in the future. So, if anyone wants it; make me an offer. Forgot to give a reason: well, I have better ones.


Modified ... October 30, 2011,    © Guy R. Fleury. All rights reserved.