The following test is a little weird. For one the script was developed in mid-April using a single stock: RIMM. This in itself should have for conclusion: over-optimized, curved fitted to the extreme and should therefore turn out to be just another script that falls down on its face went using different stocks.

However this script is particular. It does not use technical indicators per say. Trading goes through a decision surrogate which will select price relative trades based on the state of a moving trading window. The trading window has only 3 states: buy, sell or hold and is very insensitive to market noise. In the buy state, you accumulate shares following the decision surrogate’s whims. In the sell state, shares can be sold as long as the sell window is open. As for the hold state, it is viewed as a transitional period where nothing is supposed to happen.

The script does not make any price prediction and will sell all its holdings if the price is right; even though the price might keep going up. (I will try to improve on this one). All in all, you can not predict what this script is going to do on a particular stock as it appears totally path dependent; it goes its own way. At times, you would sell and it does not; but when viewed at the portfolio level, using over-diversification as in all my trading methods, it shines.

You won’t know exactly what is happening except in general terms; like the script is on a buying or selling spree. It will time slice and quantity dice its entries and exits.

The performance table below is the outcome of this script’s first visit of the same stocks as in the first batch tested. I usually need a basis for comparison and what better choice than a list of stocks that the script has never seen and that has the advantage of having been tested on other scripts.

Performance Table: Trading Method ADD3 v1.7

ADD3 V1.7

Tested July 11th 2011

Some observations worth noting on the performance table:

• on average an over 82% hit rate
• over the 5.83 years simulation period; an over 135% portfolio return
• total loss due to all portfolio stop losses less than 3.5% of total profits
• the method can easily be automated

I will certainly go back to this script and study its behavior more closely. It does, in my opinion, have desirable portfolio attributes.

AAPL data data as of 7/8/2011 :: Add3 version 1.7 ADM data as of 7/8/2011 :: Add3 version 1.7 AGQ data as of 7/8/2011 :: Add3 version 1.7 AMZN data as of 7/8/2011 :: Add3 version 1.7

BHH data as of 7/8/2011 :: Add3 version 1.7 BIDU data as of 7/8/2011 :: Add3 version 1.7 CCK data as of 7/8/2011 :: Add3 version 1.7 CF data as of 7/8/2011 :: Add3 version 1.7

CMG data as of 7/8/2011 :: Add3 version 1.7 CRDN data as of 7/8/2011 :: Add3 version 1.7 CSX data as of 7/8/2011 :: Add3 version 1.7 DBS data as of 7/8/2011 :: Add3 version 1.7

DDS data as of 7/8/2011 :: Add3 version 1.7 DIT data as of 7/8/2011 :: Add3 version 1.7 ERX data as of 7/8/2011 :: Add3 version 1.7 GLD data as of 7/8/2011 :: Add3 version 1.7

GTLS data as of 7/8/2011 :: Add3 version 1.7 IBM data as of 7/8/2011 :: Add3 version 1.7 IMAX data as of 7/8/2011 :: Add3 version 1.7 IPGP data as of 7/8/2011 :: Add3 version 1.7

JNPR data as of 7/8/2011 :: Add3 version 1.7 NFLX data as of 7/8/2011 :: Add3 version 1.7 NTES data as of 7/8/2011 :: Add3 version 1.7 PAAS data as of 7/8/2011 :: Add3 version 1.7

PANL data as of 7/8/2011 :: Add3 version 1.7 PCLN data as of 7/8/2011 :: Add3 version 1.7 SCCO data as of 7/8/2011 :: Add3 version 1.7 SINA data as of 7/8/2011 :: Add3 version 1.7

SLV data as of 7/8/2011 :: Add3 version 1.7 SLW data as of 7/8/2011 :: Add3 version 1.7 SOHU data as of 7/8/2011 :: Add3 version 1.7 SRZ data as of 7/8/2011 :: Add3 version 1.7

TBL data as of 7/8/2011 :: Add3 version 1.7 TDSC data as of 7/8/2011 :: Add3 version 1.7 TRMB data as of 7/8/2011 :: Add3 version 1.7 TRN data as of 7/8/2011 :: Add3 version 1.7

TSCO data as of 7/8/2011 :: Add3 version 1.7 TZOO data as of 7/8/2011 :: Add3 version 1.7 ULTA data as of 7/8/2011 :: Add3 version 1.7 URI data as of 7/8/2011 :: Add3 version 1.7

WLK data as of 7/8/2011 :: Add3 version 1.7 WTW data as of 7/8/2011 :: Add3 version 1.7 XOP data as of 7/8/2011 :: Add3 version 1.7


Created on ... July 11, 2011 © Guy R. Fleury. All rights reserved.

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