In previous tests, I used 2 stocks lists of 43 stocks each with 1 duplicate used as reference. The outcome has been shown to be impressive even if I say so myself.

To me the real test was to apply the same "improved" script on an entirely different list of stocks. Will the edge be maintained? Will the procedures maintain sustainability, marketability and remain realistic over the entire testing interval? With the same selection criteria as the first two tests, here is a third batch:

It is not the best of selection processes but it is "a" selection. I am not sure if I would have picked the above stocks some 6 years ago, but then again, I did not have this script 6 years ago. A different script name was used as basis to implement the trading procedures. The improved script still showed, at least to me, that one could aim for a 50% compounded return over an entirely different stock list; sure the stock selection was again on the lazy side.

You have three stock groups, almost randomly selected (with an upside bias, I agree) and with all stocks highly tradable on a daily basis where your participation would certainly go unnoticed especially with a bet size of 5k.

What would your preferred script do using the same stock selections? Can your script do better? If it can, I would certainly be interested in comparing methodologies. Here is the link to the spreadsheet where you will find the results of the last 3 tests using the improved trading procedures. You can fill in your own numbers for comparison.

The above test should have blown me away. Testing a script on a totally different list of stocks should have shown a total performance degradation as if the script was optimized for the previous stock list but could not be for an unknown and untested list of stocks. Yet, the performance was there. And more than acceptable...

The reason is relatively simple. The whole trading process is based on mathematical equations where price variations dictate the trading procedures following equations as presented on page 33 of the Jensen Modified Sharpe paper.

ALLT  28/4/2011 :: Gyro Improved ASNA  28/4/2011 :: Gyro Improved BGC  28/4/2011 :: Gyro Improved

BKE  28/4/2011 :: Gyro Improved CAB  28/4/2011 :: Gyro Improved CERN  28/4/2011 :: Gyro Improved

DGIT  28/4/2011 :: Gyro Improved DIOD  28/4/2011 :: Gyro Improved DKS  28/4/2011 :: Gyro Improved

DSW  28/4/2011 :: Gyro Improved EXXI  28/4/2011 :: Gyro Improved HANS  28/4/2011 :: Gyro Improved

INTL  28/4/2011 :: Gyro Improved IRBT  28/4/2011 :: Gyro Improved ITMN  28/4/2011 :: Gyro Improved

KAMN  28/4/2011 :: Gyro Improved LANC  28/4/2011 :: Gyro Improved MERC  28/4/2011 :: Gyro Improved

NVLS  28/4/2011 :: Gyro Improved NVO  28/4/2011 :: Gyro Improved PCP  28/4/2011 :: Gyro Improved

PSMT  28/4/2011 :: Gyro Improved QSII  28/4/2011 :: Gyro Improved RNOW  28/4/2011 :: Gyro Improved

ROVI  28/4/2011 :: Gyro Improved TTMI  28/4/2011 :: Gyro Improved

VECO  28/4/2011 :: Gyro Improved VICR  28/4/2011 :: Gyro Improved WAVX  28/4/2011 :: Gyro Improved WRC  28/4/2011 :: Gyro Improved

ZAGG  28/4/2011 :: Gyro Improved ZOLL  28/4/2011 :: Gyro Improved ZUMZ  28/4/2011 :: Gyro Improved  


Created on ... April 29, 2011 © Guy R. Fleury. All rights reserved.

Alpha Project