What follows is the text as presented to the Wealth-Lab board members on June 1st, 2011.

 

The Livermore Challenge

 

Here is the challenge: we start with the Livermore Market Key script found on the old WL4 site. You can modify it any which way you want, even change its trading philosophy, its trading procedures or its rule definitions. The object is to raise its performance, not only above the Buy & Hold, but way above it. I intend to report back with my own results as I progress in improving its performance level.

Livermore Challenge

To assist you, here is the Excel file you can use to report your results. It is filled with today’s results using the script, as is, on the list of stocks in the table above.

Of note, the Livermore Market Key script is not that productive; it barely maintained its initial capital. In fact, it has horrible metrics: 24% hit rate with only 6 stocks out of 43 exceeding the Buy & Hold.

I think that the most useful concept in this script is that it has a trend definition. It might look as trivial to some, but to me, designing holding functions with share accumulation programs, a trend definition has some importance. I anticipate that the outcome of this challenge is that the trend definition of this script is worthless and as a corollary the whole Livermore methodology has very little value. However, with all the changes that will be applied to this script, I think that in the end its name will need to be changed to reflect its much modified nature. I will be starting my own modifications right after this post.

So welcome to the challenge.

 


AAPL 31/5/2011 :: Livermore Challenge ADM  31/5/2011 :: Livermore Challenge AGQ  31/5/2011 :: Livermore Challenge AMZN  31/5/2011 :: Livermore Challenge

BHH  31/5/2011 :: Livermore Challenge BIDU  31/5/2011 :: Livermore Challenge CCK  31/5/2011 :: Livermore Challenge CF  31/5/2011 :: Livermore Challenge

CMG  31/5/2011 :: Livermore Challenge CRDN  31/5/2011 :: Livermore Challenge CSX  31/5/2011 :: Livermore Challenge DBS  31/5/2011 :: Livermore Challenge

DDS  31/5/2011 :: Livermore Challenge DIT  31/5/2011 :: Livermore Challenge ERX  31/5/2011 :: Livermore Challenge GLD  31/5/2011 :: Livermore Challenge

GTLS  31/5/2011 :: Livermore Challenge IBM  31/5/2011 :: Livermore Challenge IMAX  31/5/2011 :: Livermore Challenge IPGP  31/5/2011 :: Livermore Challenge

JNPR  31/5/2011 :: Livermore Challenge NFLX  31/5/2011 :: Livermore Challenge NTES  31/5/2011 :: Livermore Challenge PAAS  31/5/2011 :: Livermore Challenge

PANL  31/5/2011 :: Livermore Challenge PCLN  31/5/2011 :: Livermore Challenge SCCO  31/5/2011 :: Livermore Challenge SINA  31/5/2011 :: Livermore Challenge

SLV  31/5/2011 :: Livermore Challenge SLW  31/5/2011 :: Livermore Challenge SOHU  31/5/2011 :: Livermore Challenge SRZ  31/5/2011 :: Livermore Challenge

TBL  31/5/2011 :: Livermore Challenge TDSC  31/5/2011 :: Livermore Challenge TRMB  31/5/2011 :: Livermore Challenge TRN  31/5/2011 :: Livermore Challenge

TSCO  31/5/2011 :: Livermore Challenge TZOO  31/5/2011 :: Livermore Challenge ULTA  31/5/2011 :: Livermore Challenge URI  31/5/2011 :: Livermore Challenge

WLK  31/5/2011 :: Livermore Challenge WTW  31/5/2011 :: Livermore Challenge XOP  31/5/2011 :: Livermore Challenge  

 


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

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