Well, I thought it would take at least a few days first to understand the Livermore Master Key script and then attempt modifications to improve the design. Livermore and his trading methods are often highly viewed. However, based on the performance results presented in the prior post, one should have reasonable doubts as to the efficacy of Livermore’s trading methods.

It took less than an hour to modify this script to outperform the Buy & Hold. And a mere 20 minutes more to greatly exceed it performance wise. I find the output of the test to be very erratic, but then, my first modifications to this script were not intended to be cute or with finest. I usually bulldoze over an existing script, looking for its strengths which I hope to improve upon and at the same time reduce its negative behavior. It’s like some design their scripts with the intent to profit as much as possible while at the same time trying very hard to shoot themselves in the foot.

So here is my first draft (Model 0.03 Level 0) of the modified Livermore script:

I think that this raises the bar so high that I don’t think anyone on this board can exceed these results. Personally, I will continue to improve this script as its trend definition may have some merit after all.

As a direct consequence to the above table, I think this will probably end the challenge.

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