October 30, 2011

More Random Entries

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 data set should demonstrate either its weaknesses or its strengths.

Here are the results:

Random Entries

Relative Strenght


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

 
AAPL as of 10/30/2011 :: Random Entries ADM as of 10/30/2011 :: Random Entries AGQ as of 10/30/2011 :: Random Entries AMZN as of 10/30/2011 :: Random Entries

BHH as of 10/30/2011 :: Random Entries BIDU as of 10/30/2011 :: Random Entries CCK as of 10/30/2011 :: Random Entries CF as of 10/30/2011 :: Random Entries

CMG as of 10/30/2011 :: Random Entries CRDN as of 10/30/2011 :: Random Entries CSX as of 10/30/2011 :: Random Entries DBS as of 10/30/2011 :: Random Entries

DDS as of 10/30/2011 :: Random Entries DIT as of 10/30/2011 :: Random Entries ERX as of 10/30/2011 :: Random Entries GLD as of 10/30/2011 :: Random Entries

GTLS as of 10/30/2011 :: Random Entries IBM as of 10/30/2011 :: Random Entries IMAX as of 10/30/2011 :: Random Entries IPGP as of 10/30/2011 :: Random Entries

JNPR as of 10/30/2011 :: Random Entries NFLX as of 10/30/2011 :: Random Entries NTES as of 10/30/2011 :: Random Entries PAAS as of 10/30/2011 :: Random Entries

PANL as of 10/30/2011 :: Random Entries PCLN as of 10/30/2011 :: Random Entries SCCO as of 10/30/2011 :: Random Entries SINA as of 10/30/2011 :: Random Entries

SLV as of 10/30/2011 :: Random Entries SLW as of 10/30/2011 :: Random Entries SOHU as of 10/30/2011 :: Random Entries SRZ as of 10/30/2011 :: Random Entries

TBL as of 10/30/2011 :: Random Entries TDSC as of 10/30/2011 :: Random Entries TRMB as of 10/30/2011 :: Random Entries TRN as of 10/30/2011 :: Random Entries

TSCO as of 10/30/2011 :: Random Entries TZOO as of 10/30/2011 :: Random Entries ULTA as of 10/30/2011 :: Random Entries URI as of 10/30/2011 :: Random Entries

WLK as of 10/30/2011 :: Random Entries WTW as of 10/30/2011 :: Random Entries XOP as of 10/30/2011 :: Random Entries

All the charts were generated on the old Wealth-Lab 4 site 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. 

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