Novermber 10, 2011

Still More Random Entries.

Over the last few days, at my preferred forum, there has been much debate on the value of old and proven trading strategies. After having presenting my own version of what a random entry system could look like, it almost appeared as if it was not enough.

So, for comparison purposes, using the same simulator and the same data set over the same trading period, I opted to test a published random entry system. The one chosen can be found in Dr. Van K. Tharp's book "Trade your Way to Financial Freedom" p. 200-201. This might be considered unfair by some since the whole testing period would be the future for this script. A totally out of sample, out of optimizing period. And yet for others maybe the perfect testing ground.

I took the first script that sounded reasonable for a test. I intended to run only one and only once; I did not have that much time to waste. What ever the results, that is what would be presented.

The original script is available here for free:

And the summary results are:

Random Entries. Script from Van Tharp's book
Random Entry Tharp Book

 

This should please the statistically minded. The sampling size is sufficient to show significance. The same goes for the trading interval as it is sufficiently long to experience all sorts of market perturbations. And since you are playing on the outcome of a coin, the expected value should be zero added to the drift.

This corroborates Andrei's paper, as it should. There is no gain at flipping a coin; all you can catch is the drift.


AAU  11/10/2011 ::  Random Entry Tharp Book  DS2 AKAM  11/10/2011 ::  Random Entry Tharp Book  DS2 ARUN  11/10/2011 ::  Random Entry Tharp Book  DS2 ASYS  11/10/2011 ::  Random Entry Tharp Book  DS2

ATML  11/10/2011 ::  Random Entry Tharp Book  DS2 BIDU  11/10/2011 ::  Random Entry Tharp Book  DS2 CAM  11/10/2011 ::  Random Entry Tharp Book  DS2 CAT  11/10/2011 ::  Random Entry Tharp Book  DS2

COOL  11/10/2011 ::  Random Entry Tharp Book  DS2 ETN  11/10/2011 ::  Random Entry Tharp Book  DS2 FFIV  11/10/2011 ::  Random Entry Tharp Book  DS2 FIRE  11/10/2011 ::  Random Entry Tharp Book  DS2

GMCR  11/10/2011 ::  Random Entry Tharp Book  DS2 HK  11/10/2011 ::  Random Entry Tharp Book  DS2 HNL.TO  11/10/2011 ::  Random Entry Tharp Book  DS2 IDCC  11/10/2011 ::  Random Entry Tharp Book  DS2

IGTE  11/10/2011 ::  Random Entry Tharp Book  DS2 LTXC  11/10/2011 ::  Random Entry Tharp Book  DS2 LULU  11/10/2011 ::  Random Entry Tharp Book  DS2 MELI  11/10/2011 ::  Random Entry Tharp Book  DS2

MENT  11/10/2011 ::  Random Entry Tharp Book  DS2 MFL.TO  11/10/2011 ::  Random Entry Tharp Book  DS2 MGH  11/10/2011 ::  Random Entry Tharp Book  DS2 MSN  11/10/2011 ::  Random Entry Tharp Book  DS2

NDSN  11/10/2011 ::  Random Entry Tharp Book  DS2 PFCB  11/10/2011 ::  Random Entry Tharp Book  DS2 PNRA  11/10/2011 ::  Random Entry Tharp Book  DS2 PTI  11/10/2011 ::  Random Entry Tharp Book  DS2

QCOR  11/10/2011 ::  Random Entry Tharp Book  DS2 QLTY  11/10/2011 ::  Random Entry Tharp Book  DS2 REDF  11/10/2011 ::  Random Entry Tharp Book  DS2 RVBD  11/10/2011 ::  Random Entry Tharp Book  DS2

SCSS  11/10/2011 ::  Random Entry Tharp Book  DS2 SF  11/10/2011 ::  Random Entry Tharp Book  DS2 SFLY  11/10/2011 ::  Random Entry Tharp Book  DS2 SHS  11/10/2011 ::  Random Entry Tharp Book  DS2

SPRD  11/10/2011 ::  Random Entry Tharp Book  DS2 SVVS  11/10/2011 ::  Random Entry Tharp Book  DS2 TLEO  11/10/2011 ::  Random Entry Tharp Book  DS2 TPX  11/10/2011 ::  Random Entry Tharp Book  DS2

UA  11/10/2011 ::  Random Entry Tharp Book  DS2 UTEK  11/10/2011 ::  Random Entry Tharp Book  DS2 VSEA  11/10/2011 ::  Random Entry Tharp Book  DS2


Modified ... November 10, 2011 © Guy R. Fleury. All rights reserved.

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