June 2nd, 2011

Yesterday, tried to entice other members of the Wealth-Lab forum to participate in the Livermore Challenge. A kind of competition where a published trading script from the old Wealth-Lab 4 site is taken as a basis to demonstrates one's ability to improve the performance of an otherwise lackluster script.

After posting the Livermore Challenge, I started my own modifications to this trading script. It took about an hour to raise performance to exceed the Buy & Hold strategy. I thought it would take a few weeks to increase performance way above the Buy & Hold, but only an hour or so was sufficient.

I’m still not sure of the value of all the modifications I made, but one thing is sure is that I was surprised by the Livermore trend definitions. After relatively minor modifications, I could add my own trading philosophy to the script. The object was to accumulate shares where feasible, and all the while, short-term trade over the general uptrend in the market. This is where the definition of a trend can be useful!

To view the Livermore Challenge.

To view my answer to the challenge and performance results.


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