June 2, 2011
What follows is the actual text as presented in a Wealth-Lab forum on June 1st, 2011.
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.
(click to enlarge)
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. Note: this file is no longer available.
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.
(click to enlarge)
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( click to enlarge)
Created on ... June 2, 2011, © Guy R. Fleury. All rights reserved.
