The Livermore Challenge was an attempt to interest other Wealth-Lab 4 board members to participate in a kind of competition to show who could improve most on the Livermore trading script on its website. The "challenge" was short-lived since it took only a few hours to improve the trading script to a level where I thought other would not reach, thereby ended the challenge almost before it could have started. The oldest and first iteration is at the bottom of the list.

June 4, 2011 

After the Livermore Challenge’s 2nd act, which made its point quite clear, there was only one question left opened and that was what about the other data set, the third data set, presented way back in the series. Again, only one way to know and that is to run the test using the same script. So here it is:

June 3, 2011

The worst type of tests for any trading strategy is to be confronted with a different dataset. What was used to “train” the script to perform on a particular group of stocks may not work as well on another group? Usually, this is where a script breaks down, its performance greatly reduced due to curve-fitting and over-optimization on the first tested group of stocks.

June 2, 2011

After making more modifications to the Livermore Market Key script and opting for a higher performance level, it was time to test the new script against a list of stocks. The obvious choice was, of course, the same list of stocks as in the previous test, otherwise, how could one compare results.

Making several modifications to an existing script all at once and hoping for the best is not what one would call orthodox development procedures.

June 2, 2011

Well, I thought it would take at least a few days. First to understand the Livermore Market Key trading script, and then attempt modifications to improve its design. Livermore and his trading methods are often highly regarded. 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.

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.