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.

It took less than an hour to modify this script to outperform the Buy & Hold. And a mere 20 minutes more to greatly exceed it, performance-wise. I find the output of the test to be very erratic, but then, my first modifications to this script were not intended to be cute or have finest. I usually bulldoze over an existing script, looking for its strengths which I hope to improve upon, and at the same time reduce its negative behavior. It’s like some design their trading scripts with the intent to profit as much as possible, while at the same time, trying very hard to shoot themselves in the foot.

So, here is my first draft (Model 0.03 Level 0) of the modified Livermore script: 

 Livermore Challenge Response

(click to enlarge)

I think that this raises the bar so high that I don’t think anyone on this board (Wealth-Lab forum) can exceed these results. Personally, I will continue to improve this script as its trend definition may have some merit after all.

As a direct consequence of the above table, I think this will probably end the challenge. 

(click to enlarge)

AAPL ADM AGQ AMZN
BHH BIDU CCK CF
CMG CRDN CSX DBS
DDS DIT ERX GLD
GTLS IBM IMAX IPGP
JNPR NFLX NTES PAAS
PANL PCLN SCCO SINA
SLV SLW SOHU SRZ
TBL TDSC TRMB TRN
TSCO TZOO ULTA URI
WLK WTW XOP  

( click to enlarge)


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