October 30, 2011
After my last commentary where I was showing performance results of some charts using random entries, I had to make a formal test: take one of the data sets, go through the routine for each stock and then tally the results. If the random entries had some value as a concept, then running the script over a dataset should demonstrate either its weaknesses or its strengths.
Here are the results:
Random Entries
(click to enlarge)
The random entry test was performed on the 43 stocks in the first data set with the following results.
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( click to enlarge)
All the charts were generated on the old Wealth-Lab 4 website using their program and their data.
From the table above, running 481,729 trades over the 5.83-year test cries for trade automation. Even on a random entry scenario, the procedures managed to maintain a 63% hit rate which should be viewed as remarkable. But the most stunning part is the overall performance where the CAGR is over 150% per year.
I will not be playing this script in the future. So, if anyone wants it; make me an offer. Forgot to give a reason: well, I have better ones.
Modified ... October 30, 2011, © Guy R. Fleury. All rights reserved.
