Safe Trading Blog

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CAC40 with a winning trade fraction of 56%…  Skewing of the strategy…

average gain 9.8 pts (variance 11) / max gain 139.4 pts

average loss -8.1 pts (variance 7) / max loss (drawdown) -49 pts

For this particular index, we have found a skewing effect in the strategy, which makes the spread between wins and losses larger as time flows… However, it is not essential. If we randomize the trades to get a 50% fraction of winning trades, we keep a very good track, on the same level as the 2 post belows…

system_3.pdf 

===

Fee ebook:  free_ebook.pdf and more at www.thestockcode.com

Contact: thestockcode@gmail.com

===

The most important is money managment as no predictive model can exist on stochastic series!

Example of a trading system on the Dow Jones with 50% winning trades for 2 Years intraday trading with:

average gain 27.7 pts (variance 30 pts) / average loss: -22.7 (variance 20 pts)

Maximum gain 346 pts / maximum loss (drawdown) -186 pts

EQUITY CURVES BELOW ==>

see also ==>

system_1.pdf

What does it mean? simply that there is nothing to predict… there are well knows stylized facts on the distribution of financial time series but completly sterile concerning trading strategies…

Do you know that the price memory is about 4 min. for stocks and 2 min. on the Forex. Which means that a price at time T loses its influence on price at time T+4min. for stocks and T+2min. on Forex. Just calculate the auto-correlation function to check this very very basic property (see docs below)… What about technical analysis in this case? nothing much to say… except that it is an illusion…

===

What is needed is a solid knowledge of the basis of financial markets…

www.thestockcode.com

Contact: thestockcode@gmail.com

The most important is money managment as no predictive model can exist on stochastic series!

Example of a trading system on the Dow Jones with 50% winning trades for 2 Years intraday trading with:

average gain 27.7 pts (variance 30 pts) / average loss: -22.7 (variance 20 pts)

Maximum gain 346 pts / maximum loss (drawdown) -186 pts

EQUITY CURVES BELOW ==>

see also ==>

system_1.pdf

What does it mean? simply that there is nothing to predict… there are well knows stylized facts on the distribution of financial time series but completly sterile concerning trading strategies…

Do you know that the price memory is about 4 min. for stocks and 2 min. on the Forex. Which means that a price at time T loses its influence on price at time T+4min. for stocks and T+2min. on Forex. Just calculate the auto-correlation function to check this very very basic property (see docs below)… What about technical analysis in this case? nothing much to say…

===

What is needed is a solid knowledge of the basis of financial markets…

Contact: thestockcode@gmail.com

CAC40 with a winning trade fraction of 56%…  Skewing of the strategy…

average gain 9.8 pts (variance 11) / max gain 139.4 pts

average loss -8.1 pts (variance 7) / max loss (drawdown) -49 pts

For this particular index, we have found a skewing effect in the strategy, which makes the spread between wins and losses larger as time flows… However, it is not essential. If we randomize the trades to get a 50% fraction of winning trades, we keep a very good track, on the same level as the 2 post belows…

system_3.pdf 

===

Fee ebook:  free_ebook.pdf

Contact: thestockcode@gmail.com

===

Reminder… 

Following of the 2 posts

http://www.safetradingblog.com/stock-code-trading/trading-system-nasdaq.html
http://www.safetradingblog.com/stock-code-trading/trading-system.html

Another example: CAC40 with a winning trade fraction of 56%…  Skewing of the strategy…

average gain 9.8 pts (variance 11) / max gain 139.4 pts

average loss -8.1 pts (variance 7) / max loss (drawdown) -49 pts

For this particular index, we have found a skewing effect in the strategy, which makes the spread between wins and losses larger as time flows… However, it is not essential. If we randomize the trades to get a 50% fraction of winning trades, we keep a very good track, on the same level as the 2 post belows…

system_3.pdf 

===

If you want to know more: www.thestockcode.com

Contact: thestockcode@gmail.com

===

The following are the most recently reported and projected twelve-month trailing (TMT) earnings and price/earnings ratios (P/Es) according to Standard and Poors.

                                             Est       Est       Est
                               2008 Q1   2008 Q2   2008 Q3   2008 Q4
TMT P/E Ratio (GAAP)…….:      20.8      22.6      21.0      17.4
TMT P/E Ratio (Core)…….:      17.7       N/A       N/A       N/A
TMT P/E Ratio (Operating)..:      16.3      16.9      16.2      14.3

TMT Earnings (GAAP)……..:     60.39     55.42     59.79     72.01
TMT Earnings (Core)……..:     70.80       N/A       N/A       N/A
TMT Earnings (Operating)…:     76.77     74.38     77.50     87.83

Based upon the latest GAAP earnings the following would be the approximate S&P 500 values at the cardinal points of the normal historical value range. They are calculated simply by multiplying the GAAP EPS by 10, 15, and 20:

Undervalued (SPX if P/E = 10):    604
Fair Value  (SPX if P/E = 15):    906 (our primary target)
Overvalued  (SPX if P/E = 20):   1208

=== Consequences ==

Index               Posture     Date Elap  @Start     Close      P/L      P/L
——————- ——- ——– —- ——-   ——-  ——-  ——-
Stocks Medium-Term  Bearish 06/11/08   +82.10    +6.1%

Stocks Long-Term *  Bearish 01/08/08  +136.80    +9.8%

Gold (NY Spot) *    Bullish 07/01/08    +8.90    +0.9%

30-Yr Bond *        Bullish 07/10/08    * Changed Today *
——————- ——- ——– —-  ——-  ——-  ——-  ——-

Dollar Index        Bearish 06/30/08   +0.04    +0.1%

CRB Index           Bullish 09/14/07  +138.00   +43.0%

Crude Oil (USO)     Bullish 02/11/08  +39.10   +52.0%

More information www.thestockcode.com

Contact: thestockcode@gmail.com

Following of the 2 posts below… 

Another example: CAC40 with a winning trade fraction of 56%…  Skewing of the strategy…

average gain 9.8 pts (variance 11) / max gain 139.4 pts

average loss -8.1 pts (variance 7) / max loss (drawdown) -49 pts

For this particular index, we have found a skewing effect in the strategy, which makes the spread between wins and losses larger as time flows… However, it is not essential. If we randomize the trades to get a 50% fraction of winning trades, we keep a very good track, on the same level as the 2 post belows…

system_3.pdf 

===

If you want to know more: www.thestockcode.com

Contact: thestockcode@gmail.com

===

Following of the post below… 

Another example: NASDAQ with a winning trade fraction of 50%… 

average gain 6.9 pts (variance 7) / max gain 79.6 pts

average loss -5.6 pts (variance 5) / max loss (drawdown) -44.1 pts

The most important is money managment as no predictive model can exist on stochastic series!

Example of a trading system on the Dow Jones with 50% winning trades for 2 Years intraday trading with:

average gain 27.7 pts (variance 30 pts) / average loss: -22.7 (variance 20 pts)

Maximum gain 346 pts / maximum loss (drawdown) -186 pts

EQUITY CURVES BELOW ==>

see also ==>

system_1.pdf

What does it mean? simply that there is nothing to predict… there are well knows stylized facts on the distribution of financial time series but completly sterile concerning trading strategies…

Do you know that the price memory is about 4 min. for stocks and 2 min. on the Forex. Which means that a price at time T loses its influence on price at time T+4min. for stocks and T+2min. on Forex. Just calculate the auto-correlation function to check this very very basic property (see docs below)… What about technical analysis in this case? nothing much to say…

===

What is needed is a solid knowledge of the basis of financial markets…

 www.thestockcode.com 

Contact: thestockcode@gmail.com