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At 10.08 11/02/03 +0200, you wrote:
The
result is impressive.> [snip]
This
first example leads to the main question: Are there some
"model" stocks which fit better to this D-ratio version for the
whole market ?
[excuse me for my poor english]
It's something not new for me:
I'm an italian trader and I've developed a trading system which works
with neural networks (interfaced with AB) .
There are four major indices in Italy: mib30, mibtel, midex and
numtel.
I use three neural network: one use, as input, data of mib30, one works
with mibtel and the last one works with midex.
Then, I use a linear combination of networks output:
segnale=0.3*segnaleMIB30+0.9*segnaleMIBU+0.3*segnaleMIDEX;
and "segnale" is an oscillator in the interval [0,1.5] with a
threshold of 0.5
So, I trade *stocks* not using data of themselves, but data of the
indices and the perfomances are very impressive.
What about Numtel? Numtel is a tecnological index, like NASDAQ in
american stock exchange. If I trade stock of numtel (and, remember, the
only data I use are data relative to mib30,mibtel and midex indices) the
result performance explorations are:
OPG 79731.20 3986.56% -6.0% -64.2% 82 41 41 133805 -53334 90.05% 195.19% 2.51 981.36 2.51
GAN 41122.19 2056.11% -12.6% -66.9% 76 41 35 48342 -9924 88.31% 187.90% 4.16 505.50 4.87
FIN 22663.24 1133.16% -21.2% -52.5% 76 42 34 51596 -28943 88.66% 133.52% 1.44 298.07 1.78
DA 22307.61 1115.38% -5.1% -39.9% 60 38 22 25678 -4663 86.04% 185.08% 3.19 350.25 5.51
TIS 19074.92 953.75% -12.6% -50.4% 78 38 40 38669 -19303 88.92% 117.32% 2.11 248.27 2.00
EBI 17646.12 882.31% -4.4% -65.7% 63 33 30 27315 -9916 87.28% 139.34% 2.50 276.17 2.75
TDI 17336.81 866.84% -3.6% -59.5% 76 36 40 31848 -14765 88.86% 111.72% 2.40 224.77 2.16
CDC 13490.02 674.50% -5.2% -47.3% 58 32 26 18557 -5146 85.95% 139.11% 2.93 231.24 3.61
FDL 11839.54 591.98% -19.0% -78.0% 64 35 29 25547 -13750 86.86% 113.68% 1.54 184.34 1.86
AISW 11192.41 559.62% -4.0% -58.0% 54 26 28 20615 -9192 85.58% 129.34% 2.42 211.54 2.24
INF 9985.99 499.30% -7.6% -44.1% 54 33 21 16008 -6623 85.51% 120.28% 1.54 173.79 2.42
PRI 9920.17 496.01% -52.8% -66.4% 78 41 37 16340 -6148 88.92% 80.84% 2.40 130.68 2.66
DIB 9563.71 478.19% -34.6% -49.7% 52 26 26 16163 -6539 84.17% 134.95% 2.47 185.08 2.47
DMA 9486.09 474.30% -8.2% -42.1% 48 28 20 15428 -6428 82.84% 152.53% 1.71 187.49 2.40
TXT 8998.88 449.94% 0.0% -57.1% 54 26 28 16669 -7887 85.89% 108.64% 2.28 162.63 2.11
INE 8274.30 413.72% -4.6% -45.9% 66 32 34 16037 -7764 87.19% 88.67% 2.19 125.34 2.07
VIT 7178.33 358.92% -37.0% -47.7% 52 28 24 11503 -5436 84.33% 109.20% 1.81 116.68 2.12
PCU 7109.43 355.47% 0.0% -61.9% 42 20 22 12084 -5763 81.19% 145.08% 2.31 150.50 2.10
CTO 6828.85 341.44% -5.0% -50.6% 54 27 27 11343 -4766 85.51% 93.70% 2.38 121.80 2.38
CHL 6526.33 326.32% -23.2% -65.0% 60 32 28 23135 -16953 86.47% 82.38% 1.19 103.04 1.36
CDB 6036.16 301.81% -1.4% -43.7% 64 27 37 11762 -5474 87.41% 70.44% 2.94 98.25 2.15
CAI 5612.29 280.61% -15.5% -39.9% 57 28 29 11429 -5856 85.78% 79.64% 2.02 97.78 1.95
TAS 5410.86 270.54% -9.7% -57.0% 60 25 35 8503 -3426 86.57% 71.62% 3.47 84.61 2.48
EUP 5056.46 252.82% -10.4% -45.8% 58 27 31 10290 -5208 86.02% 72.26% 2.27 87.61 1.98
DAM 4556.27 227.81% -2.8% -27.4% 52 21 31 7249 -2805 84.33% 78.62% 3.81 85.46 2.58
PSF 3983.52 199.18% -18.9% -79.5% 74 39 35 7503 -3626 88.88% 44.47% 1.86 52.39 2.07
ONB 3580.27 179.01% -1.0% -32.7% 50 27 23 7715 -4100 84.94% 61.94% 1.60 72.31 1.88
CAD 3319.68 165.98% -3.6% -29.8% 54 28 26 4958 -1746 84.06% 63.20% 2.64 59.49 2.84
TCS 2712.87 135.64% -20.0% -42.3% 54 29 25 6228 -3750 85.51% 47.31% 1.43 45.88 1.66
ITW 2465.06 123.25% -41.6% -46.1% 38 20 18 4227 -1397 77.23% 83.87% 2.72 74.48 3.03
MTV 2369.32 118.47% -9.4% -37.0% 60 26 34 4444 -2014 86.06% 40.30% 2.89 40.50 2.21
EPLA 2351.41 117.57% -0.3% -93.5% 56 23 33 15769 -13470 85.26% 42.27% 1.68 41.07 1.17
NOV 1707.07 85.35% -39.2% -41.1% 52 27 25 3443 -2010 83.77% 37.52% 1.59 27.56 1.71
ACO 1590.24 79.51% -49.8% -52.9% 54 21 33 6501 -4955 85.44% 30.73% 2.06 28.64 1.31
REY 1215.08 60.75% -13.1% -37.7% 52 22 30 3644 -2491 83.21% 29.18% 2.00 22.18 1.46
DAL 1195.65 59.78% -14.5% -55.8% 38 19 19 2609 -1442 80.47% 35.25% 1.81 30.72 1.81
ELN 1108.79 55.44% -19.2% -54.8% 54 21 33 3377 -2227 83.12% 27.12% 2.38 21.30 1.52
DAS 751.02 37.55% -13.5% -42.8% 52 17 35 3317 -2479 84.22% 17.51% 2.75 16.10 1.34
FDA 749.32 37.47% -3.8% -37.9% 52 22 30 2862 -2103 83.39% 18.59% 1.86 14.58 1.36
BB 671.17 33.56% -17.4% -43.5% 52 22 30 3350 -2655 84.08% 15.83% 1.72 13.37 1.26
BIO 493.04 24.65% -21.4% -123.0% 54 25 29 5604 -5169 85.58% 10.61% 1.26 8.06 1.08
ENG 422.04 21.10% -37.4% -48.2% 54 22 32 2381 -2034 83.09% 11.12% 1.70 6.43 1.17
PRT 286.26 14.31% -17.9% -22.5% 38 18 20 1261 -973 76.35% 11.80% 1.44 7.59 1.30
ART 80.40 4.02% -10.7% -31.9% 60 25 35 2255 -2141 86.51% 1.70% 1.47 1.90 1.05
ALGL 60.04 3.00% -46.5% -57.7% 41 26 15 1631 -1601 77.94% 2.31% 0.59 0.73 1.02
BB1 0.00 0.00% 0.0% 0.0% 0 0 0 0 0 50.00% 0.00%
N/A
N/A N/A
The performance, for every stock, is >=0% (testing from 1997. If I
test the TS using data of the last two year, then the system loose on one
stock).
Settings are: long&shorts with positions opened and closed at the
open price of the day after the signal (open with delay of 1
bar).
And, would you like to know a "little" particular? The is NO
optimitazion involved in the trading system.
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