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At 15.24 14/02/03 +0000, you wrote:
>I'd be happy to see the results on MIBTel.
here it is results for mib30 (the major 30 stocks on Italian Stock excanghe).
Settings are:
initial capital: 10000
long&shorts
open e close position at open of the day after the signal (TS is on daily
basis)
commisions: 0.185%
no stop used
no optimization used
period: from 01/01/01 to 06/02/03
BR 43895.20 438.95%
-0.6% -38.5% 53 30 23 65605 -20418 98.49% 125.03%
2.46 852.58 3.21
PBS 40901.62 409.02%
-19.5% -59.2% 53 28 25 58599 -17603 98.49% 118.95%
2.97 773.51 3.33
BMA 36287.70 362.88%
-2.4% -41.6% 53 28 25 65348 -28625 98.49% 109.18%
2.04 692.90 2.28
BNL 24556.96 245.57%
-10.0% -29.6% 53 30 23 40827 -16269 98.49% 81.79%
1.92 463.35 2.51
STM 19632.46 196.32%
-4.9% -41.7% 53 23 30 42751 -22973 98.49% 68.84%
2.43 373.19 1.86
SIF 18625.81 186.26%
-9.5% -27.6% 53 21 32 32516 -13524 98.49% 66.06%
3.66 358.35 2.40
OL 16479.92 164.80%
-5.6% -36.7% 53 26 27 32572 -15781 98.49% 59.95%
2.14 316.82 2.06
MED 15917.25 159.17%
-4.5% -43.7% 53 22 31 43270 -26489 98.49% 58.31%
2.30 316.61 1.63
P 15775.12 157.75%
-12.7% -33.6% 53 25 28 32189 -15943 98.49% 57.89%
2.26 306.54 2.02
F 14122.56 141.23%
-0.1% -27.3% 53 26 27 26078 -11504 98.49% 52.93%
2.35 274.97 2.27
SPM 10139.05 101.39%
-11.2% -26.1% 53 27 26 18588 -8259 98.49% 40.20%
2.17 194.88 2.25
MEDIA 9714.52
97.15% -5.6% -42.7% 53 19 34 27106 -16868 98.49%
38.77% 2.88 193.16 1.61
MB 9232.98
92.33% -2.7% -34.9% 53 20 33 21090 -11656 98.49%
37.13% 2.99 178.01 1.81
BMPS 8564.38
85.64% -1.1% -21.9% 53 25 28 20711 -11793 98.49%
34.81% 1.97 168.26 1.76
BAV 7458.16
74.58% -10.0% -35.8% 53 21 32 24351 -16406 98.49%
30.88% 2.26 149.90 1.48
AUP 5258.95
52.59% -1.9% -26.6% 53 24 29 11160 -5823 98.49%
22.65% 2.32 100.69 1.92
PRF 5025.20
50.25% -10.3% -23.1% 53 28 25 14147 -9200 98.49%
21.74% 1.37 93.34 1.54
CIT 2355.55
23.56% -8.6% -40.5% 53 22 31 12386 -9783 98.49%
10.77% 1.78 49.11 1.27
AL 2085.37
20.85% -11.0% -31.6% 53 22 31 13559 -11259 98.49%
9.59% 1.70 43.39 1.20
NTV 811.90 8.12% 0.0% -22.8% 12 8 4 3167
-1796 55.34% 18.13% 0.88 114.26 1.76
SPTO 791.22 7.91% -23.4% -48.2% 53 20 33 13360
-12181 98.49% 3.75% 1.81 22.24 1.10
BPVN 0.00 0.00% 0.0% 0.0% 0 0 0 0 0
0.00% N/A N/A N/A N/A
R -190.69
-1.91% -12.4% -48.6% 53 22 31 11896 -12004 98.49%
-0.93% 1.40 -2.03 0.99
ENEL -209.60
-2.10% -16.9% -41.9% 53 21 32 9035 -9301 98.49%
-1.02% 1.48 -5.03 0.97
ENI -492.81
-4.93% -9.0% -44.3% 53 25 28 9046 -9536 98.49%
-2.42% 1.06 -9.23 0.95
G -1114.39 -11.14%
-18.7% -39.5% 53 19 34 9711 -10646 98.49% -5.56%
1.63 -17.63 0.91
SEAT -2177.02 -21.77%
-39.6% -57.0% 53 19 34 11132 -13195 98.49% -11.21%
1.51 -38.93 0.84
STE -2289.17 -22.89%
-27.6% -43.9% 53 18 35 7215 -9479 98.49% -11.83%
1.48 -42.71 0.76
SRG -2540.63 -25.41%
-29.0% -34.1% 20 6 14 1091 -3689 68.49% -32.29%
0.69 -129.91 0.30
TIM -2727.87 -27.28%
-33.6% -45.1% 53 22 31 8032 -10674 98.49% -14.30%
1.06 -49.86 0.75
and these are the results on all my historical data (in this case, there
are data used to train NN):
PBS 980467.13 9804.67% -1.3% -59.2% 116 58 58
1401856 -394307 80.32% 139.29% 3.56 8685.77 3.56
SIF 252731.90 2527.32% -0.2% -33.7% 118 57 61
437763 -179896 80.38% 87.81% 2.60 2185.31 2.43
BMA 246375.97 2463.76% -24.0% -41.7% 118 57 61
422389 -175539 80.35% 86.99% 2.58 2091.95 2.41
OL 160632.00 1606.32% -13.6% -46.5% 118 51 67
314535 -154834 80.39% 73.35% 2.67 1353.40 2.03
MED 143016.55 1430.17% -10.9% -43.7% 118 50 68
334300 -189541 80.35% 69.89% 2.40 1226.78 1.76
BR 100612.39 1006.12% -3.1% -38.5% 118 61 57
153318 -51823 80.34% 59.87% 2.76 860.13 2.96
STM 85061.78 850.62%
-5.8% -53.6% 104 44 60 203683 -116006
92.26% 66.80% 2.39 843.06 1.76
SEAT 37793.21 377.93%
-5.9% -57.0% 118 46 72 173451 -135343
80.40% 36.22% 2.01 322.95 1.28
MEDIA 34052.02 340.52%
-30.9% -45.0% 118 38 80 91575 -57582 80.35% 34.12%
3.35 288.08 1.59
MB 31281.53 312.82%
-2.3% -42.1% 118 45 73 83754 -51509 80.35% 32.44%
2.64 273.26 1.63
F 20814.48 208.14%
-10.6% -43.1% 118 54 64 49063 -27430 80.32% 25.13%
2.12 183.33 1.79
BNL 19906.59 199.07%
-25.1% -46.4% 103 52 51 42923 -22848 91.73% 30.80%
1.84 194.91 1.88
STE 18737.52 187.38%
-9.4% -44.9% 116 44 72 84251 -65294 80.31% 23.44%
2.11 163.42 1.29
P 17773.11 177.73%
-9.4% -44.6% 118 54 64 49924 -32202 80.35% 22.61%
1.84 150.18 1.55
BAV 17505.96 175.06%
-0.9% -35.8% 118 50 68 61229 -43469 80.35% 22.37%
1.92 150.51 1.41
BMPS 10508.27 105.08%
-14.5% -23.0% 85 40 45 28573 -17722 90.02% 24.20%
1.81 127.66 1.61
SPM 2107.41
21.07% -46.9% -52.9% 118 52 66 20389 -18415 80.35%
3.95% 1.41 16.73 1.11
R 1822.51
18.23% -1.9% -59.9% 118 47 71 37050 -35120 80.35%
3.45% 1.59 16.36 1.05
PRF 1166.00
11.66% -42.9% -55.0% 118 56 62 19394 -17854 80.35%
2.26% 1.20 13.05 1.09
AUP 648.27 6.48% -36.6% -53.6% 118 44 74 19542
-18885 80.34% 1.28% 1.74 5.57 1.03
TIM 478.17 4.78% -17.4% -61.4% 116 41 75 32986
-32412 80.31% 0.95% 1.86 4.95 1.02
BPVN 0.00 0.00% 0.0% 0.0% 0 0 0 0 0
0.00% N/A N/A N/A N/A
NTV -59.00 -0.59% -1.2% -27.2% 13 8 5 3167
-3136 56.40% -1.25% 0.63 2.43 1.01
AL -376.44
-3.76% -39.8% -56.1% 118 44 74 21029 -21284 80.34%
-0.78% 1.66 -2.16 0.99
G -465.88
-4.66% -7.7% -44.9% 118 41 77 24421 -24725 80.35%
-0.97% 1.85 -2.57 0.99
ENI -550.13
-5.50% -19.3% -44.3% 118 47 71 18680 -19064 80.35%
-1.15% 1.48 -3.25 0.98
SPTO -1528.66 -15.29%
-39.3% -60.1% 118 44 74 24131 -25417 80.34% -3.33%
1.60 -10.91 0.95
CIT -2639.55 -26.40%
-44.7% -74.8% 118 46 72 21763 -24346 80.35% -6.08%
1.40 -21.89 0.89
SRG -2639.76 -26.40%
-29.0% -34.1% 21 6 15 1091 -3764 69.02% -32.85%
0.72 -127.28 0.29
ENEL -2776.50 -27.76%
-36.9% -41.9% 77 28 49 7925 -10632 88.93% -10.59%
1.30 -35.16 0.75
regards
Buttha
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