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No....I believe studies have been done...I have also prepared my own
explorations in AMI which shows
Generally that it is 50 / 50 ( with a slight bias to up ....ex..52 / 48..
etc.) where the next day will close ...up
or down....
looking back at the past data....we then are looking for Patterns ( I have
created explorations in AMI to do this also ) which gives the probability of
the following.
Example:
Will Monday close up if Friday is less than thursday, or Friday is greater
than Thursday..
Will Monday close Down if Friday is less than Thursday, or Friday is greater
than thursday.
HIT RATIO;
Simplified example:
9 wins * $ 1.00 = $ 9.00
1 loss * $ 10.00= (- $ 10.00 )
TOTAL...............= ( - $ 1.00 )
It should be the Quality of the Wins in relation to the Losses.
1 win * $ 10.00 = $ 10.00
9 loss * $ 1.00 = ( - $ 9.00 )
TOTAL..............= $ 1.00
Anthony
-------Original Message-------
From: amibroker@xxxxxxxxxxxxxxx
Date: Wednesday, April 30, 2003 6:25:25 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Systems for indices
BTW, reducing (atomicing) any system development, and also
the backtesting, to this absolute main goal (predict the next day
as up or down) makes IMHO everything much simpler and also
more reliable. Ie. the quality of any system should be measured
in how its "hit ratio" on average is, based on daily data of the past.
Not less and not more is required to develop a good system.
One should concentrate all efforts on this single issue only, ie.
trying to achieve the highest possible hit ratio on average.
Isn't it?
UM
----- Original Message -----
From: <uenal.mutlu@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, April 30, 2003 11:54 AM
Subject: [amibroker] Systems for indices
> Hi,
> I'm looking for systems which can predict on a daily basis
> whether a specific index will rise or fall the next day.
> It would be good if the hit ratio were >= 57 % on average
> for past data.
>
> For example for any of the following indices:
> Nasdaq composite (^IXIC)
> Nasdaq100 (^NDX)
> Standard&Poors500 (^SPX)
> Dow Jones Industrial (^DJI)
> or for any other index (fe. ^SOXX, ^BTK, ^XAU ...)
>
> Thx,
> UM
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