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Anthony,
I was meaning that the prediction should be done
using a real world system which takes care of indicator
values etc. Simply said, using a "normal" system, but which
is specialized on one index or ticker only and gives for
each day an up/down forecast. If this is done for all trade
days and over a longer periode then the statistics (hit ratio)
will give a good indication on the overall quality of the system.
So, what is the difference of this approach to "normal" systems:
- here the system has to predict the outcome of every trade day
(this is mostly not the case with usual systems; they enter a
position and stay longer than a day in the trade)
The chance is of course 50:50, but I'm a believer that this should
be improvable using TA,FA, maths etc.
I'm currently testing such a system which has a hit ratio (correct
prediction of the next days outcome as up OR down for all in N100)
of about 56%. Somewhere I had read (I think it was in Jeff Cooper's
book) that he on average has a hit ratio of more than 60%. Such a
beast I would like to have.
BTW, the 56% hit ratio translates to about 851 to 495% profit since
10/1/2001 (that's in 19 months; for simplicity without counting commissions)
depending on the number of securities one trades per trade (1 to 5 tested).
The risk is about only 2.8% of the initial cash.
Using a smaller period in the indicators used within the code increases
the chances but at the same time also the risks (what else? :-). It brings
even 1039 to 393% (again for 1 to 5 securities per trade), but the risk now is
about 11.6% of the initial cash.
So, if the results are good also for other and longer time frames, then
I think I've found the Holy Grail (HG), don't you think so? :-)
UM
----- Original Message -----
From: "Anthony Faragasso" <ajf1111@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, April 30, 2003 3:23 PM
Subject: Re: [amibroker] Systems for indices
> 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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