Recent content by galilean

As I said, the 2007 performance is consistent with the backtesting, around 50%. I don't have most recent performance data because my computer crashed recently and I lost a lot of data. I will post the new graph when it is available.

I don't understand why? I thought this is exactly why we need a model that is backtested.

My idea was primarily inspired by the text book "Mechanical Trading Systems - Pairing Trader Psychology with technical analysis" Wiley 2005, by Richard Weissman. Do traders really use some models that are backtested or they just use their sense to trade?

Yeah, there is always some unexpected risk, no matter how good your model is. But this is the life in this kind of business, right? Otherwise, I'd put my money in savings account.

A question to this community: Are the trading houses normally use a model for their trading activity? Do they do backtesting and then follow the model for trading? Or do they use a model just for assistance?

There is no special handling for survisorship bias. But it's unlikely that a company will be picked up by my model when it's going to be out of business next day.

Thanks for all the comments. My model is based on MACD which is, yeah, lagging in its nature. Also, it does long only (no shorts), so if the market keeps going down, it will not make money. This is the situation around 2003. I know many people were losing big money around that time, so I'm...

Jack, actually, I'm not closing my positions at the end of the day. And I mostly hold stocks for 1 or 2 weeks. Also, the MACD I'm using is quite different from the one you usually find in other software package or text books, and I'm not simply using crossover as triggers.

Thanks for the tip. The reason for me to develop this model is that I want to overcome my emotion and reduce all the stress. I did some paper trading and compared with this model. After 3 months, my model won, despite all the time and stress I put in. I'm sure some people can do better than...

Acutally, it only does 5 to 10 trades a day. Ideally, those trades should be done a few minutes before market close because my model is based on the daily close prices. You only hold up to 7 stocks. I created a software for it. It can download the latest quote, do some analysis and displays...

My model is based on two modified MACD signals which trigger both buy and sell signals. So, depending on the market condition, it may behave weird. This is my hobby project. It is not an easy job to get the clean historical data. It took me long time to verify the data back to 2000 - this is the...

The problem is that I don't have enough capital to start with. From my study, I need at least $200K to get it started. I also don't have time for that.

I have spent a lot of time in the past few years on studying the stock market. I recently developed a model which seems to be quite promising. My model is for trading stocks (long only, no short, but it might the next step). Back testing has been done based on daily close price starting from...

I'm a software engineer. I have spent most of my spare time in the past few years on studying the stock market. I worked out a model which seems to be quite promising based on backtesting. In particular, my model trades stocks only (no short). It might take 10 to 20 minutes to make around 5...