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This topic has been viewed 872 times and has 3 replies

hunter
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UNITED STATES
Joined: Apr 23, 2010
Posts: 21
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Impressive Graphs - Got one, put it here

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Russell 2000
3-31-2001 - 6-24-2010
Holds 30 Stocks
Daily Rebalance
Slippage 0% (I know, i know)
Ranking system - Private
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screen.png (20485 bytes) (Download Count: 158)

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Emotionless Investing

[Jun 28, 2010 4:32:21 PM]

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stumo
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Joined: Jan 24, 2006
Posts: 100
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Re: Impressive Graphs - Got one, put it here

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Thanks for publishing. For my own curiosity, will you re-run your great looking sim and publish your results using the following conditions:

1. AvgDailyTot(50) > 500000 and AvgDailyTot(5) > 500000

( I have difficulty trading illiquid stocks)

2. Price for Transactions: Next avg of high and low

3. Rebalance Frequency: Weekly, and also Daily

Thanks in advance,

Stu

[Jun 28, 2010 5:03:54 PM]

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dwpeters
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Joined: Feb 10, 2007
Posts: 659
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Re: Impressive Graphs - Got one, put it here

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Hi,
I don't really like the rule avg of next high and low. For short term strategies entries and exits can make a big difference, but I was curious what it would do to my screen.

1. AvgDailyTot(50) > 500000 and AvgDailyTot(5) > 500000
2. Price for Transactions: Next avg of high and low
3. Rebalance Frequency: Weekly, and also Daily

With 5 stocks, max 20% per position. Attached are daily and weekly with no slippage, and trading at opening price with original rules (different liquidity) and 0.5% slippage.

Don
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Graph1Daily.PNG (22563 bytes) (Download Count: 147)

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Graph2Weekly.PNG (23824 bytes) (Download Count: 146) (Not so good weekly)

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Graph3OrigSlip.PNG (22306 bytes) (Download Count: 146) (And with original rules, trading at the open, with .5% slippage)

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[Edit 1 times, last edit by dwpeters at Jun 29, 2010 12:14:31 AM]

[Jun 28, 2010 9:19:23 PM]

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tomsmith2010
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UNITED STATES
Joined: Nov 30, 2010
Posts: 6
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Re: Impressive Graphs - Got one, put it here

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Hi friends, i am happy to discover much useful information in the posts, writing sequence is amazing, I always look for quality message, thanks for sharing.

[Nov 30, 2010 10:26:55 PM]

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