Thursday, August 29, 2013
TSI-Vector Strategy Applied to 13 Ticker Symbols
In the left panel of the homepage you will now find links to 13 ticker symbols that have received my best 'TradeStation Walk-Forward Optimization' effort. Clicking on one of the links will take you to an overview of how relatively successful my TSI-Vector Strategy was with that particular security on a daily trading basis, and includes links to all of the other ticker symbols studied.
My expectation is that by this weekend I will have completed the next phase of my work, which is to prepare for the public communication of the real-time trading signals generated for each ticker symbol and to provide a mechanism for their recording.
An unusual feature of the strategy is that all trades - both entry and exit - are conducted at the opening bell of the NYSE at 9:30 am EST with a simple market order. Another feature is that the computer will give me the signals on the preceding day at 4:01 pm EST - and from there I will be able to post the details soon thereafter. These features, should the strategy prove worthwhile, will be really convenient and easy for everyone's use.
Once I got a ways into my work with the TradeStation WFO (Walk-Forward Optimizer) I discovered that the reliability of its output is contingent on the strategy delivering a minimum of 400 trades for analysis. This was extremely disheartening to me, as nothing I was testing would deliver that many trades. My concluding run of the S&P 500 ETF (SPY) covered the daily price movement of 20 years, yet amounted to only 235 trades. The gold ETF (GLD) only goes back 9 years and my long only strategy generated just 41 trades.
So what I am trying to say is that these strategies may not work. It is entirely possible that their sample size (ie number of trades) is insufficient for reliability. But to be fair, it is possible that they will work, just the same. At this point we really don't know.
I'll post the trades daily, update a spreadsheet that records the signals, prices, etc., then we'll just watch and see what happens. It'll be another adventure - and hopefully an adventure with a beautiful rainbow or pot of gold at the end.
By the way, if you find a link or picture or whatever that does not seem to be working properly, please let me know. No doubt I have juggled so many balls for 16 hours a day to produce this that I have overlooked something. I will appreciate your input. Thanks.