|
Tested Period (out-of-sample): from 07/01/96 to 04/17/98
Number of Days Tested: 454
The shown results are compared with a Buy &
Hold strategy.
1. Traditionally Computed MACD Indicator
1.1 Graph
1.2 Statistics
|
Controlled Equity Curve at 04/17/98 [$]
|
11.234
|
|
Gross Profit vs. Buy & Hold [$]
|
0.67
|
|
Number of Trades
|
13
|
|
Winning Trades [%]
|
46
|
|
Average Profit [$]
|
0.91
|
|
Average Loss [$]
|
-0.69
|
|
Average Profit per Trade [$]
|
0.05
|
2. Five-Day Predicted MACD Indicator Using KnowledgeMiner's
Analog Complexing Method
These results were obtained implementing the following
daily procedure:
(Blue colored steps are user-driven. Red colored tasks
are completely solved by KnowledgeMiner using a special
simulation module inside KM).
- I. Data Base
- i. Updating the data base
with the equity's actual close price and share volume
- II. Modeling/Prediction using
KnowledgeMiner's Analog Complexing Method
- i. Searching for several most
similar market patterns on the updated data base
- ii. Generating several 5-day
out-of-sample predictions and combining them to a
most likely prediction
-
- III. Applying Predictions to
the MACD Indicator as a Decision Model
- i. Calculating the indicator
on historical and predicted price data
- ii. Generating a signal on
the predicted indicator
- IV. Decision
- i. Trading if a buy/sell signal
was suggested using the next day's close price
-
2.1 Graph
2.2 Statistics
|
Controlled Equity Curve at 04/17/98 [$]
|
14.562
|
|
Gross Profit vs. Buy & Hold [$]
|
3.99
|
|
Number of Trades
|
11
|
|
Winning Trades [%]
|
64
|
|
Average Profit [$]
|
0.75
|
|
Average Loss [$]
|
-0.32
|
|
Average Profit per Trade [$]
|
0.36
|
Other tests:
INTEL
SUN MICRO
|
