|
In this section you can find results of managing of test portfolios on the US and Russian stock markets
THE US STOCK MARKET
We decided to invest in 300 most liquid stocks of S&P500 on a one-day trading scale. Every day at the end of each trading session we analyze close prices of the 300 issuers using Steady Trading software. The program searches for the best performing stocks from the viewpoint of the set management strategy and generates advice as to opening of new positions provided there is free money or closing current positions. For more details on Management Strategy, see Management Strategy section.
.
List of recommendations is formed in the order of decreasing priority of recommended positions. List of recommendations (a link) provides the following information about a recommended order:
stock symbol, type of order (buy, sell, sell short and buy to cover)
,number of shares, recommended price. Market order is used to close a current position and Limit order to open a new one.
Then on the basis on the opening of the next trading session we execute recommendations in the order of decreasing priority. First we execute recommendations concerned with closing of current positions, if there is any, and then those concerned with opening of new positions in accordance with the list of recommendations.
The start capital of the portfolio is USD 100,000. The capital is divided in 10 approximately equal parts. Thus maximum number of possible open positions is 10. Once the cost of the portfolio has increased or decreased the limit of funds to be used for opening of new positions is calculated. Cost of transaction is 1.5 cent per share.
RUSSIAN MARKET
We have chosen to invest in 10 most liquid stocks of RTS index on a one-day trading scale. Every day at the end of each trading session we analyze close prices of the 10 issuers using Steady Trading software. The program searches for the best performing stocks from the viewpoint of the set management strategy and generates advice as to opening of new positions provided there is free money or closing current positions. For more details on Management Strategy, see Management Strategy section.
.
List of recommendations is formed in the order of decreasing priority of recommended positions. List of recommendations (a link) provides the following information about the recommended order:
stock symbol,type of order (buy, sell, sell short and buy to cover),number of shares,
recommended price
Market order is used to close a current position and Limit order to open a new one.
Then on the basis on the opening of the next trading session we execute recommendations in the order of decreasing priority. First we execute recommendations concerned with closing of current positions, if there is any, and then those concerned with opening of new positions in accordance with the list of recommendations.
The start capital of the portfolio is USD 100,000. The capital is divided in 5 approximately equal parts. Thus maximum number of possible open positions is 5. Once the cost of the portfolio has increased or decreased the limit of funds to be used for opening of new positions is calculated. Cost of transaction is 0.2% of a share price.
MANAGEMENT STRATEGY
Trading Strategy is a set of parameters of a trading method individual for each financial instrument. Thus, Trading Strategy is a precise method of generating of buy and sell signals built on the history of quotes.
Trading Method is a set of formulas for generating of buy and sell signals. The formula is a parametrical logical expression which as a rule consists of indicators of technical analysis. Parameters of the formula are very often periods of indicators of technical analysis.
EMA Crossover filtered by TRIX
Mathematical description of EMA Crossover filtered by TRIX:
The signal for opening of a long position appears once the following condition is true:
(EMA(Close(0),P1,1)<EMA(Close(0),P2,1)) and
(EMA(Close(0),P1,0)>EMA(Close(0),P2,0)) and
(EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,1) < EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,0))
The signal for closing of a long position appears once the following condition is true:
((EMA(Close(0),P1,0)/EMA(Close(0),P2,0)) > (1.0+P4/100)) or
(EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,1)>EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,0))
The signal for opening of a short position appears once the following condition is true:
(EMA(Close(0),P1,1) > EMA(Close(0),P2,1))and
(EMA(Close(0),P1,0) < EMA(Close(0),P2,0))and
(EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,1)>EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,0))
and (Close(0)>7.0)
The signal for closing of a short position appears once the following condition is true:
((EMA(Close(0),P1,0)/EMA(Close(0),P2,0)) < (1.00-P4/100)) or
(EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,1) < EMA(EMA(EMA(Close(0),P3,0),P3,0),P3,0))
Additional conditions:
P1<P2,
Where,
EMA(Close(0),P1,0) is an exponential moving average calculated at the current point at closing with period P1,
EMA(Close(0),P1,1) is an exponential moving average calculated at the previous point (a one-day shift back) at closing with period P1,
P1, P2, P3, P4 - parameters with variation limits equal to
P1=1,2, ….39,40
P2=3,4, ….49,50
P3=3,4, ….24,25
P4=1,2, ….16,17
Physical sense of the formula is shown on the graph below:
On the basis of the above method a capital management strategy with the following parameters has been created:
| Initial capital $100 000 |
| Broker’s fee $0,015 çà àêöèþ, |
| Maximum allowed number of open positions10 |
| Decision-making scale 1 äåíü |
| Stop Loss Value 3.0 % |
| Take Profit Value 8% |
| Number of active stocks in the strategy 100 |
The above strategy has been employed to manage a portfolio on the US stock market for a year and produced the following results:
| Profit 250.32 % |
| Lost Trades/Total Trades Ratio 17.56% |
| Maximum Equity Loss 2.41% |
| Trades Won 324 |
| Trades Lost 69 |
|
