C****a
发帖数: 1639 | 1 【 以下文字转载自 Stock 讨论区 】
发信人: Caspia (情人草), 信区: Stock
标 题: Adaptive strategy, a backtest
发信站: BBS 未名空间站 (Tue Apr 26 14:24:03 2011, 美东)
Simple strategy:
rsi.tf.2 (trend following): buy RSI(2) > 50; short RSI(2) < 50
rsi.cf.2 (mean reversion): buy RSI(2) < 50; short RS(2) > 50
bah: buy and hold
Adaptive strategy:
For individual stock, choose the best simple strategy based on a secret
measurement.
For a group of stocks, choose five best strategies based on the same
measurement.
Here is the backtesting results for AMAT/AAPL and NQ100 stocks.
Pretty amazing performance for NQ100
Without considering erosion, the total returns is 157900%, since 1999
When considering erosion (commission), the total returns is 141400 % since
1999, while CAGR is 93.3%, and
max drawdown is 36%.
The commission adjusted performance is better than the new livermore index:
http://cssanalytics.wordpress.com/2010/03/11/new-livermore-acti | K**********r
发帖数: 2640 | 2 Question：
1.为什么要RSI(2)?
2.Strong trend下 RSI(2)有啥意义？
如果是持续强势上涨，那rsi(2)>50就烧，估计得烧死。
如果是持续强势下跌，那rsi(2)>50就进，估计得摔死。 | C****a
发帖数: 1639 | 3 A prove of concept demo.
You can put any simple strategies into the system to let the system select
which one to use.
If one simple strategy doesn't work, it will be automatically eliminated.
If RSI(2)-trending lose power, it will automatically switch to RSI(2)-mean-
reversion, or bah. a.k.a, be
adaptive.
【在 K**********r 的大作中提到】
: Question：
: 1.为什么要RSI(2)?
: 2.Strong trend下 RSI(2)有啥意义？
: 如果是持续强势上涨，那rsi(2)>50就烧，估计得烧死。
: 如果是持续强势下跌，那rsi(2)>50就进，估计得摔死。
| K**********r
发帖数: 2640 | 4 他这些list是good for the next week，还是good for the past week? 中间什么时候
进行的trade?
https://cssanalytics.wordpress.com/category/ranking/ | S***a
发帖数: 1072 | | C****a
发帖数: 1639 | 6 Of course next week. Rebalance on Friday.
【在 K**********r 的大作中提到】
: 他这些list是good for the next week，还是good for the past week? 中间什么时候
: 进行的trade?
: https://cssanalytics.wordpress.com/category/ranking/
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