Gallery 1 - Intraday NASDAQ Futures E-Mini
Gallery 2 - Intraday S&P Futures E-Mini - (also see S&P Channel Tutorial)
Gallery 3 - Stock selection example with S&P
Gallery 4 - Juniper Networks (JNPR)
Gallery 5 - Apple Computer (AAPL), DELL Computer (DELL)
S&P STOCK INDEX - blind, walk-forward
test example as a proxy for stock trading
Q) How can I choose the best stocks -- that can perform well for at least a few months?
A client sent me a bunch of stock quote data files and asked me the above question.
While I can't do this for everyone who asks, I decided to use the S&P index as a
proxy for stocks in general -- to show how I typically analyze and choose stocks:
I've shown three files: one is the S&P from 990802 to 010731 --
about two years -- and the next is the S&P from 990802 to 011031 -- two years
plus 3 months. I used the S&P cash index from Yahoo (^spx), as captured by
Personal Stock Monitor (PSM).
The S&P is the best proxy for a generic stock, since up to 90%
of an individual stock's movement can be attributed to the effect of the
general underlying market.
I tested the "2-year" file first, applied the best parameters and charted
Total Equity (long plus short). Then did the same with the "2-year plus
3-month" file but I used the optimal parameters from the 2-year
optimization. You can see by looking at the "2-year plus 3-month" Equity
Chart that the final three "blind" months are even better than the previous
optimized period.
For convenience I also included an enlarged view that includes the final 3
months. You can see that the unoptimized 3-month Total Equity actually
rises when the market crashed beginning about 010806 (Aug. 6). This means
that the short side of the system went short, AND the long side of the
system went flat in time to avoid the crash.
Then, when the market rebounded off the bottom, the system caught that move
as well, adding still more profit to the Equity Line, starting on about
010921 (Sept. 21) -- all this took place during the post-optimized period.
Interestingly, the 9/11 disaster was not the start of the market decline.
It doesn't even stand out on the chart. It simply appears to be a further
acceleration of the already existing down-leg and the final push that shook
out all the weak hands. This resulted in the bottom on Sept. 21 and the
subsequent rebound. During all this period the system Total Equity Line marched
smoothly upward, making money in both market directions.Overall, the system gained 1965.427 S&P points -- or about 148% in 2.25 years.
FYI -- if you were trading the S&P futures that would be $491,356.75 in profits.
