Simple Tools for Testing Trading Ideas

asr: all this 'vertical solutions' tools and mainly this F score and T score concept can be used to test Trade Alchamby systems and to examine the results.
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asr: this Tradestation code is simple to do , for OIL we can do it on USO intraday data or @CL . we do not need intraday we can do it on EOD data .

- doing this kind of simple test reveals good trading setups on OIL , GOLD , SOY beans/OIL etc..
- few people do this kind of test on commodities , and that to with VP data we can have edge. we can add like PTM/PTL increasing in last 2 days with Nindex as 1 to this condition by querying VP data ( based on date) with .csv file loaded and Easy lang. code reading and loading .csv data into TS array.

testing trading ideas:

Three simple tools:

1. Historical Data
2. Software to test the idea with
3. Two statistics to evaluate the test results

One simple process:

1. Translate an idea into the testing software
2. Run the software and generate the results from testing the idea
3. Evaluate the results using two statistics: t score and optimal f
4. Evaluate the evaluation (what are the results saying?)

Idea #1b: What happens after c > o for each of the last five days and the market is up at least 1%?

In TradeStation that idea looks like: ( asr: wow. very simple easy code )

countif(c[0] of data1 > o[0] of data1, 5) = 5 // close is greater than the open on each of the last 5 days

c[0] of data1 > c[6] of data1 * 1.01 // close is greater than the close six days ago by at least 1%

The test is now:
Sell on the close and exit one day later (because of the negative expectation)

The results of this test are:
36/69, 52%, avg 11.8 pts, sd 8.3, win loss ratio 1.68, largest losing trade -$2157 (emini)
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How to read his test results, see below..
Idea #1: What happens after c > o for each of the last five days?

The results of the test (S&P futures since 1997) are:
44/88, 50%, avg -1.2 pts, standard deviation 8.7

(Historically there have been 88 trades matching the test, 44 have closed up the next day with an average loss of -1.2 pts for all trades with a standard deviation of the trade results of 8.7 pts which means that roughly 65% of the trades fall between -9.9 pts and +7.5 pts)
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Systems with ranks below 0.5 are suspect and should be examined and retested.

trend_day_indicator_validation

The trading system I built buys when the indicator is over 60% and the market is up and sells when the indicator is over 60% and the market is down. Trend following with the Trend Indicator.

The system exits at the end of the day. There are no stops, slippage or commissions.

The results for the e-mini futures contract 1998-present were:

434/742, 58%, avg 1.3 pts, sd 11.4 pts, t: 3.1

The t score of 3.1 means the results are significant to 3 standard deviations leaving little liklihood they occurred by chance alone. We were looking for a t score higher than 1.6.
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he is talking last 20 days high volume stocks of > $5 ( he is taking around 250 stocks he said )
http://www.verticalsolutions.com/forecasts/trend_high_vol_stocks.html
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Using Stops as Entry Filters



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