FinRaptor

Forecasting the financial world

-> 21) Historical results

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Comments on Historical results.

This is a simple version. You can find a more detailed, technical version on the site FinRaptor2.

We have published the historical results of three financial instruments, that is the German Dax, the American Dow Jones and the Italian FtseMib. These are the indexes and obviously you will operate on the related futures or so, not in the exposed data. The data are analogous, for our purposes, to the future.

 

ALL THE OPERATIONS ARE OPEN ON OPENING PRICE AND CLOSED ON THE OPENING PRICE ALSO.

 

As elsewhere stated, the applied commissions are:

0.4% round turn for the listed instruments (that is 0.2% when opening and 0.2% when  closing).

0.031% round turn for currencies (that is 2 pips about when opening and 2 pips about when closing).

 

There are elsewhere (again)   the current open operations, not included here. You can consider the calendar dates, so you can be informed about this.

On the Historical results tables, the first column is the beginning of the period and not necessarily the date of an operation, while, analogously, the second column is the end of the period and not necessarily the closing date of an operation.

The dates are in the Canadian protocol, that is year/month/day. 

 

In every period there can exist more than one operation.

Optimizing the algorithms, DAX and FTSEMIB had the best results with 100 working days periods, while DOWJONES Industrials Average had the best results with 50 working days.

 

This depends on the criterion followed when testing the historical series.

It seems that DowJones is more mature and less derivative, that is more impulsive: we executed the tests in shorter, frequent periods and the forecast is no more affordable beyond fifty days.

 

For DAX and FTSEMIB the series are more stable: this can be considered best of worst, but it is not a problem.

 

So, now we can look at a period to carry out with the purpose to clarify the matter, and the period that we will consider is the first of the Dow Jones, from 2005/03/28 to 2005/06/07, that is fifty working days in the stock exchange itself.

 

On the straight fifty days, the gain was 3.8180% and yearly calculated it was 19.2428%

The two operations executed : one on the short side from 2005/03/28 to 2005/04/21 and one on the long side from 2005/04/26 to 2005/06/07.

 

The system was using 46 parameters and 5 functions regulated on the previous test period.

Obviously, in its turn, we will insert the current blind period in the next test period.

The last test period ended ten days before, that is ten working days before 2005/04/26.

 

You understand that the operations are a lot and moreover we are giving a general idea of the system.

 

The system is around from 1978: only in this period, after 34 years it is consistent. We will  clarify all the matter on the future. For the moment you should consider yourself as a common investor that observes the system from a simple perspective, simply because we have not yet told you what we are thinking to say.

Moreover, we don’t know well what to say (that is to write): we shall find a measure in the middle.

We will try to say enough without saying too much.

In every case, the system is not a follower of the technical analysis. With years of experience, we have discovered that there is nothing to discover, simply  because linear mathematics are not applicable.

For the moment, we add one clarification: there are many things that we can (and  will) offer to you at no charge, such as a revolutionary regression to calculate the trends, that differs from the traditional methods.

We will exhibit these things when the reader has appreciated the system, otherwise the readers will undervalue our work.

Write us, we do not know well what you would know.

 

Bye.

                                                        Ernesto Giorgi

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