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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 29th, 2011, 8:59 am

hello, here is a system i developed, the basic strategy is: at end of each day, use updated historical data and some algorithms to rank stocks, the next day select the top ranked stocks, of these stocks those which also pass certain criteria hold for 3 days and sell at the close of the third day. Its possible on certain days no stocks are selected to trade. If there are selected stocks allocate 1/3 of funds into these stocks evenlyso here are the results trading from 2006-2011:total return on equity: 38.64xreturn(annualised) 107.69%sharpe ratio(annualised) 29.58total trades 674total profitable trades 441profitable trades% 65.43%(Chinese index over the 5 years grew a little under 100%)
Last edited by Richyiee on January 29th, 2011, 11:00 pm, edited 1 time in total.
 
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MustafaCrap
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Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 30th, 2011, 6:41 pm

Is that a back tested system or one you developed in 2006 and walked forward ?
 
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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 30th, 2011, 11:26 pm

whats the difference
 
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TinMan
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Joined: September 21st, 2006, 9:42 am

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 31st, 2011, 10:37 am

The difference is that anyone can come up with a trading rule that 'would have' generated a profit.But if you do this with historical data you are just data mining, it is meaningless unless you have your rule a priori and trade with it.
 
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MustafaCrap
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Joined: January 29th, 2011, 9:12 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 31st, 2011, 11:59 am

Thanks TinMan. That was an odd question from Richyiee. But then again I've come across so many people who have developed systems based on backdated studies that were over fitted. In fact I'm sure someone brighter than I could make a convincing case for doing the exact opposite of what a found system tells you. Particularly when small sample sizes are involved.
 
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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 31st, 2011, 1:40 pm

i'll let you know in a few months if im broke ;p
 
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daveangel
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Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 31st, 2011, 1:49 pm

QuoteOriginally posted by: Richyieei'll let you know in a few months if im broke ;por rich !
knowledge comes, wisdom lingers
 
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tagoma
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Joined: February 21st, 2010, 12:58 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 31st, 2011, 7:02 pm

QuoteOriginally posted by: daveangelQuoteOriginally posted by: Richyieei'll let you know in a few months if im broke ;por rich !do you really think Richyiee will tell if he gets rich thank to his trading system ??
 
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daveangel
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Joined: October 20th, 2003, 4:05 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

January 31st, 2011, 9:07 pm

QuoteOriginally posted by: edouardQuoteOriginally posted by: daveangelQuoteOriginally posted by: Richyieei'll let you know in a few months if im broke ;por rich !do you really think Richyiee will tell if he gets rich thank to his trading system ?? I would if I got rich trading his system
knowledge comes, wisdom lingers
 
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axe
Posts: 37
Joined: January 23rd, 2010, 1:53 am

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 1st, 2011, 11:52 pm

If I may ask, what is the total number of parameters that you calibrate. This could probably hint if there is any data mining.
 
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sammus
Posts: 319
Joined: November 11th, 2003, 6:21 am

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 2nd, 2011, 12:25 am

Is it a long-short strategy or just long-only?
 
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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 2nd, 2011, 3:03 am

its a long only strategy, i monitor and calculate likelihood of large set of "events", high probability events are traded. The "likelihood" of events will change through time, e.g some high probable events from say i = 1:400 may be less probable from i = 400 onwards, these changes are accounted for in the system.
Last edited by Richyiee on February 1st, 2011, 11:00 pm, edited 1 time in total.
 
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Gmike2000
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Joined: September 25th, 2003, 9:49 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 4th, 2011, 11:17 pm

you sell at the close, but where do you buy? the open? once you have the signal, do you assume you get into the position the next day? if yes, how? i mean, you have to make an assumption on where you would get filled.
 
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Richyiee
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Joined: September 2nd, 2008, 5:20 pm

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 5th, 2011, 3:53 am

yes, next days open. Or most orders are able to get filled the next morning at todays close, although on average next days open is 0.002 lower than todays close so id be loosing a little bit of profits that way. btw are you making immature inuendos
Last edited by Richyiee on February 4th, 2011, 11:00 pm, edited 1 time in total.
 
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Anthis
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Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

February 5th, 2011, 11:46 am

QuoteOriginally posted by: Richyieeyes, next days open. Or most orders are able to get filled the next morning at todays close, although on average next days open is 0.002 lower than todays close so id be loosing a little bit of profits that way. btw are you making immature inuendosNothing immature. Finance is not about averages...
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