Experiments in Technical Analysis

Dear friends,

I have completed the testing of Karthik's MABIUTS and some variations of the same under different conditions. A set of 30 randomly selected stocks was used for testing. Each stock was tested under a set of different conditions. The conditions were:

1. Long term-I, from 1st Jan 2005 to 30th Sep 2006.
   This time period is my selection. I will explain later why I selected this range.
   
2. Long term-II, from 1st Jan 2002 to 30th Jun 2003.
   This time period was suggested by Sanjay. I request him now to explain why he suggested this period.
   
   The above two time periods are common to all stocks tested.
   
3. Range Bound: A period in which the individula stock is in a range bound trading zone, not showing any significant trend. This period is different for different stocks.
   
4. Down Trend: A period of time when the stock is in down trend. But it is not the same as the period when whole market is crashing. Again this down trend period is different for each stock.
   
5. Market Crash: Three different periods of time when the whole market is crashing down. These three periods are:

• CRASH-I : 14th Feb 2000 to 23rd May 2000,

• CRASH-II : 23rd Apr 2004 to 24th Jun 2004 and

• CRASH-III : 10th May 2006 to 14th Jun 2006

These three periods are also common to all stocks.

In all there were seven sets of conditions.

In addition to this I have tested four different strategies:
i) The MABIUTS strategy described by Karthik. I call this MABIUTS-K strategy
ii) A minor modification of the above strategy which I call MABIUTS-X strategy
iii) A similar EMA based strategy which I call MABIUTS-M strategy and
iv) Another modification of the Karthik's original which I call MABIUTS-H strategy

In this way I have tested 30 stocks with four strategies under seven different market conditions. In all, this generated a set of 30 X 4 X 7 = 840 sets of results.

In this post I am giving the summary of these 840 result sets. I am listing these for each strategy in terms of number of profit making stocks, number of loss making stocks, maximum and minimum profit made(as percent of intial investment), maximum and minimum loss made(as percent of initial investment). The whole summary is also tabulated and is available as a PDF attachment with this post. In the attached PDF file, NVS means No Valid Signal.

In subsequent posts, I will give a detailed account of the whole study, the description of the four strategies and the corresponding AmiBroker AFLs for them.

All these results were manually generated. No mechanical Back testing was used. Only the BUY and SELL signals were generated by programming in AFL. All the calculations were performed in MS Excel and manually checked.

Now here is the summary of the results:

I) MABIUTS-K Strategy
Long Term-I:
No. of Profit making Stocks = 23
Max Profit = 365.83%, Min Profit = 6.95%
No. of loss making stocks = 6
Max Loss = 94.08%, Min Loss = 2.96%
NO SIGNAL generating stocks = 1

Long Term-II:
No. of Profit making Stocks = 18
Max Profit = 183.39%, Min Profit = 0.26%
No. of loss making stocks = 8
Max Loss = 37.87%, Min Loss = 2.25%
NO SIGNAL generating stocks = 4

Range bound:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 12
Max Loss = 9.59%, Min Loss = 0.01%
NO SIGNAL generating stocks = 18

Down Trend:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 7
Max Loss = 19.85%, Min Loss = 5.83%
NO SIGNAL generating stocks = 23

CRASH-I:
No. of Profit making Stocks = 1
Max Profit = 9.99%, Min Profit = 9.99%
No. of loss making stocks = 11
Max Loss = 29.34%, Min Loss = 0.26%
NO SIGNAL generating stocks = 18

CRASH-II:
No. of Profit making Stocks = 1
Max Profit = 0.44%, Min Profit = 0.44%
No. of loss making stocks = 3
Max Loss = 37.13%, Min Loss = 8.20%
NO SIGNAL generating stocks = 26

CRASH-III:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 2
Max Loss = 11.72%, Min Loss = 5.71%
NO SIGNAL generating stocks = 28

*****************************
II) MABIUTS-X Strategy
Long Term-I:
No. of Profit making Stocks = 23
Max Profit = 374.28%, Min Profit = 12.90%
No. of loss making stocks = 7
Max Loss = 43.40%, Min Loss = 2.08%
NO SIGNAL generating stocks = 0

Long Term-II:
No. of Profit making Stocks = 10
Max Profit = 180.43%, Min Profit = 15.07%
No. of loss making stocks = 16
Max Loss = 90.42%, Min Loss = 1.19%
NO SIGNAL generating stocks = 4

Range bound:
No. of Profit making Stocks = 3
Max Profit = 3.94%, Min Profit = 2.31%
No. of loss making stocks = 20
Max Loss = 20.80%, Min Loss = 0.01%
NO SIGNAL generating stocks = 7

Down Trend:
No. of Profit making Stocks = 2
Max Profit = 1.37%, Min Profit = 0.51%
No. of loss making stocks = 16
Max Loss = 46.37%, Min Loss = 1.18%
NO SIGNAL generating stocks = 12

CRASH-I:
No. of Profit making Stocks = 2
Max Profit = 7.61%, Min Profit = 4.08%
No. of loss making stocks = 15
Max Loss = 33.83%, Min Loss = 0.62%
NO SIGNAL generating stocks = 13

CRASH-II:
No. of Profit making Stocks = 1
Max Profit = 1.13%, Min Profit = 1.13%
No. of loss making stocks = 10
Max Loss = 20.95%, Min Loss = 2.25%
NO SIGNAL generating stocks = 19

CRASH-III:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 3
Max Loss = 11.34%, Min Loss = 5.36%
NO SIGNAL generating stocks = 27

**************************
III) MABIUTS-M Strategy
Long Term-I:
No. of Profit making Stocks = 25
Max Profit = 559.08%, Min Profit = 21.81%
No. of loss making stocks = 5
Max Loss = 58.57%, Min Loss = 9.81%
NO SIGNAL generating stocks = 0

Long Term-II:
No. of Profit making Stocks = 13
Max Profit = 455.83%, Min Profit = 17.43%
No. of loss making stocks = 13
Max Loss = 170.84%, Min Loss = 7.38%
NO SIGNAL generating stocks = 4

Range bound:
No. of Profit making Stocks = 6
Max Profit = 13.83%, Min Profit = 5.35%
No. of loss making stocks = 24
Max Loss = 14.68%, Min Loss = 0.54%
NO SIGNAL generating stocks = 0

Down Trend:
No. of Profit making Stocks = 2
Max Profit = 6.49%, Min Profit = 5.79%
No. of loss making stocks = 28
Max Loss = 39.45%, Min Loss = 1.76%
NO SIGNAL generating stocks = 0

CRASH-I:
No. of Profit making Stocks = 4
Max Profit = 20.60%, Min Profit = 2.83%
No. of loss making stocks = 21
Max Loss = 68.30%, Min Loss = 0.21%
NO SIGNAL generating stocks = 5

CRASH-II:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 26
Max Loss = 31.25%, Min Loss = 0.22%
NO SIGNAL generating stocks = 4

CRASH-III:
No. of Profit making Stocks = 1
Max Profit = 0.63%, Min Profit = 0.63%
No. of loss making stocks = 20
Max Loss = 33.27%, Min Loss = 0.34%
NO SIGNAL generating stocks = 9

************************************
IV) MABIUTS-H Strategy
Long Term-I:
No. of Profit making Stocks = 30
Max Profit = 1520.48%, Min Profit = 34.20%
No. of loss making stocks = 0
Max Loss = NIL, Min Loss = NIL
NO SIGNAL generating stocks = 0

Long Term-II:
No. of Profit making Stocks = 26
Max Profit = 895.87%, Min Profit = 26.77%
No. of loss making stocks = 0
Max Loss = NIL, Min Loss = NIL
NO SIGNAL generating stocks = 4

Range bound:
No. of Profit making Stocks = 27
Max Profit = 76.43%, Min Profit = 0.35%
No. of loss making stocks = 3
Max Loss = 8.40%, Min Loss = 1.40%
NO SIGNAL generating stocks = 0

Down Trend:
No. of Profit making Stocks = 26
Max Profit = 33.35%, Min Profit = 0.89%
No. of loss making stocks = 4
Max Loss = 4.41%, Min Loss = 0.97%
NO SIGNAL generating stocks = 0

CRASH-I:
No. of Profit making Stocks = 21
Max Profit = 91.07%, Min Profit = 2.30%
No. of loss making stocks = 3
Max Loss = 21.82%, Min Loss = 5.45%
NO SIGNAL generating stocks = 6

CRASH-II:
No. of Profit making Stocks = 23
Max Profit = 35.63%, Min Profit = 0.67%
No. of loss making stocks = 3
Max Loss = 13.01%, Min Loss = 1.24%
NO SIGNAL generating stocks = 4

CRASH-III:
No. of Profit making Stocks = 26
Max Profit = 25.89%, Min Profit = 1.13%
No. of loss making stocks = 4
Max Loss = 6.67%, Min Loss = 1.48%
NO SIGNAL generating stocks = 0

***************************

More details will be posted later, tomorrow or latest on Monday.

I invite all of you to go through and post your views, suggestions and comments.

-Anant

Attached Files

Summary.pdf (8.2 KB, 110 views)

hi asnavale great work.keep it up.Will download pdf and study it
thanks for making available your findings
rpc

Hi Ananth

WOW... couldnot find any other word...

That was truly an exhaustive study.

I am early awaiting more information on this. From the data available my initial comments are as follows

Your Mabiuts-H seems to better all other strategies. Looks like it has strategy on the shortside also looking at the profitable trades during the crash. Will wait for more info on this.

The mabiuts-K strategy which has only long side strategy seems do well to keep one mostly out of the market during sideways markets and crash time..

Excellant work ... awaiting further posts on this..


warm regards

Karthik

30 X 4 X 7 = 840 sets of tests. ..and that too with manual compiling of results!!

Hats off to you Boss! Great work!

Thanks a Ton for sharing the interesting summary.

I am sure now everyone (including me) would want to know about the modification in your H variant of Karthik's Mabiuts System.

Now to answer your question, nothing too complicated there.

Just by visual inspection of the index charts I thought that the above period would be tough for a crossover/trend following system. That was the only reason I suggested it to you.

After going through the results of your tests lets try to see if it is so? I will just list back a comparison of the two time periods from your results.


------------------Long Term-I-----|-----Long Term-II
-----------------Profit - Loss mkg-|-Profit - Loss mkg
K STRATEGY ---- 23 ---- 6 -------|--- 18 ----- 8
X STRATEGY ---- 23 ---- 7 -------|--- 10 ---- 16
M STRATEGY ---- 25 ---- 5 -------|--- 13 ---- 13
H STRATEGY ---- 30 ---- 0 -------|--- 26 ------ 0

Once again let me congratulate you on your diligent work and sprit of sharing which I am sure has been infected on to you by the originator of this thread.

Warm Regards
Sanjay

dear asnavale,

thanks for the elaborate testing and sharing of the results.
particularly, the professional approach adopted for testing is wonderful.
the spirit of sharing has made this forum unique and enjoyable.

we look forward to more details on settings and other environmental information.

thanks a lot once again.

murthymsr

Hello Anant

I have a comment about the analysis of Crash periods.

Lets take the latest case as an example. Now here if we are testing the system performance from 10th May 2006 to 14th Jun 2006, it infers that we have started using the system from 10th May 2006 .

This would not be the case in real life. Normally the crash comes when all the trend following systems are going full guns and one has full exposure (ofcourse, as per our money/risk management Rules, ).

It would be interesting to find out how does a system perform if we consider a starting portfolio, for which all the old buy/sell signals (previous to 10th May in this case) which are open are also considered.

May be you have already done it. Just my 2 cents ...

Regards
Sanjay

Friends,

Thanks for all your encouraging words and interest shown. Dear Karthik, it was your beginning of this thread which made me get involved in this study. So, most of the credit goes to you.

Dear Sanjay, thanks for your keen interest in this work. Now I understand why you suggested Jan 02 to Jun 03. By looking at the results I too had a feeling that there is some definite difference. Mostly the gains in this period are lower. As far as the three periods of market crash, I would be dealing with them in my next post. The summary I have posted is based only on individual stock performance. In my later posts I will give the performance of all stocks as a single portfolio, which would be more realistic for overall comparison. And I hope it will also help us in adjusting our portfolios in a better way.

Murthy, Karthik, Sanjay, rpc and others who have appreciated the work and are keen to know more details, I am explaing in full detail each step of the study beginning from the selection of the 30 stocks in my posts tyhat will follow. As the whole material is quite large I will be putting down these details in parts, posting one at a time each day. At the end of it I hope it will encourage many more newbies like me to take up TA more seriously and come out with newer and better ideas. Also I hope it will be helpful to every one to plan their experiments with more elaborate planning.

Thanks once again to all of you for the interest with which you are following this thread and encouraging me to understand and make use of TA for real life trading.

-Anant

Dear Anant
Iam a new mwmber, just joined this Trderji forum. I am a beginner to trading too. I am interested in TA and I straight away stumbled into this great thread. Just what I needed. Looks like I have a lot of things to learn and this forum is going to make it very easy for me.

From the details you have given in your "Summary of Tests" I wonder what more details will follow from you. Seeing the enormous data you have generated and tested I just can't believe! How on earth you could think of so many details, options and coditions for your study? Are you a professional? I can't even imagine this much of planning. You say you are a newbie. But seeing what you have posted I don't think so. When you post all details you may be called a wizard. It is a big lesson to starters like me. Your whole study itself may turn out to be a course on TA to me. Eagerly waiting for more from you to learn more. Great work. Keep it up. I have no words to describe what I feel after seeing your "summary". It appears to be a tip of the iceberg. Show us the iceberg itself. Thanks.
***Uma***

Dear Anant;

Great work.......

And thanks for sharing with the members.

Awaiting ur detailed strategy & details of MABIUTs-H.

regards.

Hi,
Please find attach EOD chart of Geometric software. It has reached the support price. Is is caught in an upward trend channel.
Also note the decrease in volumes as it reaches the support.
Based on this is it a BUY signal @119-122.

Can some experts please confirm my observation on this chart.

Thanks and Regards,
Vikranth