Saturday, 26 May 2012

ACHL analysis

Some initial results for the people from ACHL

Below is the listing of the trace elements, company, average percentage increase and max percentage increase for ACHL for the last 1.5 years, a period that is relevant for these calculations but not too distant as to mar the results.

I have designated my trace elements as alphabetic characters, so for the first line, for the first column, each of the letters a, f, m and o designate different elements to a formula - the individual elements being concatenated to produce the full trigger.

Just as a note and to back up the previous post, the formula for 'a' is 'trigger on psar on open and psar on close together' - below you will see the figures for just element 'a' in the second section.
(and just for info, 'f' is related to the adx, 'm' is related to the macd, and 'o' is related to the vi)

The last 2 columns are the average percentage increase using this trigger over the subsequent 5 days and the  maximum percentage increase over the same period. The percentages are calculated on the next day's opening price, the approximate price at which we would buy.

afmo               ACHL                                               113.3                  113.3  
afn           ACHL                                               113.3                  113.3 
afno         ACHL                                               113.3                  113.3
afo         ACHL                                               113.3                  113.3
ag       ACHL                                               113.3                  113.3
agl         ACHL                                               113.3                  113.3
aglm           ACHL                                               113.3                  113.3
aglmn        ACHL                                               113.3                  113.3
aglmo           ACHL                                               113.3                  113.3
agln       ACHL                                               113.3                  113.3
aglno          ACHL                                               113.3                  113.3
aglo          ACHL                                               113.3                  113.3
agm          ACHL                                               113.3                  113.3
(this is only part of the report)

We have quite a few formulae that indicate not only that the trigger to each of these formula gives one answer and that answer is that the stock will rise but also that these are quite separate and different formula, even though all have the element 'a' in them.

If I scroll further down the report to get away from the 'a's I get:

a                ACHL                                               65.3                   113.3
bgo             ACHL                                               45.3                   128.2
bdgo             ACHL                                               45.3                   128.2
bcgo            ACHL                                               41.1                   122.8
bcdgo          ACHL                                               41.1                   122.8
bcego            ACHL                                               36.3                   108.6
bfglo             ACHL                                               36.3                   108.6
bfgo                ACHL                                               36.3                   108.6
bdego            ACHL                                               36.3                   108.6
beglo                ACHL                                               36.3                   108.6
bdfgo                ACHL                                               36.3                   108.6
(this is another part of the same report)

What we can see here is that taking 'a' out of the equation reduces our average percentage increase, but increases our max percentage, but only temporarily... it may appear that the above report is ordered by the first column (which is a random select of elements designated a lower case character) but in fact the list is ordered by the third column, average percentage increase; the interesting aspect is that the same elements appear repeatedly in the high probability, high percentage formulae.

Lets focus on the top listing as this lists formulae that if triggered yield the highest probability of a rise. I was not expecting to see so many different formulae giving the same result, this is quite interesting, I was expecting only 1 or 2 triggers, and I will be investigating further. I need to think a little more about this - but what I can do is post here when the formulae in the top section get triggered in the near future for ACHL.

Another aspect that is interesting and also beneficial to the processing time is that the highest yielding formula have between 3 and 6 elements only. This is also a surprise. Percentages fall off rapidly after 7 elements, and there is little use in calculating these - most 7 and 8 element triggers return no results and so there is no point in adding even more elements, and 1 and 2 element triggers mostly yield inadequate percentages. What this means is that for 26 elements, instead of calculating 67,108,862 iterations, the trace will only need to process 313,560 combinations.

1 comment:

  1. Just to say that I am monitoring this trigger and it has still not fired - ACHL currently 29.28