tweedle dee or tweedle dum

An interesting fight is currently being waged between 2 of my success coefficients - with the current proponents being QPP and SNRP (on the LSE).

Both companies had been tweeted yesterday.

The first coefficient relates to the number of trace formulae triggered; the second relates to the number of times the formulae have triggered in the past averaged over the triggered formulae.

The numbers respectively are:

QPP      37        2.946

SNRP    233     2.09

Of note are that all of the numbers for each company are outstanding, 233 is a very high number (and if you remember we carry out around 300,000 per company), with 2.946 also being a respectful number (and has the meaning that from all of the 37 formulae that were triggered yesterday, the number of times these were triggered and reached an 11.5% increase over the subsequent 5 days was 2.946, to get more than 2 triggers is extraordinary)

But lets say we need to go for one, which one to choose. Better number of triggers or better times triggered, or a relationship between these.

Currently today QPP is up 5.77% and SNRP is up 2.33%, so at the moment it is coming down on the side of tweedle dum (or success coefficient number 2), but I am now looking at the relationship between these numbers.

To complete the set for yesterday and as a note, the remaining tweets were:

PVCS  145  2.000

STCM  31   2.000

AGY     4    2.000

CYAN 15   2.000

For reference I have added these two success coefficients onto the tweeted information

all are equal

... but some are more equal than others.

The trace tweets are now ordered by not only the trace algorithm but also the success coefficients - if one had all the triggered results this would not matter, but the auto process only tweets five tweets - so now with added goodness at the top.

Top of the list for LSE is something called RBPI but as this doesn't seem to exist on either LSE shares nor Google Finance, the top one today for LSE is AST.

Markov

Delving deeper into Markov, and I see that the answer to the question to 'who uses Markov?' below is that oasis already uses Markov Chains to determine Stocks to pick.

Markov looks at individual states and presents percentage probabilities of outcomes. If we think of oasis indicators as states then the reporting system is producing the Markov products from the probability Chains.

Markov nicely formalized the generalized situations and gives a way to visualize what is going on.

The Markov Chain that oasis is trying to formalize is pretty specific and quite complex, by looking at the state of indicators in the current period and comparing to a desired outcome with maximal probability.

At least what I am trying to do has a name

balancing

And there was I thinking that what I was doing was akin to balancing an elephant on the edge of a razor blade. Markov is suggesting balancing said elephant on the tip of a needle; a lot of analysis and formulae have been composed in order to get predictions from the least amount of data; do people really use Markov Switching Multifractal ?, cos it is essentially, at least from my initial analysis, saying something to the effect 'what ever the price is now, take a prediction within a gaussian curve as to the price tomorrow, with the gaussian curve being derived by past analysis of the price movements, and dependent on volatility' - I am still going to program it in and see what comes out... Markov on the stochastics on the psar on the vi on close... sounds like something fun I need to do.

Anyone have any views on Markov ?

Markov Chains and Switching Multifractals

On my last research outing I came across Markov chains and switching multifractals and am looking into programming these in to supplement the trace and candlesticks.

its not 5 days

... but its pretty close.

As we can see from the below table, we've done pretty well on the 29th Jun to now, and the companies highlighted since then are looking encouraging.

Columns are LSE company, date of buy trigger, next days opening price, % increase over 5 days and % increase in 10 days


PDX   10-JUL-12   10.25      9.15    9.15
AGY   10-JUL-12   7.5      4.00    4.00
AUP3   10-JUL-12   6698      0.00    0.00
AST   10-JUL-12   2.405      0.83    0.83
PDX   09-JUL-12   10      11.88    11.88
AGY   09-JUL-12   7.55      3.31    3.31
AUP3   09-JUL-12   6744      0.14    0.14
RXP   09-JUL-12   3.5      5.71    5.71
SIE   06-JUL-12   66.4434      3.53    3.53
T47   06-JUL-12   122.838      9,898.13    9,898.13
PDX   06-JUL-12   10.5      6.55    6.55
AUP3   06-JUL-12   6658.95      1.42    1.42
RXP   06-JUL-12   3.525      4.96    4.96
SIE   06-JUL-12   66.4434      3.53    3.53
SIG   06-JUL-12   2856      0.49    0.49
PDX   06-JUL-12   10.5      6.55    6.55
CKSN   06-JUL-12   600      0.58    0.58
RXP   06-JUL-12   3.525      4.96    4.96
SIE   06-JUL-12   66.4434      3.53    3.53
SIG   06-JUL-12   2856      0.49    0.49
PDX   06-JUL-12   10.5      6.55    6.55
AGQ   06-JUL-12   14.32      8.24    8.24
CKSN   06-JUL-12   600      0.58    0.58
DNO   06-JUL-12   561.5      1.25    1.25
RXP   06-JUL-12   3.525      4.96    4.96
WSG   06-JUL-12   30.5      1.64    1.64
SIE   04-JUL-12   67.2      2.37    2.37
SIG   04-JUL-12   2770      7.65    7.65
PDX   04-JUL-12   10      11.88    11.88
AGQ   04-JUL-12   16.14      2.23    2.23
CKSN   04-JUL-12   613.5      1.87    1.87
DNO   04-JUL-12   557      2.06    2.06
RXP   04-JUL-12   3.7      1.35    1.35
WSG   04-JUL-12   31.5      4.29    4.29
SIE   03-JUL-12   67.36      2.02    2.12
SIG   03-JUL-12   2923      2.02    2.02
PDX   03-JUL-12   11.75      0.00    0.00
AGQ   03-JUL-12   16.8      0.65    0.65
CKSN   03-JUL-12   611      2.29    2.29
FUM   03-JUL-12   77.5      0.65    0.65
DNO   03-JUL-12   564      0.80    0.80
RXP   03-JUL-12   3.6944      1.50    1.50
WSG   03-JUL-12   33      0.00    0.00
SIE   02-JUL-12   67.145      2.35    2.45
SIG   02-JUL-12   2876      3.69    3.69
PDX   02-JUL-12   11.75      3.19    3.19
AGQ   02-JUL-12   15      13.17    13.17
IBTM   02-JUL-12   128.42      1.93    2.69
CKSN   02-JUL-12   605      3.31    3.31
FUM   02-JUL-12   77      1.30    1.30
WSG   02-JUL-12   34.35      0.44    0.44
SIE   29-JUN-12   66.65      3.11    3.21
PDX   29-JUN-12   12.5      4.00    4.00
AGQ   29-JUN-12   14.25      19.12    19.12
IBTM   29-JUN-12   128.2      2.11    2.87
CKSN   29-JUN-12   596      4.87    4.87
FUM   29-JUN-12   74.148      5.20    5.20
WSG   29-JUN-12   33.55      2.83    2.83
SIE   29-JUN-12   66.65      3.11    3.21
AGOL   29-JUN-12   5.5      0.00    0.00
PDX   29-JUN-12   12.5      4.00    4.00
AGQ   29-JUN-12   14.25      19.12    19.12
IBTM   29-JUN-12   128.2      2.11    2.87
CKSN   29-JUN-12   596      4.87    4.87
FUM   29-JUN-12   74.148      5.20    5.20
WSG   29-JUN-12   33.55      2.83    2.83
LOGP   29-JUN-12   34.45      48.04    74.17
YOU   29-JUN-12   67.5      0.00    0.00
SIE   29-JUN-12   66.65      3.11    3.21
PRX   29-JUN-12   365      2.60    2.60
PVR   29-JUN-12   509      23.38    26.72
VUKE   29-JUN-12   26.07      10,068.78    10,068.78
RBS   29-JUN-12   216.6      1.99    1.99
IQE   29-JUN-12   27.5      15.09    15.09
BEM   29-JUN-12   11.775      1.91    1.91
ATC   29-JUN-12   .2838      16.28    16.28
FRR   29-JUN-12   .53      3.77    7.55
ANGM   29-JUN-12   1.04      0.00    0.00
GCM   29-JUN-12   42      64.74    64.74
BMR   29-JUN-12   3.195      23.63    23.63
FQM   29-JUN-12   1093.063      15.41    15.41
CAD   29-JUN-12   30.5      0.54    0.54
AGOL   29-JUN-12   5.5      0.00    0.00
ARG   29-JUN-12   15.4475      10.51    25.59
DEO   29-JUN-12   23      3.26    6.52
CRW   29-JUN-12   255      17.55    17.55
LDP   29-JUN-12   .24      70.00    70.00
AFC   29-JUN-12   21.43      16.57    16.57
DDV1   29-JUN-12   55.1      8.89    8.89
SER   29-JUN-12   1.602      8.93    11.42
SOU   29-JUN-12   1.01      17.82    17.82
IBGL   29-JUN-12   130.9      0.70    0.70

We can discount VUKE and T47.

LDP, LOGP, ARG, PVR and PDX are notable

trace results up to now

Following is a table of the companies that have been tweeted over the last 2 working days (and since the date I have been taking a history of what is being tweeted, rather than just looking at the tweets), the columns are date of tweet, company name, next days open price, and the last column is the percentage increase over the subsequent 5 days (ie over the last 2 days (not counting today because we arent finished yet))

We would have done very well with LDP if we had traded on the next day after the 29th Jun !

I will post again when I have more results

There are duplicates per day because oasis tweets twice a day

And from the numbers, this is why I think the traces look like they are working

29 June was a day of testing the success coefficients for LSE and hence the large number of company tweets - have left them in because I am interested in the outcome in 3 days time

02-JUL-12 SIE   67.145     1.08
02-JUL-12 SIG   2876     1.77
02-JUL-12 PDX   11.75     3.19
02-JUL-12 AGQ   15     13.17
02-JUL-12 IBTM   128.42     .16
02-JUL-12 CKSN   605     1.82
02-JUL-12 FUM   77     1.3
02-JUL-12 WSG   34.35     .44
29-JUN-12 SIE   66.65     2.03
29-JUN-12 PDX   12.5     4
29-JUN-12 AGQ   14.25     19.12
29-JUN-12 IBTM   128.2     .51
29-JUN-12 CKSN   596     3.36
29-JUN-12 FUM   74.148     5.2
29-JUN-12 WSG   33.55     2.83
29-JUN-12 SIE   66.65     2.03
29-JUN-12 AGOL   5.5     0
29-JUN-12 PDX   12.5     4
29-JUN-12 AGQ   14.25     19.12
29-JUN-12 IBTM   128.2     .51
29-JUN-12 CKSN   596     3.36
29-JUN-12 FUM   74.148     5.2
29-JUN-12 WSG   33.55     2.83
29-JUN-12 LOGP   34.45     13.21
29-JUN-12 YOU   67.5     0
29-JUN-12 SIE   66.65     2.03
29-JUN-12 PRX   365     0
29-JUN-12 PVR   509     5.26
29-JUN-12 VUKE   26.07     1.48
29-JUN-12 RBS   216.6     1.99
29-JUN-12 FRR   .53     3.77
29-JUN-12 IQE   27.5     11
29-JUN-12 BEM   11.775     1.91
29-JUN-12 ATC   .2838     16.28
29-JUN-12 GCM   42     2.38
29-JUN-12 ANGM   1.04     0
29-JUN-12 FQM   1093.063     11.16
29-JUN-12 BMR   3.195     20.47
29-JUN-12 CAD   30.5     .54
29-JUN-12 AGOL   5.5     0
29-JUN-12 ARG   15.4475     .34
29-JUN-12 DEO   23     3.26
29-JUN-12 CRW   255     10.2
29-JUN-12 LDP   .24     58.33
29-JUN-12 AFC   21.43     2.17
29-JUN-12 SER   1.602     3
29-JUN-12 IBGL   130.9     0
29-JUN-12 SOU   1.01     8.91

WSG, FUM, CKSN, AGQ, PDX, SIE, SIG, DNO, RXP

03-JUL-12 LON LSE_trace :0 WSG
03-JUL-12 LON LSE_trace :0 RXP
03-JUL-12 LON LSE_trace :0 DNO
03-JUL-12 LON LSE_trace :0 FUM
03-JUL-12 LON LSE_trace :0 CKSN
03-JUL-12 LON LSE_trace :0 AGQ
03-JUL-12 LON LSE_trace :0 PDX
03-JUL-12 LON LSE_trace :0 SIG
03-JUL-12 LON LSE_trace :0 SIE

All on LSE, and all today ready for tomorrow

WSG, FUM, CKSN, IBTM, AGQ, PDX and SIG

02-JUL-12 LON LSE_trace :0 WSG
02-JUL-12 LON LSE_trace :0 FUM
02-JUL-12 LON LSE_trace :0 CKSN
02-JUL-12 LON LSE_trace :0 IBTM
02-JUL-12 LON LSE_trace :0 AGQ
02-JUL-12 LON LSE_trace :0 PDX
02-JUL-12 LON LSE_trace :0 SIG

All on the LSE and all via the trace, for today ready for tomorrow

FUM sounds like a fun company