I Know First Algorithm Performance Analysis (Part 3)

dr roitmanCo-Founder & CTO of I Know First Ltd. With over 35 years of research in AI and machine learning. Dr. Roitman earned a Ph.D  from the Weizmann Institute of Science

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Algorithmic Trading: Trading Strategies Analysis

By Lipa Roitman Ph.D.

Date : 10/02/2014 (m.d.y)

Previous (Part 1 and Part 2 articles) used 5- and 7-days average (smoothed) signals to minimize the number of swings. We report here the results of trading simulation where today’s signal only and the three day price average was used for a trade signal. In this simulation the number of trades did increase, as expected. The overall results were better, and there were less bad trades.

But in the detailed view, the results were mixed: For stocks and index funds the 5 days signal and 5 days price average strategy was better than the current fast strategy.

The surprise was that the results for precious metals and interest rates and indexes  were much better. That means these fast trading rules are better suited to short term traders in gold, precious metals, and indexes.

Algorithmic Trading

Algorithmic Trading