Retired Tests

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Tests of Various Strategies

Currently, we have "retired" six tests. All produced profits beyond that of the general market, and are worth a look. We abandoned these tests to give ourselves the time to look at other strategies, or because other strategies appear even more profitable.

The first involved compounding monthly market data over the last three years in order to make predictions in upcoming months. For more explanation and results, click here. Yet another test followed this same strategy, but compounded quarterly market data over the last three years.

The other tests are day-trading tests, explained below.

Over our existence, we've completed a total of four tests of different "day-trading" strategies. We put the term in quotes because we're not necessarily looking for mechanical strategies that would produce real-world gains after commissions, bid/ask spreads, and taxes. Rather, we're looking to validate or invalidate various notions of "how the market works". Ultimately, of course, we want to make money, and we have high hopes that our latest test will be practicable in the real world.

Our first test involved searching through our myriad daily summary tables to find the historical session that best matches the most current session, and then assuming that the market will proceed as it did following that historical session. The results were positive, though not overwhelming, and we believe there are a number of ways we could refine the methods.

Our second test examined our notions of how the market tends to "evolve" from one day to the next. For example, we've noticed that if stocks with a large "high-close" differential (from the previous session) prospered today, a good strategy has been to purchase stocks that lost today in the next session. Again, the results were positive...more so than the first test, in fact.

The third test involved identifying the best strategy for gains in the previous session, and applying that strategy to the next session. The results were positive, though not overwhelming.

The final retired day-trading test (on the same page as the third test) involved simply buying stocks with a large high-close differential in the previous session, and shorting those with a small differential. The results were strong.