VECO research – Strategies

1.     Load price data

Load VECO daily from 1995 to end of 2008 (2009, 2010 not included).  Set LBC to end – all price bars.

VECO loaded.gif

2.     Composite:

Make composite using report with the following parameters:

Composit report.PNG

 

The first composite line includes all the events that have positive correlation on segment A (total 84).

 

Composit_all.PNG

 

Optimize composite to (1,45,45, sym1,close) on interval A, all bars:

Composit_optimize_1.PNG

 

The result:

VECO optimized 1_45_45.gif

 

Send to strategy.

Make optimizations also for the following and send to strategies.

·        (1,10,10, exp, close)

·        (45,90,90, sym1,close)

·        (90,180,180,sym1,close)

 

All strategies for Composite:

 

Composit_Strategies.PNG

 

Update the price data for VECO for 2009+2010 using “data feeding” from file, without changing the LBC so see if those strategies are good 2 year ahead.

 

VECO composite strategies.gif

 

Conclusions: all composite projection lines are very similar.

3.     Annual Cycles:

Enable annual cycles, send to strategies.

Annual.PNG

Compare annual strategy to Composite strategies.

 

VECO composite and annual strategies.gif 

4.     NN Spectrum model:

Use TS4.ts solution for spectrum,

Use the following targets and send to strategies:

·        (1,10,10, exp, close)

·        (1,45,45,sym1,close)

·        (45,90,90, sym1,close)

·        (90,180,180,sym1,close)

 

NN Spectrum.PNG

 

 

5.     Selected Spectrum cycles to ULE models:

Select the cycles (1 overtone, triangle) and drag to screen with Stock market =7.  Send to strategies.

 

 

VECO spectrum ULE 1_10_10.gif

 

Use the following targets in Spectrum, use ULE and send to strategies:

·        (1,10,10, exp, close)

·        (1,45,45,sym1,close)

·        (45,90,90, sym1,close)

·        (90,180,180,sym1,close)

 

All Selected-Spectrum-cycles-to-ULE strategies:

Spectrum ULE strategies.PNG

 


 

Comparing strategies

Comparing strategies (1,10,10,exp,close)

strategies 1_10_10.gif

Comparing (1,45,45,sym1,close)

strategies 1_45_45.gif

Comparing (45,90,90,sym1,close)

strategies 45_90_90.PNG

Comparing strategies (90,180,180,sym1,close)

 

strategies 90_180_180.PNG

 

Best Fit Strategy

 

SUM of Compsite_90_180_180  and  ULE_90_180_180

 

Best fit strategy.PNG