performance

Gamification

If you think that the trader’s activity is similar to a game, I would like to first say it’s not. For many reasons. What makes to someone the trading activity similar to a game is a misconception of the bet. The novice tends to see a buy of a stock share as a bet, and, well, it somehow is a bet if you know nothing of what you are doing. Because it’s not a game.

But staying with the game analogy, I would prefer, to much adrenaline-driven action games, the more time related Virtual Regatta Offshore, a provider of oceanic regattas simulators in real-time with real conditions, here in the current RORC 2019 where I participate as minushabens. In this case, it is a 16/17 days ride from the Canarias to St. George’s Island. We are about 4 days from the arrival and I’m placed quite well: I was lucky, indeed!

 

Let me explain: the player have to decide its route considering the present condition of the wind and the future evolution of the wind, based on some known performance of the boat we are racing with (known as the polars of the boat, simply the speed of the boat at different wind speed at all angles). So, the player relies on the weather forecasts to evaluate its alternatives. While in real-world regatta you may apply a wide sort of tactics against your opponents, here you just race against the wind. No need to know the real sailing (it helps), we race against a worldwide huge number of participants. Here, at the RORC 2019, we are 37.000 and counting.

Now, I can guarantee you that my choices are not bets. Sometimes, as it is now, the choice has been more favorable, others are not so exciting, but if you want to appear in the first third of the ranking you cannot trust the simple bet. You must change your mind: you are challenging a force of nature, much bigger than you and good forecasts for 5 or 8 days ahead may easily change in 2 or 3 days, not much certainty around. Is anything sounding familiar? Now, if you substitute the word wind with the word stock market (the S&P 500, in this case), is it clear the analogy of the behavior of the player of the regatta and the position trader on the index?

If you see the game as a be-there-at-that-time-to-be-elsewhere-at-another-time dynamic, it’s not difficult to place yourself in the first 700, possibly between 300 and 500, where I often find myself at the arrival. A bit of luck today is appreciated. Obviously, you bet, there is a number of route calculators available as apps and websites. Every service is based on one of the available forecasts, then provides different best paths, but the game platform has often slightly different conditions and there you are gaming. You must be well placed in the space and time of the game to fully take advantage of the suggestions from the routing software. Here, as well, a bit of luck is largely appreciated. To remain once more in the game analogy, you are requested to dominate space and time, always need to consider the two as a whole. This is a common analogy with adrenaline games.

End of August. r.Virgeel is already positive for two days and gives a projected rv.Target around +3%. Great time to jibe!

The target was then reached at around 3000 in 10 days.

 

PS. Update – The RORC 2019 finished with me at 787th / 39101

 

 

Posted by Luca in educational, free, generics, performance, psychology, selected primer, 0 comments

The current wave viewed by r.Virgeel

How di r.Virgeel acted from the last turning of the current wave?

This is the forecast chart brewed on December 31st, 2018, when the model turned positive at the end of the correction.

 

 

Since then, r.Virgeel has been long, with some indecision here and there, always solved in one bar. A long bear traps trail that has been correctly and smootly followed from 2507 to 2792 today (+11.3%) and much higher, probably, in the immediate future. This first positive forecast was supported by the New Year’s Eve monthly update and from the progressive weekly forecasts.

Following the model, we had no doubts that the positive side of the market was – and is – the long one. What r.Virgeel seems to preview for the coming future is a crazy springtime, times for hard skinned unbiased traders, times plenty of opportunities. Then, we will probably take a rest, jumping on a giant roller coaster that will frighten you crazy. Be prepared. Stay tuned.

 

 

 

Posted by Luca in checkouts, free, performance, r.Virgeel

New Tools At The Horizon

In past September, I designed a new weekly model and some new tools to investigate more deeply the quality of r.Virgeel’s model response. The results were really astonishing and have started a real revolution inside my approach to artificial intelligence and investing.

Three months later, after a huge amount of testing and experiments, the new weekly model is almost abandoned (well, it’s alive, partially), but many of the discoveries have been transposed in the “old” model and I may begin to share the results of the research.

Bad News First

I’ve always considered the Future Bars as my best benchmark: 24 bars (either daily, or weekly or monthly) in the future to map the “less improbable” path that the S&P 500 will follow in the coming future – it’s a big challenge, indeed! One of the new tools I’ve developed lets me test the behaviour of r.Virgeel in the past and a lot of surprises came in.

chart n.1

chart n.2

The response of the daily model is very variable, ranging from the nice precision shown in chart n.1 to the total failure shown in chart n.2, but what was more surprising was that r. Virgeel is much more precise during wave development and during intra-wave correction and totally wrong, usually, at turning points. I still have no idea of why it is so, but I’m sure it is a direct consequence of the fact that the market is a live thing, a really special living organism.

 

At first, this was a big delusion to me! But it helped me to separate the a.i. forecast output from the a.i. diagnostical ones (or the main other indicators that allow r.Virgeel to decipher the current market condition and to take position), that are much more affordable and precise. For the first time, I realized how the two things are deeply different in nature and how our expectations must be different on these two aspects of market analysis.

Then Good News Arrived

Then something surprising happened, and it was a revolution. I was revising hundreds of sample charts, when r.Virgeel suggested me to note its recurrent and inesplicable behaviour at market turning points: the FastTrack indicator took shape in a few hours and it is one of the best goals I’ve achieved, ever.

I was a bit upset, at the beginning, because I am a medium to long term investor and not a short term trader, while the FastTrack – it was clear since the beginning – is a tool for short term positions. Then I put it at test, as usual real time test, from its first long position on 30th of October: since then it has completed three swings up and three down, and is now in its seventh position (long), collecting a gross profit of 302 points (or 11.3% profit) from closed positions plus an open position that is gaining 108 points more, making the total profit up to 410 points or 15.4% of the initial capital. Of the six closed position, two were losing: one (long) was down 8 points and the other (short) 4 points.

It is a gross and theoretical profit, that must be adapted to the instruments used to invest, to position costs and slippage, but considering any possible drawdown, it is reasonable to say that you could have had a before taxes return of more than 10% in just one month, during a very difficult market condition (a deep correction inside a rising market). I will publish the complete positions record at the end of the public diffusion of the FastTrack, in about two weeks, but I’m sure that the readers that are following the blog are well aware of the goodness of the new indicator. It is precise, responsive, objective and totally deparametrized.

Expanding The Analysis

One of the consequences of the introduction of the FastTrack indicator is that r.Virgeel will soon be able to apply its model to financial instruments other than just the S&P 500: I’m working on it and I hope to be ready for New Year’s Eve to produce the FastTrack levels for the DowJones Industrial Index and for the Nasdaq Composite, and then for main stock market indices worldwide (DAX, FTSE, HSI, N225, …) and also for EURUSD, GOLD and others. I will need some time to prepare and verify the framework and the new models, and to modify the website to accomodate all these new informations – it’s a nice challenge – but the result will be a larger set of possibilities for us to approach the investing selection.

[revec2t text="r.Virgeel will soon be able to apply its model to financial instruments other than just the S&P 500"]

As a consequence of all the above, I have also realized that the standard one year subscription plan that the site offers since it was born is probably inadequate to host short term traders that have a totally different approach to the market, so a new one month subscription plan is now available, to let you test and evaluate if the r.Virgeel collaboration fits profitably with your trading habits.

A Final Warning: EURUSD

As I told you, the new weekly model is in stand-by, but I regularly update the database and verify its response to updates.

Today, it produced this chart for EURUSD, signalling a possible waterfall event with an Euro crash in the coming weeks, pointing to 1.035/1.05 area. As the European crisis is looming (Italy’s budget, France turmoils, Deutsche bank crashing – is it enough? ), the Euro seems destinated to pay the bill at a dear cost.

 

UPDATE – It was not yet ready to crash, but at moment the EURUSD is not in good shape anyway.

 

 

 

 

 

 

 

Posted by Luca in free, model insights, performance, r.Virgeel, subscription

Mid-August Checkout

The following chart is the checkout for the forecast by r.Virgeel issued on 13th of August 2018 (red dot) after market close and actual S&P 500 bars.

Evaluating the Next Bars indicator, r.Virgeel detects the less improbable pattern of H/L/C (H/L bars charted here in Magenta) for next 24 bars, under current markets conditions.

The day 13th r.Virgeel flipped from neutral to Stay Long. If you want to consider the usual second day confirmation (that arrived) and enter Long on the opening of the third day, you were on the bottom bar.

Anyway, there is a retard in the initial reaction, but the market soon goes in synchro with the forecasted values. (*)

The first real bifurcation comes after 16 bars, but in the meantime we are on the third step at 2900/10. Here befucation means that real values and forecasted ones goes opposite sides.

I may note that r.Virgeel is quite good in arguing the coming short waves pattern. Highs and lows are nicely precise, if you think that they were evaluated on 13th and happened 9 and 13 bars later.Also, it detected the correct rising gradient.

I also would like to note that even if the global 24 bars comparison contains a high deviation error, the resulting pattern was a precious guide to follow the incoming days on the market. This is what I call to Know in Advance.

Since then, r.Virgeel has updated the outlook every day, following the incoming waves.

(*) A final note about tops and bottoms. It is my personal opinion that Mr. Market is stretching its extremes in both directions and to such extremes that you are convinced that market turned, yes, yes yes,… no. It is the way Mr. Market use to squeeze your capital and suck any drop from your fear. It’s difficult to manage, because part of the action is now on the ever awaken global trade, or overnight if you prefer. Tops and bottoms so take “strange” shapes, with gaps.

 

 

 

 

Posted by Luca in checkouts, free, performance, r.Virgeel

Latest performance

The following slider shows some latest forecasts brewed by r.Virgeel on daily time frame: it is almost in realtime, as it shows how the model has acted since the last bottom in 2700 area in late June, starting from the close of latest 27th of June to 18th of July, for 15 bars, so three full weeks.

  • in bar #1, you may note that r.Virgeel marks the third consecutive reverse signal: it’s a very clear entry suggestion,  at next bar opening;
  • in bar #2, we have the confirmation: a reversal bar and the Stop now correctly in place;
  • subsequent bars shows how r.Virgeel reacted to some “uncertainties” in the S&P 500 and to the following move.

 

[metaslider id=”11911″]

 

You may finally note that the weekly forecast encapsulated in the chart has been slower, in this case, to adapt to the evolution of the market.

Even considering the worst entry point at 2716 (the close of the 28th), as the index is now around 2800, the position is 84 points positive, or +3%.

 

 

 

 

 

Posted by Luca in checkouts, free, model insights, performance, r.Virgeel

Spxbot robo-advisory performance

(this post was originally published in the newsletter no.1 in mid January. Probably I will not publish any performance related data in the future, mainly beacause r.Virgeel is not a trading system and also because real performance depends on a lot of factors, depending on your location, tax burden, investment strategy, etc. Anyway, the first two years of activity are here summerized, to show how the the robo advisor is performing in the real world)

I’ve always been reticent to publish the performance of the Position trading system: I’ve even dismissed the record table for the subscribers, without any complaint from them. It should be complex to explain why, it’s something intuitive, but it is related to my distrust in backtesting. First, I’ve always tested forward, not behind. It’s slow, for sure. The model, or as I call it now: r.Virgeel has taken shape during four years and is performing well. It is still under development: new ideas are passing as clouds at the moment. r.Virgeel correlates dozens and dozens of markets and is trained to be a prudent trader, preferring the long term run to the frequent short term trading. r.Virgeel warned us that the market was heading to 2730 many months before, and, honestly, I couldn’t believe it. r.Virgeel is trained to take the best position available in any single moment and it knows the market since a long time. It is not biased, it is responsive and adaptive, it’s huge (the brain is now around 15-17 Millions of neurons). It’s not something that you can backtest, you know (even if it is remotely possible), and I cannot guarantee that at a certain point it doesn’t go completely nuts. At the moment, r,Virgeel is well fit.

Anyway, I understand well that performance is a good starting indicator for evaluating any investment strategy: we have a bottom line and our mental model is arranged to appreciate rankings.

So, this is the update to the daily Position performance: the system started it’s first recorded operation (long) on Feb. 12, 2016 with the index at 1857. Two years may seem a short time and it is, but, as I wrote before, r.Virgeel is unbiased, it doesn’t take in account its previous evaluations. Since inception the Position system has completed 14 positions, 12 long and 2 shorts. Holding the position has lasted from 6 to 74 days, with an average around 37 days. Three positions were negative, respectively -0.28%, -0.84% and -0.04%. The total gain sums up to 823 points, or 44.32% with an annualized rate of 23.14%. A buy and hold strategy should have won, as the S&P 500 has gained 831 points in the same time window. This is mainly due to the fact that the model is trained to be conservative: it exits the market when the short term profits are too risky and recent market conditions made it difficult to re-enter at a lower price.

All calculations are made on gross trading the index value, without taking into account transaction costs and fiscal payments. A reasonable slippage is applied. All transaction are evaluated at the opening of the following day, after signal generation. Personally, I manage my whole personal capital under r.Virgeel advisory. Only, I select the ETFs in a range of preferred sectors.

 

 

 

Posted by Luca in free, model insights, performance, selected primer, 0 comments

Performance chart update

I know that every new reader of the blog, and older too, has one and just one question to ask: what about performance? Show us tables, comparisons, benchmarks, charts!

I tried to explain many times that working with Artificial Intelligence shifts the approach, opens a completely new way of thinking to trading and/or investing and makes very complex to prepare ex-post (made on past data) performance: more than complex, it is about meaningless.  I prefer to measure performance ex-ante (or in real time) and collect data about the forecasts, as they unfold.

 

 

The chart shows the real (in blue) and forecasted (in pink) close for latest 248 trading days. You may note that around mid chart, something happens and the forecast is then less volatile and more fitted to real data. It was late summer and I made some crucial improvement to the model, that is under continuous development. The result was a better “vision”, sharper and more reactive to market mutable conditions. Then, during late fall and early winter, the model has been completely revised since roots and this is reflected into an even better matching of real and forecasted data.

 

 

 

Posted by Luca in free, model insights, performance, selected primer, 0 comments

Forecast performance and position statistics

I perfectly understand that my readers ask for backtesting and performance statistics of the model. Let me explain, it is natural as most of you are trained in technical analysis and are used to manage tools that have as their main feature to let you scan it retroactively. It’a one dimensional analysis.  Here, I don’t do one dimensional analysis. The model manages hundreds of dimensions. It’s so different that just the idea of designing a backtest tool that may have some meaning is depressive. Looking at the model as you look at a tech analysis chart is meaningless.

The model sees. It is instructed to recognize and it does it. The model may go deeper inside the hidden structure, through the numbers and NOT human opinions. The model is indipendent. Well, it surely depends on its design, and I’m working to make it evolve, but it is indipendent as it just correlates the numbers. I told you, it’s different.

Since mid March, I’m collecting some real time statistics, because I’m curious as you are about the smartness of the model: the chart here is the same day close forecast (magenta line) compared to the actual market close (blue line). This is not backtesting, this is real time audit with the model full steam, for latest eight months.

 

1dayperformance

 

Some more statistics, on Profits and Losses,

(not considering open position)

  • First Position: 12th February 2016
  • Starting Index Value: 1857
  • Number of Positions closed since then: 7
  • Total profit (index points): 438
  • Number of Positions with Profit: 6
  • Number of Positions with Loss: 1  (-0.28%)
  • Global Performance (Total Profit/Starting Value):  +23.59%

This has been, in real time, the behavior of the model trading system embedded mainly in the Pos indicator, team working with the other indicators. The execution is always validated at the opening price of  the day following the trigger generation (with a small realistic slippage).

 

 

Posted by Luca in free, model insights, performance, 0 comments

Some data about model performance

I’m sure that my (few) readers are curious of one thing: how the system has performed? percentage, percentage… I can’t blame you, even if I’m not very excited by past performance of any system. Performance percentages let’s you dream and are very dangerous 😉
But this is not a technical analysis automation or an algorithmic trader bot.

Here I have an artificial intelligence that reads the market status and is trained to recognize tops and bottoms,  to evaluate targets of the current move and finally to place a security stop for position protection. The model mimics a simple trader’s approach (I prefer to call it an investor approach) that invest on the index S&P 500 without leverage of any kind.

The model has exited the beta phase in last February, even if it has been continuously developed since then and it is on the working bench almost every day.

The first recorded position has been opened long on 12th of February at 1857 value of the index. Since then the model has completed five trades, either long or short,  for a gross total of 434 points earned. It is a 23.37% performance on starting value. Some more points are implicit in the current open position, but it’s early to evaluate. No position has been negative, maximum earning position was 12.49% and minimum earning position was 1.10%.

Obviously these are gross data, as real net earnings depend on chosen trading instrument, trading costs and above all on taxation of trading activity in your country.

 

 

Posted by Luca in a.i., free, performance, 0 comments