Stock Market Trading Systems
A long-term experimental approach to Nasdaq/NYSE stock market trading.
Designed around Engineering indicator response and data analysis techniques.
Fully automated algorithms in Excel for simultaneous trading and evaluation.
Automated Stock Market Algorithm Trading and Evaluation.
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An evaluation process began in April 2016 to experimentally identify the best stock market trading algorithms using Engineering techniques.
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Rigourous testing and results analysis identified the 2 best performing algorithms from a list of >1000. These are now actively trading using my own funds.
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Performance of these 2 (namely Algorithm D and Alg-A-rev 1) are compared to the S&P 500, BRK.a (Warren Buffett) and PSJ (best ETF over past 5 years) in graph below.
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Simultaneous, real-time evaluation of other algorithms (>1000) is ongoing. A Continuous Improvement Process is built around using incremental modifications to existing algos to create new ones, then comparing the results side-by-side.
UPDATE : Wednesday 8th May
New website under construction.
ETA mid-May.
Updates will continue here until then.
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S&P 500 returns are based on index data. The SPY ETF includes reinvested dividends and is approx 10% higher.
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Warren Buffett performance measured using Berkshire "A" shares.
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PSJ (Invesco Dynamic Software ETF) was the best performing non-leveraged ETF (as of Jan 19) in the US over the previous 5 years, out of a total of 2031 ETFs.
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Algorithm D is SMTPs' best performer in since evaluation began. Trades identified by this algo are placed automatically using Interactive Brokers Trader Work Station.
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Alg- A rev 1 is also traded. It shows lower return than Algorithm D but is currently demonstrating very low drawdown (4.4%) and is outperforming the S&P 500 by approx 40% since it began evaluation.
Graph Notes
Issues
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SMTP is undercapitalized for long term evaluation.
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The current best algos significantly outperform the S&P 500 but better ones are out there. More computing power needed to find these.
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Trading position size is approx $16,000. Need to evaluate larger trading amounts.
Next Steps
Financial assistance is required to :-
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Expand computing power.
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Upgrade software beyond Excel / DDE / TWS.
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Trade with larger position sizes.
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Package the entire process with view to commercialization.
To facilitate evaluation SMTP, a 3 step process is offered :-
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Observe all trades in real time via website (Twitter in future).
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Proceed to link your own InterActive Brokers account to SMTP once satisfied.
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Then, discuss terms for participation in an ongoing evaluation, including complete access to SMTP software.