Stock Market Trading Systems
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A long-term experimental approach to Nasdaq/NYSE stock market trading.
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Designed around Engineering indicator response and data analysis techniques.
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Fully automated algorithms in Excel for simultaneous trading and evaluation.
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Process updates
Updates regarding SMTP performance and process modifications will appear here at regular intervals.
26th Mar, 2018
TRADING ALGORITHM CHANGE
Identifying improvements to existing algorithms is a key component of how SMTP operates. With that in mind, both trading algorithms used since 2017 have been changed. A relatively minor addition to Algorithm A has been made, giving Alg A-rev 1. The best performing algorithm since SMTP was restarted in April 2016 is Algorithm D, which has now replaced Algorithm B. All trades will now be placed using the new algos.
Both the new and old will be reported on the Current Performance graph. Both new algos are clearly outperforming their predecessors. More high performing algos are being identified all the time - Alg K was started in Sept 2017 and is currently +48%. It has a large drawdown, so is not ready for implementation yet. Further variations on K are ongoing to reduce the drawdown without seriously impacting performance.
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2nd August, 2017
TRADING ALGORITHM CHANGE
Disappointingly, Algorithm C has badly underperformed since its' activation on 10 January. A modified Algorithm B has now been activated for trading using the 1778 account on Interactive Brokers, having demonstrated >6% gain in testing from May-July 2017.
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Mar-Jun, 2017
NEW PC, ADDITIONAL SMTP FILES, SMTP 3.0
A new PC (Dell XPS 8910) was purchased in March, giving faster execution of existing Excel files and the ability to add new ones. The old PC (Precision 390) is now used to process further files for evaluation, bringing the total capability to 1160 algorithms under test. Also, a re-vamp of the SMTP Excel file (version 2.2 to 3.0) gives more factors for analysis and greater flexibility in algorithm design.
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10th Jan, 2017
TRADING ALGORITHM CHANGE
Due to underperformance of Algorithm B, Algorithm C has been activated for trading using the 1778 account on Interactive Brokers. It demonstrated >32% gain from April-December 2016.
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9 Nov, 2016
US Presidential Election
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The pre-market reaction to the election of Donald Trump was an overnight sell-off in the futures. When the NYSE and Nasdaq opened, tech and medical services plunged but biotech, drug, financials and industrial metals all surged. This rotation caused Algorithm A to sell 4 tech stocks within 1/2 hour of open, and buy AA (ind metals), resulting in a net flat performance for the day.
Algorithm A continues to outperform the S&P 500 by 9% since this evaluation re-started in April. Algorithm B is underperforming and will be replaced shortly.
1st Sept, 2016
TRADING ALGORITHM CHANGE
Due to underperformance of Algorithm A using L8-5, it is being replaced by Method-K as of today. In Apr to Aug period, L8-5-nonDiv6 was +5.3%, identical to the S&P 500. Method-K-nonDiv6 perfomance was +12.1% in the same time period. L8-5 is prone to large drawdowns, observed at Brexit and the last Jobs report. It will continue to be monitored, but will not be used for future trades.
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27 Jun, 2016
BREXIT
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Fridays' market reaction to the Brexit vote resulted in a worldwide stock market sell-off. Both Algorithms A & B reacted as designed by selling all open positions. The current performance of both A & B, as well as the best other algorithm is shown in the adjacent graph.
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Both algorithms are designed to buy new positions once a market turn-around is detected. When this will happen remains to be seen.
1st Apr, 2016
RE-START OF EVALUATION
After substantial upgrades to the Excel trading software, full evaluation for Algorithms A & B re-started on 1st April, 2016. These algorithms use two different styles on trading - A is much more active with short hold durations, B less active with longer holds.
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