Kevin_in_GA
4,599 posts
msg #77241
- Ignore Kevin_in_GA |
8/4/2009 4:16:45 PM
I was talking with my coworker (about stock trading, of course) and said to him the following:
"It would be really useful if you could pick a set of, say 100 stocks that you trade, and also an indicator like the MACD that is easily tweaked and then run a program that adjusts the indicator parameters to maximize profit over the last six months. Then you could rerun this every night to keep your settings as current as possible."
That would be cool. My question is - does anything like this exist?
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chetron
2,817 posts
msg #77242
- Ignore chetron |
8/4/2009 5:10:08 PM
ABSOLUTELY. = )
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Kevin_in_GA
4,599 posts
msg #77245
- Ignore Kevin_in_GA |
8/4/2009 5:40:12 PM
If I ask nicely will you tell me?
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Kevin_in_GA
4,599 posts
msg #77253
- Ignore Kevin_in_GA |
8/4/2009 10:18:55 PM
Seriously, inquiring minds want to know.
If you think about what is involved, you can understand why automation of this type of automation process is essential:
1. select a set of 40 stocks
2. select an indicator (e.g., MACD) - there are three discrete parameters that can be adjusted.
Let's say you want to have the fast period be between 5-20, the long period between 10-39, and the EMA between 5-14. That creates 16x30x10 or 4800 possible combinations for the MACD timing, to be run against a "microverse" of 40 different stocks - that's 192000 calculations that need to be done, if my math is right.
Doing a little digging tonight, I have found that investor/RT from Linnsoft can do this on a single stock or index, so maybe it can be automated further.
Chet - if there is a way to do this, please let me know.
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chetron
2,817 posts
msg #77254
- Ignore chetron |
8/4/2009 10:20:36 PM
SORRY, I BELIEVE I WOULD USE AN EXCEL SPREAD SHEET
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chetron
2,817 posts
msg #77257
- Ignore chetron |
8/4/2009 10:48:54 PM
download historical info from yahoo
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miketranz
961 posts
msg #77262
- Ignore miketranz |
8/4/2009 11:07:53 PM
Kevin,you would get the same effect using an index fund or mutual fund..........
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tomm1111
202 posts
msg #77265
- Ignore tomm1111 |
8/4/2009 11:24:45 PM
Kevin, Check out ninjatrader.com.
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Kevin_in_GA
4,599 posts
msg #77279
- Ignore Kevin_in_GA
modified |
8/5/2009 1:03:26 PM
Chet:
Thanks. I had considered if this could be done in Excel, and I bet it can (but not by me, since I lack the programming skills to do this). As I had indicated in my last post, Investor/RT from Linnsoft does this for any single stock. I have a list of roughly 40 2x ETFs that I trade, and would like to determine what the best MACD timing is for that specific set.
I guess I could run each ETF separately and compare the outputs. The software is free to download and play with. I tried it this morning and it ran about 6200 simulations on KO in about 3 minutes, but I think I need to buy it to see the results.
MikeTranz:
In essence, that is what I am doing - in aditional to tracking the individual ETFs, I use the underlying index to generate signals (e.g., $GOLD or ^GOX to time long and short positions on gold, ^SPX for my SDS/SSO trades, etc.). Sort of like usng a mutual fund to get an average of a larger set of stocks.
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Kevin_in_GA
4,599 posts
msg #77499
- Ignore Kevin_in_GA |
8/12/2009 8:50:05 PM
OK, got it to work in Investor/RT. All I had to do was buy the license ($50/month for the end-of-day version).
This rocks. I am optimizing sets of ETFs for the most profitable MACD settings since 1/1/09. Also running it on all of the major indices. It even calculates the trade costs and gives you net profit, %winning trades, average %gain per trade, etc. Great for a geek like me!
Lots of other indicators can be similarly optimized.
Will post some interesting results in a separate thread.
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