This is just an example of using all three versions of DLPAL software for daily quantitative analysis and trading.
The three versions of DLPAL software are described here. In this blog article we include only one particular example of using these three versions . There are many other ways these programs can be used, ranging from simple to more complex.
In this example we look at the System Tracking results of three strategies we have developed with the program for trading XIV, TLT and DIA ETFs. Below is the output of System Tracking as of the close of yesterday, December 5, 2017.
There is a new long signal in TLT for 2% target/stop-loss for the open of Wednesday, December 6, 2017. Note that the TLT 2% system may have already an open position. This has to be checked separately. Same also holds for the other two systems. System Tracking generates a list of new signals only.
With this program we can scan any number of securities for short-term anomalies in the form of parameter-less price patterns that fulfill user-defined criteria. Below is a result of a scan of all stocks in QQQ ETF composition.
Two patterns show high win rate P, a long in TMUS and a short in HAS. These have to be validated preferably with a portfolio backtest. The final decision of whether to accept of reject the signals lies with the user of the program.
This is a sophisticate program that determines directional probabilities and features for systems and machine learning algos. In this specific example we use the DOW 30 universe to calculate the ensemble directional bias, which is the Ratio of the number of stocks with positive directional bias to the total number.
As of the close of yesterday, December 5, 2017, the Ratio was at 0.60, which is neutral territory ( bullish for Ratio > 0.70, bearish for Ratio < 0.50).
From the above results, we can generate a list of top 10% stocks, 3 long and 3 short, based on a score equal the directional bias P-delta times the significance S.
Note that the above are only examples of particular ways of using these programs.
For articles with examples using all three versions of DLPAL click here.
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