Dear friends,
I have completed the testing of Karthik's MABIUTS and some variations of the same under different conditions. A set of 30 randomly selected stocks was used for testing. Each stock was tested under a set of different conditions. The conditions were:
- Long term-I, from 1st Jan 2005 to 30th Sep 2006.
This time period is my selection. I will explain later why I selected this range.
- Long term-II, from 1st Jan 2002 to 30th Jun 2003.
This time period was suggested by Sanjay. I request him now to explain why he suggested this period.
The above two time periods are common to all stocks tested.
- Range Bound: A period in which the individula stock is in a range bound trading zone, not showing any significant trend. This period is different for different stocks.
- Down Trend: A period of time when the stock is in down trend. But it is not the same as the period when whole market is crashing. Again this down trend period is different for each stock.
- Market Crash: Three different periods of time when the whole market is crashing down. These three periods are:
CRASH-I : 14th Feb 2000 to 23rd May 2000,
CRASH-II : 23rd Apr 2004 to 24th Jun 2004 and
CRASH-III : 10th May 2006 to 14th Jun 2006
These three periods are also common to all stocks.
In all there were seven sets of conditions.
In addition to this I have tested four different strategies:
i) The MABIUTS strategy described by Karthik. I call this
MABIUTS-K strategy
ii) A minor modification of the above strategy which I call
MABIUTS-X strategy
iii) A similar EMA based strategy which I call
MABIUTS-M strategy and
iv) Another modification of the Karthik's original which I call
MABIUTS-H strategy
In this way I have tested 30 stocks with four strategies under seven different market conditions. In all, this generated a set of 30 X 4 X 7 = 840 sets of results.
In this post I am giving the summary of these 840 result sets. I am listing these for each strategy in terms of number of profit making stocks, number of loss making stocks, maximum and minimum profit made(as percent of intial investment), maximum and minimum loss made(as percent of initial investment). The whole summary is also tabulated and is available as a PDF attachment with this post. In the attached PDF file, NVS means No Valid Signal.
In subsequent posts, I will give a detailed account of the whole study, the description of the four strategies and the corresponding AmiBroker AFLs for them.
All these results were manually generated. No mechanical Back testing was used. Only the BUY and SELL signals were generated by programming in AFL. All the calculations were performed in MS Excel and manually checked.
Now here is the summary of the results:
I) MABIUTS-K Strategy
Long Term-I:
No. of Profit making Stocks = 23
Max Profit = 365.83%, Min Profit = 6.95%
No. of loss making stocks = 6
Max Loss = 94.08%, Min Loss = 2.96%
NO SIGNAL generating stocks = 1
Long Term-II:
No. of Profit making Stocks = 18
Max Profit = 183.39%, Min Profit = 0.26%
No. of loss making stocks = 8
Max Loss = 37.87%, Min Loss = 2.25%
NO SIGNAL generating stocks = 4
Range bound:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 12
Max Loss = 9.59%, Min Loss = 0.01%
NO SIGNAL generating stocks = 18
Down Trend:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 7
Max Loss = 19.85%, Min Loss = 5.83%
NO SIGNAL generating stocks = 23
CRASH-I:
No. of Profit making Stocks = 1
Max Profit = 9.99%, Min Profit = 9.99%
No. of loss making stocks = 11
Max Loss = 29.34%, Min Loss = 0.26%
NO SIGNAL generating stocks = 18
CRASH-II:
No. of Profit making Stocks = 1
Max Profit = 0.44%, Min Profit = 0.44%
No. of loss making stocks = 3
Max Loss = 37.13%, Min Loss = 8.20%
NO SIGNAL generating stocks = 26
CRASH-III:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 2
Max Loss = 11.72%, Min Loss = 5.71%
NO SIGNAL generating stocks = 28
*****************************
II) MABIUTS-X Strategy
Long Term-I:
No. of Profit making Stocks = 23
Max Profit = 374.28%, Min Profit = 12.90%
No. of loss making stocks = 7
Max Loss = 43.40%, Min Loss = 2.08%
NO SIGNAL generating stocks = 0
Long Term-II:
No. of Profit making Stocks = 10
Max Profit = 180.43%, Min Profit = 15.07%
No. of loss making stocks = 16
Max Loss = 90.42%, Min Loss = 1.19%
NO SIGNAL generating stocks = 4
Range bound:
No. of Profit making Stocks = 3
Max Profit = 3.94%, Min Profit = 2.31%
No. of loss making stocks = 20
Max Loss = 20.80%, Min Loss = 0.01%
NO SIGNAL generating stocks = 7
Down Trend:
No. of Profit making Stocks = 2
Max Profit = 1.37%, Min Profit = 0.51%
No. of loss making stocks = 16
Max Loss = 46.37%, Min Loss = 1.18%
NO SIGNAL generating stocks = 12
CRASH-I:
No. of Profit making Stocks = 2
Max Profit = 7.61%, Min Profit = 4.08%
No. of loss making stocks = 15
Max Loss = 33.83%, Min Loss = 0.62%
NO SIGNAL generating stocks = 13
CRASH-II:
No. of Profit making Stocks = 1
Max Profit = 1.13%, Min Profit = 1.13%
No. of loss making stocks = 10
Max Loss = 20.95%, Min Loss = 2.25%
NO SIGNAL generating stocks = 19
CRASH-III:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 3
Max Loss = 11.34%, Min Loss = 5.36%
NO SIGNAL generating stocks = 27
**************************
III) MABIUTS-M Strategy
Long Term-I:
No. of Profit making Stocks = 25
Max Profit = 559.08%, Min Profit = 21.81%
No. of loss making stocks = 5
Max Loss = 58.57%, Min Loss = 9.81%
NO SIGNAL generating stocks = 0
Long Term-II:
No. of Profit making Stocks = 13
Max Profit = 455.83%, Min Profit = 17.43%
No. of loss making stocks = 13
Max Loss = 170.84%, Min Loss = 7.38%
NO SIGNAL generating stocks = 4
Range bound:
No. of Profit making Stocks = 6
Max Profit = 13.83%, Min Profit = 5.35%
No. of loss making stocks = 24
Max Loss = 14.68%, Min Loss = 0.54%
NO SIGNAL generating stocks = 0
Down Trend:
No. of Profit making Stocks = 2
Max Profit = 6.49%, Min Profit = 5.79%
No. of loss making stocks = 28
Max Loss = 39.45%, Min Loss = 1.76%
NO SIGNAL generating stocks = 0
CRASH-I:
No. of Profit making Stocks = 4
Max Profit = 20.60%, Min Profit = 2.83%
No. of loss making stocks = 21
Max Loss = 68.30%, Min Loss = 0.21%
NO SIGNAL generating stocks = 5
CRASH-II:
No. of Profit making Stocks = 0
Max Profit = NIL, Min Profit = NIL
No. of loss making stocks = 26
Max Loss = 31.25%, Min Loss = 0.22%
NO SIGNAL generating stocks = 4
CRASH-III:
No. of Profit making Stocks = 1
Max Profit = 0.63%, Min Profit = 0.63%
No. of loss making stocks = 20
Max Loss = 33.27%, Min Loss = 0.34%
NO SIGNAL generating stocks = 9
************************************
IV) MABIUTS-H Strategy
Long Term-I:
No. of Profit making Stocks = 30
Max Profit = 1520.48%, Min Profit = 34.20%
No. of loss making stocks = 0
Max Loss = NIL, Min Loss = NIL
NO SIGNAL generating stocks = 0
Long Term-II:
No. of Profit making Stocks = 26
Max Profit = 895.87%, Min Profit = 26.77%
No. of loss making stocks = 0
Max Loss = NIL, Min Loss = NIL
NO SIGNAL generating stocks = 4
Range bound:
No. of Profit making Stocks = 27
Max Profit = 76.43%, Min Profit = 0.35%
No. of loss making stocks = 3
Max Loss = 8.40%, Min Loss = 1.40%
NO SIGNAL generating stocks = 0
Down Trend:
No. of Profit making Stocks = 26
Max Profit = 33.35%, Min Profit = 0.89%
No. of loss making stocks = 4
Max Loss = 4.41%, Min Loss = 0.97%
NO SIGNAL generating stocks = 0
CRASH-I:
No. of Profit making Stocks = 21
Max Profit = 91.07%, Min Profit = 2.30%
No. of loss making stocks = 3
Max Loss = 21.82%, Min Loss = 5.45%
NO SIGNAL generating stocks = 6
CRASH-II:
No. of Profit making Stocks = 23
Max Profit = 35.63%, Min Profit = 0.67%
No. of loss making stocks = 3
Max Loss = 13.01%, Min Loss = 1.24%
NO SIGNAL generating stocks = 4
CRASH-III:
No. of Profit making Stocks = 26
Max Profit = 25.89%, Min Profit = 1.13%
No. of loss making stocks = 4
Max Loss = 6.67%, Min Loss = 1.48%
NO SIGNAL generating stocks = 0
***************************
More details will be posted later, tomorrow or latest on Monday.
I invite all of you to go through and post your views, suggestions and comments.
-Anant
