Holy hell I think I cracked the stock market! This new algorithm I invented is insane. The back testing was like nothing I've seen and real world performance is already matching exactly what the backtests showed....

@freemo that's usually a sign that the algorithm is over fitted to historical results. Would you mind discussing the indicators you use and stuff? Or is it something you want to keep to yourself?

@mistermonster You would think so, but no, no overfittering, I used different test sets to help avoid that, and the actual principles of the algorithm is actually not that complicated. I'd be hesitant to give away the specific details as to why/how but after seeing the results I applied it to other stocks and timeframes and it consistently gave the same performance. Its a day trading algorithm and trades anywhere from once every day to a few times a day, it rides the peaks and bumps.

Made 15,000 in profit today on 150,000 in investment, whcih is better than the historical results which would have had me at around 8K a day on that level of investment. Keep in mind thats no margin use.

@freemo that's very nice, I'd be more interested in percentage of capital profit rather than dollar amounts, I'm assuming these are mock tests?

I was building a system that uses stochastic RSI and ADX to determine if something is overbought or oversold and then to determine the likelihood that the short term trend reverses. Somewhat complex but very interesting. I take an interest in what you're doing for purely academic reasons lol

@mistermonster well you can calculate one from the other.

Historic testing shows 0.8% profit **daily**... thats over 18x/1800% yearly... Real world results have been higher (partly because i pick some trades not to execute if there is a reason to speculate against it).

@freemo so you manually intervene? Still better than nothing, is there a criteria by which you manually intervene which can be automated?

@mistermonster I do, but it isnt needed. the 0.8% per day 1800% per year figures is the result you get without manual intervention. If you just let the algorithm run.. that includes a little slippage and commission fees (I overestimated both costs).

the 10% figure I saw today was with manual intervention. I had one set of stucks I let it go at completely automated (those on real world seem to get about 1.5% daily), then I use it on stocks I personally like to tell me when to enter and exit on them, so in that case it is just an assist, on those stocks with the algo as a helper it is netting me 10% so far daily (those this last fifgure will likely come down as today was an exceptionally good day for one of the stocks I keep my eye on)

@freemo is this a general purpose algorithm, like one that can be used to predict any stochastic process with some degree better than 50% accuracy over time, or is it specific to the stock market?

@mistermonster Well anythign that is truly and completely random by definition cant be predicted. so not sure any algorithm could do better than 50% on stochastic data if by that you mean full random.

So im not really sure those two statements are different things... But it was designed for the purpose of the stock market, though should be applicable to any data stream with similar characteristics,.

@freemo lol sir you're teasing me. I'm very interested for academic reasons. If you do want to discuss it at all privately I would love that. My profile has an XMPP and Matrix account if you want to talk about it with a little more depth feel free to contact me. I'm very interested in this sort of thing, for more than the ability to make money, that's cool and all but the use cases of such things beyond that are far more interesting.

@mistermonster Its a tricky place I'm in. If i explain it enough to replicate it then I risk loosing the investment advantage. Moreover if i dont explain enough to replicate it I wont be saying anything useful.