| Author | Post |
|---|
James Bull
Forum Guru
| Joined: | Mon Oct 16th, 2006 |
| Location: | Classified |
| Posts: | 492 |
| Status: |
Offline
|
| Mana: |  |
|
Posting #1: Wed Sep 12th, 2007 10:58 |
|
i'll put the quarterly performance soon.
(Paiseh....I just corrected the wrong formula of Expectancy Value)
____________________
The only thing we learn from financial history is that we learn nothing from it!
|
James Bull
Forum Guru
| Joined: | Mon Oct 16th, 2006 |
| Location: | Classified |
| Posts: | 492 |
| Status: |
Offline
|
| Mana: | |
|
Posting #2: Wed Sep 12th, 2007 11:01 |
|
Let's talk.
(Paiseh....I just corrected the wrong formula of Expectancy Value)
____________________
The only thing we learn from financial history is that we learn nothing from it!
|
Moolah
Forum Whacko
| Joined: | Sun Jul 9th, 2006 |
| Location: | Moo Moo Land |
| Posts: | 12809 |
| Status: |
Offline
|
| Mana: |  |
|
Posting #3: Wed Sep 12th, 2007 11:19 |
|
CB,
Many thanks for the table. How is the 'performance' data derived?
rgds
____________________
|
James Bull
Forum Guru
| Joined: | Mon Oct 16th, 2006 |
| Location: | Classified |
| Posts: | 492 |
| Status: |
Offline
|
| Mana: | |
|
Posting #4: Wed Sep 12th, 2007 12:19 |
|
Ok i'll explain a bit...
The purpose of this study is to understand the statistical behaviour of malaysia boleh index (KLCI lah!) and how could we benefit from its behaviour. Although the index cannot represent the real market condition but I think it is ok to measure the market sentiment. Of course this study is not for a buy/sell recommendation because making money in stock market is much more sophisticated than a basic math.
Basically the basic data entry derived from KLCI at the end of month/quarter. It measured the changes of KLCI monthly or quarterly performance in percentage. Please bear in mind that I DO NOT measure the monthly/quarterly high & low in the study.
The analysis is divided into 2 parts: Form5 math & trader's math. let me just give a brief explanation on the 1st part.
Total : sum of monthly/quarterly changes
n : Quantity of month/quarter (Number of data entry)
Average: Self explanatory
Median: Check it out at WIKI or dig out your form5 textbook. Basically the closer it is to the average, the better it is.
Max: Maximum changes
Min: Minimum changes
Standard Dev: Standard Deviation. Check out at WIKI or dig out your form5 textbook. Basically It measure volatility of the data entry.
p/s: can anyone tell me why Mr. Bollinger suggested 2 standard deviation on his Bollinger Band?
I mau cabut liao...i'll continue later.
To be continued...
Last edited on Wed Sep 12th, 2007 12:29 by James Bull
____________________
The only thing we learn from financial history is that we learn nothing from it!
|
James Bull
Forum Guru
| Joined: | Mon Oct 16th, 2006 |
| Location: | Classified |
| Posts: | 492 |
| Status: |
Offline
|
| Mana: | |
|
Posting #5: Wed Sep 12th, 2007 15:31 |
|
ok Tahi kerbau continue...
Traders' math here:
% of Win : Percentage of month/quarter that registered a gain
% of Loss : Percentage of month/quarter that registered a loss
Avg Win/Avg Loss : Ratio of average gain of profitable month/quarter to average loss of losing month/quarter
Profit Factor : Ratio of profit generated by profitable month/quarter to losses generated by losing month/quarter. Profit factor of 2 means in average we make 20% for every 10% we loss.
Expectancy Value : Similar to profit factor but this tells us the amount. Read what moomoo has blogged. (Personally I prefer profit factor)
I'll stop here so that you can study the both tables and think the meaning of those numbers 1st.
Any questions so far?
____________________
The only thing we learn from financial history is that we learn nothing from it!
|
madviruz
Forum Addict
| Joined: | Wed Nov 8th, 2006 |
| Location: | Malaysia |
| Posts: | 162 |
| Status: |
Offline
|
| Mana: |  |
|
Posting #6: Fri Sep 14th, 2007 03:47 |
|
CB,
Thats plenty of work. The values are eod end of quarter?
Will you consider adding variance into the spreadsheet.
What are the advantages in expectancy values compared with profit factor.
____________________
madviruz
|
James Bull
Forum Guru
| Joined: | Mon Oct 16th, 2006 |
| Location: | Classified |
| Posts: | 492 |
| Status: |
Offline
|
| Mana: | |
|
Posting #7: Fri Sep 14th, 2007 06:21 |
|
Thats plenty of work. The values are eod end of quarter?
Yes, These changes were taken by comparing the end of current month/quarter to the end of previous month/quarter.
Will you consider adding variance into the spreadsheet.
Basically standard deviation is the square root of variance. I'll add it if you think it's necessary.
What are the advantages in expectancy values compared with profit factor.
Expectancy = (% of Win * Average Win) - (% of Loss * Average Loss)
Profit factor = (% of Win * Average Win ) / (% of Loss * Average Loss)
Based on the formula, I can say that expectancy tells the gain/loss we can expect from every trade; Profit factor tells us the gain we can expect from every moola lost.
For instance, Expectancy of -RM100 means a loss of RM100 is expected from every trade; Profit factor of 0.5 means we can make RM50 for every RM100 we lost (Therefore profit factor must beyond 1 in order to make money and preferable minimum 3. Errr....maybe i should say profit factor give us have a better picture about risk reward ratio.)
Hope that Help. :s18:
Last edited on Fri Sep 14th, 2007 08:03 by James Bull
____________________
The only thing we learn from financial history is that we learn nothing from it!
|
madviruz
Forum Addict
| Joined: | Wed Nov 8th, 2006 |
| Location: | Malaysia |
| Posts: | 162 |
| Status: |
Offline
|
| Mana: | |
|
Posting #8: Fri Sep 14th, 2007 10:31 |
|
Thanks CB.
As an investor I am very interested in the minimum and maximum movement of my investment as well as the performance. But I am more interested in the tendency of my investment to be. The mode may be an interesting value to have here.
The sampling data is small and the standard error big. The seasonal cyclical variation seen in the data could do with more values. I have data stretching back to Jan 1977. You keen to do more homework?
Thanks.
____________________
madviruz
|
James Bull
Forum Guru
| Joined: | Mon Oct 16th, 2006 |
| Location: | Classified |
| Posts: | 492 |
| Status: |
Offline
|
| Mana: | |
|
Posting #9: Fri Sep 14th, 2007 10:52 |
|
madvirus,
You are right, the sampling data is quite small due to my limited resources. Well if you dont mind then you can send the data to me. I'll try to do further analysis.
thanks.
Last edited on Fri Sep 14th, 2007 11:01 by James Bull
____________________
The only thing we learn from financial history is that we learn nothing from it!
|
madviruz
Forum Addict
| Joined: | Wed Nov 8th, 2006 |
| Location: | Malaysia |
| Posts: | 162 |
| Status: |
Offline
|
| Mana: | |
|
Posting #10: Wed Sep 19th, 2007 03:32 |
|
I could not send the data without your email.
____________________
madviruz
|
Current time is 22:33 | Page: 1 2   |
|
