Short MS 1.12 */**/***
Long XRX 0.5 */**/***
Long WFC 0.89 */**/***
Short UBS 0.2 */**/***
Long USB 0.37 */**/***
Long RIO 0.68 *
Short RF 0.54 */**
Long PFE 0.66 */**/***
Long MGM 0.6 */**/***
Short MRK 0.4 **
Long HBC 1.58 *
Long GS 0.55 */**
Short GE 1.26 */**/***
Long XOM 0.21 */**/***
Short BP 0.67 */**
Short T 0.35 **
Long BHP 2.11 *
Long MO 1.08 *
Short SIRI 1.1 *
Short MSFT 0.33 *
Short HBAN 0.4 **/***
Long AAPL 0.4 */**
Strat: spread finder. 0.3 Quantile. 3 days => 1 day. EOP support. Fuzzy 0.01. T10-T5-T1
* No number constraints, use confidence interval
** Number constraints, use weighted sum, compared to 0.05
*** Number constraints, no weight, ignore weak signal, compared to 0.05
Result:
.Short MS. Enter at open $53.03. Take profit at $52.44 occur. Profit 1.12%. */**/***
.Long XRX. Enter at open $29.72. Take profit at $29.87 did not occur. Close at $29.57. Loss 0.5%. */**/***
.Long WFC. Enter at open $62. Take profit at $62.56 did not occur. Close at $61.55. Loss 0.73%. */**/***
.Short UBS. Enter at open $18.3. Take profit at $18.26 occur. Profit 0.2%. */**/***
.Long USB. Enter at open $54.81. Take profit at $55.01 did not occur. Close at $54.48. Loss 0.6%. */**/***
.Long RIO. Enter at open $51.28. Take profit at $51.63 did not occur. Close at $51.12. Loss 0.31%. *
.Short RF. Enter at open $17.56. Take profit at $17.47 occur. Profit 0.54%. */**
.Long PFE. Enter at open $36.27. Take profit at $36.51 did not occur. Close at $36.15. Loss 0.33%. */**/***
.Long MGM. Enter at open $33.65. Take profit at $33.85 did not occur. Close at $33.33. Loss 0.95%. */**/***
.Long HBC. Enter at open $10.58. Take profit at $10.75 did not occur. Close at $10.61. Profit 0.28%. *
.Short MRK. Enter at open $56.6. Take profit at $56.37 occur. Profit 0.4%. **
.Long GS. Enter at open $261.66. Take profit at $263.11 did not occur. Close at $258.98. Loss 1.02%. */**
.Short GE. Enter at open $17.51. Take profit at $17.29 did not occur. Close at $17.51. Profit 0%. */**/***
.Long XOM. Enter at open $83.88. Take profit at $84.06 did not occur. Close at $83.97. Profit 0.11%. */**/***
.Short BP. Enter at open $41.55. Take profit at $41.27 occur. Profit 0.67%. */**
.Long BHP. Enter at open $45.01. Take profit at $45.98 did not occur. Close at $44.99. Loss 0.04%. *
.Long MO. Enter at open $72.01. Take profit at $72.8 did not occur. Close at $72.14. Profit 0.18%. *
.Short SIRI. Enter at open $5.26. Take profit at $5.2 did not occur. Close at $5.37. Loss 2.09%. *
.Short T. Enter at open $38.78. Take profit at $38.64 did not occur. Close at $38.95. Loss 0.44%. **
.Short HBAN. Enter at open $14.88. Take profit at $14.82 occur. Profit 0.4%. **/***
.Short MSFT. Enter at open $85.4. Take profit at $85.12 occur. Profit 0.33%. *
.Long AAPL. Enter at open $174.68. Take profit at $175.38 occur. Profit 0.4%. */**/***
Testing Strategy Journal 