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[原创] 《IS Index 》- Individual Stock Index(个股指数)

热度 3已有 651 次阅读2012-12-19 05:33 PM |个人分类:ZZDD| 个股, 指数

《IS Index 》- Individual Stock Index (个股指数)

You all know, I am doing Individual Stock only. In my research, I accidentally found an index, which worked as an indicator to predict SP up/down pretty well. After it worked very good for a while, then it started to become 乱指, 甚至反指。 At the help of many people in a private group, I kept research on it, and finally, find a way to back-test it. I also found a factor to correct the calculation, now, the status is:

IS Index calculation back-test extended to 125 days, 25% failing rate. However, finally found some rule in other region as XX兄 suggested quite while ago. Thanks XX兄!!!

If take the other region factor into account, the failing rate would be a lot lower. Unfortunately, the new factor cannot be quantified. In other words, it cannot be calculated into IS Index. I might report the IS Index and the other factor (if exist) at the same time from now on.

"12-18-2012: IS Index = 4.63 slightly bullish, market over bought may continue 1-2 days . " is an example for 12-18-2012

IS Index: positive: bullish, negative: bearish

鸣谢诸位兄长耐心帮助!!!

试验阶段, 大家千万别信!!!!
丢钱本人概不负责!!!
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2013-4-23 补充:
IS Index - Individual Stock Index.
You know, I am trading individual stocks. I found this statistics in my calculation by an accident, and it worked in a critical time good. Therefore, I kept it. It works good often.
However, sometimes, especially if it is an event/news driven market, such as election time last year, it can  become a 反指,甚至乱指。
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回复 九天 2012-12-20 06:54 PM
赞这种研究精神。
回复 mitwkwk 2013-2-5 09:29 PM
You can try thinkorswim. Easy to write script and back test algorithm for individual stock.
回复 wsjboy 2013-2-5 10:17 PM
mitwkwk: You can try thinkorswim. Easy to write script and back test algorithm for individual stock.
thanks a lot, but is thinkorswim bought bought by TD Ameritade?
回复 mitwkwk 2013-2-7 12:54 AM
yes. But you don't need to open trading account at TD to use thinkorswim. you can register a user name, download the software and start to use it. there are some other free ones. I am more comfortable with this one. Model testing is easy though it may not support very complicated algorithms.
回复 wsjboy 2013-2-7 03:04 AM
mitwkwk: yes. But you don't need to open trading account at TD to use thinkorswim. you can register a user name, download the software and start to use it. the ...
Thanks a lot for the information. I currently is still hand trading, I may eventually switch to program trading. Are you program trading?
回复 mitwkwk 2013-2-7 11:17 PM
I am also doing hand trading following my model. Still trying to sharpen different models to accommodate the market where there is no obvious trend. But I found software like thinkorswim is helpful to do a quick back test.

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