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[原创] AIQuant Research (4)：One-day Two-trades

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charley
发表于 2009-2-16 04:45 PM | 显示全部楼层 |阅读模式

This research is based on QQQQ minute data from 07/27/2007 to 01/07/2009, total 360 trading days. The method is a brute-force on any possible day-trade (enter at any time and exit any time after entrance.) at the same time of these 360 days. The best 50 short trades and 50 long trades are listed below. It is quite interesting that most of the short trades are in the early morning and most of the long trades are in the noon time. The best "One-day Two-trades" strategy is every day "Short at 9:33, cover at 11:17, then long at 11:19, close at 13:19". The total gain in the past 1.5 years is (1+33.1%)*(1+45.25%)-1 = 99.32%.

In time
Out time
Mean gain(%)
Gain std(%)
Min gain(%)
Max gain(%)
Compound gain(%)
Gompound gain mean(%)
Count
9:3311:17-0.10.76-3.184.52-33.1-0.11360
9:3311:29-0.10.84-3.174.8-32.91-0.11360
9:3311:25-0.10.84-2.975.48-32.88-0.11360
9:3311:23-0.10.8-35.26-32.69-0.1360
9:3311:11-0.10.72-2.934.12-32.11-0.1360
9:3311:27-0.10.85-3.045.11-31.98-0.1360
9:3711:17-0.10.76-3.184.68-31.93-0.1360
9:3311:19-0.10.77-3.124.77-31.92-0.1360
9:3311:35-0.10.86-3.214.08-31.75-0.1360
9:3711:29-0.10.83-2.564.96-31.74-0.1360
9:3711:25-0.10.83-3.055.64-31.71-0.1360
9:3711:23-0.10.8-3.295.42-31.52-0.1360
9:3511:17-0.10.76-3.274.71-31.46-0.1360
9:3511:29-0.10.84-2.574.99-31.27-0.1360
9:3311:33-0.10.86-3.344.86-31.27-0.1360
9:4311:17-0.10.73-3.573.62-31.26-0.1360
9:3511:25-0.10.84-2.695.67-31.23-0.1360
9:4311:29-0.10.81-2.833.99-31.07-0.1360
9:3511:23-0.090.8-2.95.46-31.04-0.1360
9:4311:25-0.090.8-3.164.57-31.03-0.1360
9:3311:09-0.10.73-2.724.7-30.93-0.1360
9:3711:11-0.10.72-2.934.28-30.93-0.1360
9:3111:17-0.090.76-3.064.45-30.92-0.1360
9:5711:17-0.090.72-3.723.43-30.87-0.1360
9:4111:17-0.090.74-3.394.16-30.85-0.1360
9:4311:23-0.090.76-2.94.36-30.84-0.1360
9:3711:27-0.090.84-2.85.27-30.79-0.1360
9:3111:29-0.090.84-2.724.73-30.73-0.1360
9:3711:19-0.090.77-3.344.93-30.73-0.1360
9:3311:15-0.090.75-3.034.61-30.71-0.1360
9:3111:25-0.090.83-2.975.41-30.69-0.1360
9:3311:21-0.090.8-3.375.32-30.68-0.1360
9:5711:29-0.090.82-3.065.5-30.68-0.1360
9:4111:29-0.090.82-2.84.44-30.65-0.1360
9:5711:25-0.090.8-3.194.45-30.65-0.1360
9:4111:25-0.090.82-3.245.12-30.62-0.1360
9:3711:35-0.090.85-2.794.25-30.56-0.1360
9:3911:17-0.090.74-3.243.94-30.5-0.1360
9:3111:23-0.090.8-35.2-30.5-0.1360
9:5711:23-0.090.77-2.934.34-30.46-0.1360
9:3511:11-0.090.73-3.024.31-30.45-0.1360
9:4111:23-0.090.78-3.034.9-30.43-0.1360
9:3311:31-0.090.86-3.14.95-30.42-0.1360
9:3311:05-0.090.72-2.725.01-30.42-0.1360
9:3311:07-0.090.73-2.654.61-30.36-0.1360
9:3911:29-0.090.81-2.74.22-30.31-0.1360
9:3511:27-0.090.85-2.775.3-30.31-0.1360
9:3911:25-0.090.81-2.944.89-30.28-0.1360
9:3511:19-0.090.78-3.214.96-30.25-0.1360
9:4311:11-0.090.69-3.323.22-30.24-0.1360
11:2113:210.11.45-5.147.5638.880.09360
11:2712:110.090.7-2.254.1239.020.09360
11:1912:110.090.73-2.513.3839.020.09360
11:3112:290.090.88-2.976.0839.050.09360
11:2712:290.090.92-2.976.0539.320.09360
11:1912:290.090.93-2.974.7839.320.09360
11:0913:190.11.48-5.638.2539.470.09360
11:3712:310.090.9-3.37.4339.510.09360
11:2913:310.11.35-4.926.9639.650.09360
11:1313:310.11.38-5.368.339.70.09360
11:2112:310.090.94-2.666.4339.830.09360
11:2913:210.11.39-5.236.9339.850.09360
11:1313:210.11.44-5.667.9639.90.09360
11:1513:190.11.47-5.328.35400.09360
11:2513:310.11.35-4.697.3940.150.09360
11:3313:190.11.42-5.418.2940.260.09360
11:0713:190.11.49-5.788.3340.290.09360
11:3712:150.090.72-2.744.1740.320.09360
11:2513:210.11.4-57.0640.350.09360
11:2112:150.090.78-2.513.8740.640.09360
11:3113:310.11.34-4.78740.640.09360
11:2912:310.090.9-2.766.7540.810.09360
11:2313:190.11.45-4.977.5340.810.09360
11:3113:210.11.38-5.087.3240.840.09360
11:1312:310.090.96-3.165.7540.860.09360
11:1713:190.11.46-5.618.6440.860.09360
11:2713:310.11.36-4.877.4640.910.09360
11:1913:310.11.36-5.077.7540.920.09360
11:1113:190.11.5-5.988.7541.070.09360
11:2713:210.11.42-5.177.1341.110.09360
11:1913:210.11.42-5.377.4241.120.09360
11:3513:190.11.41-5.068.0441.140.09360
11:2512:310.10.9-3.175.9741.310.09360
11:2912:150.090.75-2.094.6141.620.09360
11:1312:150.10.81-2.713.541.670.09360
11:3112:310.10.89-2.926.8241.810.09360
11:2712:310.10.92-2.846.7842.080.09360
11:1912:310.10.93-2.655.5142.090.09360
11:2512:150.10.75-2.323.9742.120.09360
11:3112:150.10.73-2.254.2742.620.09360
11:3713:190.11.4-5.068.0942.620.09360
11:2712:150.10.76-2.154.6142.90.09360
11:1912:150.10.78-2.413.8742.90.09360
11:2113:190.11.46-5.237.6342.950.09360
11:2913:190.111.41-5.327.3943.950.1360
11:1313:190.111.48-5.758.92440.1360
11:2513:190.111.41-5.097.1244.460.1360
11:3113:190.111.41-5.177.8144.970.1360
11:2713:190.111.43-5.267.345.250.1360
11:1913:190.111.44-5.467.8745.250.1360
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发表于 2009-2-16 04:50 PM | 显示全部楼层
interesting. thanks!
回复 鲜花 鸡蛋

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yaobooyao
发表于 2009-2-16 05:18 PM | 显示全部楼层
But the point is, how can a Quant Trade Model capture the entry / exit point?
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charley
 楼主| 发表于 2009-2-16 05:43 PM | 显示全部楼层
Sorry the total gain was wrong. The equation to compute from "long loss" to "short gain" is not simply change from (1+x%) to (1-x%). We need the compound. The final total gain is (1+46.29%)*(1+45.25%)-1 = 112.48%

In time  Out time  Mean gain(%)  Gain std(%)  Min gain(%)  Max gain(%)  Compound gain(%)  Gompound gain mean(%)  Count
9:33 11:17 -0.1 0.76 -3.18 4.52 46.29 0.1 360
9:33 11:29 -0.1 0.84 -3.17 4.8 45.21 0.1 360
9:33 11:25 -0.1 0.84 -2.97 5.48 45.17 0.1 360
9:33 11:23 -0.1 0.8 -3 5.26 45.09 0.1 360
9:33 11:11 -0.1 0.72 -2.93 4.12 44.46 0.1 360
9:33 11:27 -0.1 0.85 -3.04 5.11 43.16 0.09 360
9:37 11:17 -0.1 0.76 -3.18 4.68 43.79 0.1 360
9:33 11:19 -0.1 0.77 -3.12 4.77 43.66 0.1 360
9:33 11:35 -0.1 0.86 -3.21 4.08 42.54 0.09 360
9:37 11:29 -0.1 0.83 -2.56 4.96 42.82 0.09 360
9:37 11:25 -0.1 0.83 -3.05 5.64 42.72 0.09 360
9:37 11:23 -0.1 0.8 -3.29 5.42 42.63 0.09 360
9:35 11:17 -0.1 0.76 -3.27 4.71 42.78 0.09 360
9:35 11:29 -0.1 0.84 -2.57 4.99 41.75 0.09 360
9:33 11:33 -0.1 0.86 -3.34 4.86 41.55 0.09 360
9:43 11:17 -0.1 0.73 -3.57 3.62 42.65 0.09 360
9:35 11:25 -0.1 0.84 -2.69 5.67 41.69 0.09 360
9:43 11:29 -0.1 0.81 -2.83 3.99 41.63 0.09 360
9:35 11:23 -0.09 0.8 -2.9 5.46 41.61 0.09 360
9:43 11:25 -0.09 0.8 -3.16 4.57 41.61 0.09 360
9:33 11:09 -0.1 0.73 -2.72 4.7 41.97 0.09 360
9:37 11:11 -0.1 0.72 -2.93 4.28 41.98 0.09 360
9:31 11:17 -0.09 0.76 -3.06 4.45 41.7 0.09 360
9:57 11:17 -0.09 0.72 -3.72 3.43 41.92 0.09 360
9:41 11:17 -0.09 0.74 -3.39 4.16 41.68 0.09 360
9:43 11:23 -0.09 0.76 -2.9 4.36 41.55 0.09 360
9:37 11:27 -0.09 0.84 -2.8 5.27 40.77 0.09 360
9:31 11:29 -0.09 0.84 -2.72 4.73 40.66 0.09 360
9:37 11:19 -0.09 0.77 -3.34 4.93 41.19 0.09 360
9:33 11:15 -0.09 0.75 -3.03 4.61 41.36 0.09 360
9:31 11:25 -0.09 0.83 -2.97 5.41 40.63 0.09 360
9:33 11:21 -0.09 0.8 -3.37 5.32 40.93 0.09 360
9:57 11:29 -0.09 0.82 -3.06 5.5 40.75 0.09 360
9:41 11:29 -0.09 0.82 -2.8 4.44 40.69 0.09 360
9:57 11:25 -0.09 0.8 -3.19 4.45 40.8 0.09 360
9:41 11:25 -0.09 0.82 -3.24 5.12 40.64 0.09 360
9:37 11:35 -0.09 0.85 -2.79 4.25 40.18 0.09 360
9:39 11:17 -0.09 0.74 -3.24 3.94 41 0.09 360
9:31 11:23 -0.09 0.8 -3 5.2 40.55 0.09 360
9:57 11:23 -0.09 0.77 -2.93 4.34 40.71 0.09 360
9:35 11:11 -0.09 0.73 -3.02 4.31 40.99 0.09 360
9:41 11:23 -0.09 0.78 -3.03 4.9 40.55 0.09 360
9:33 11:31 -0.09 0.86 -3.1 4.95 39.86 0.09 360
9:33 11:05 -0.09 0.72 -2.72 5.01 40.96 0.09 360
9:33 11:07 -0.09 0.73 -2.65 4.61 40.81 0.09 360
9:39 11:29 -0.09 0.81 -2.7 4.22 40.03 0.09 360
9:35 11:27 -0.09 0.85 -2.77 5.3 39.73 0.09 360
9:39 11:25 -0.09 0.81 -2.94 4.89 39.98 0.09 360
9:35 11:19 -0.09 0.78 -3.21 4.96 40.2 0.09 360
9:43 11:11 -0.09 0.69 -3.32 3.22 40.85 0.09 360
11:21 13:21 0.1 1.45 -5.14 7.56 38.88 0.09 360
11:27 12:11 0.09 0.7 -2.25 4.12 39.02 0.09 360
11:19 12:11 0.09 0.73 -2.51 3.38 39.02 0.09 360
11:31 12:29 0.09 0.88 -2.97 6.08 39.05 0.09 360
11:27 12:29 0.09 0.92 -2.97 6.05 39.32 0.09 360
11:19 12:29 0.09 0.93 -2.97 4.78 39.32 0.09 360
11:09 13:19 0.1 1.48 -5.63 8.25 39.47 0.09 360
11:37 12:31 0.09 0.9 -3.3 7.43 39.51 0.09 360
11:29 13:31 0.1 1.35 -4.92 6.96 39.65 0.09 360
11:13 13:31 0.1 1.38 -5.36 8.3 39.7 0.09 360
11:21 12:31 0.09 0.94 -2.66 6.43 39.83 0.09 360
11:29 13:21 0.1 1.39 -5.23 6.93 39.85 0.09 360
11:13 13:21 0.1 1.44 -5.66 7.96 39.9 0.09 360
11:15 13:19 0.1 1.47 -5.32 8.35 40 0.09 360
11:25 13:31 0.1 1.35 -4.69 7.39 40.15 0.09 360
11:33 13:19 0.1 1.42 -5.41 8.29 40.26 0.09 360
11:07 13:19 0.1 1.49 -5.78 8.33 40.29 0.09 360
11:37 12:15 0.09 0.72 -2.74 4.17 40.32 0.09 360
11:25 13:21 0.1 1.4 -5 7.06 40.35 0.09 360
11:21 12:15 0.09 0.78 -2.51 3.87 40.64 0.09 360
11:31 13:31 0.1 1.34 -4.78 7 40.64 0.09 360
11:29 12:31 0.09 0.9 -2.76 6.75 40.81 0.09 360
11:23 13:19 0.1 1.45 -4.97 7.53 40.81 0.09 360
11:31 13:21 0.1 1.38 -5.08 7.32 40.84 0.09 360
11:13 12:31 0.09 0.96 -3.16 5.75 40.86 0.09 360
11:17 13:19 0.1 1.46 -5.61 8.64 40.86 0.09 360
11:27 13:31 0.1 1.36 -4.87 7.46 40.91 0.09 360
11:19 13:31 0.1 1.36 -5.07 7.75 40.92 0.09 360
11:11 13:19 0.1 1.5 -5.98 8.75 41.07 0.09 360
11:27 13:21 0.1 1.42 -5.17 7.13 41.11 0.09 360
11:19 13:21 0.1 1.42 -5.37 7.42 41.12 0.09 360
11:35 13:19 0.1 1.41 -5.06 8.04 41.14 0.09 360
11:25 12:31 0.1 0.9 -3.17 5.97 41.31 0.09 360
11:29 12:15 0.09 0.75 -2.09 4.61 41.62 0.09 360
11:13 12:15 0.1 0.81 -2.71 3.5 41.67 0.09 360
11:31 12:31 0.1 0.89 -2.92 6.82 41.81 0.09 360
11:27 12:31 0.1 0.92 -2.84 6.78 42.08 0.09 360
11:19 12:31 0.1 0.93 -2.65 5.51 42.09 0.09 360
11:25 12:15 0.1 0.75 -2.32 3.97 42.12 0.09 360
11:31 12:15 0.1 0.73 -2.25 4.27 42.62 0.09 360
11:37 13:19 0.1 1.4 -5.06 8.09 42.62 0.09 360
11:27 12:15 0.1 0.76 -2.15 4.61 42.9 0.09 360
11:19 12:15 0.1 0.78 -2.41 3.87 42.9 0.09 360
11:21 13:19 0.1 1.46 -5.23 7.63 42.95 0.09 360
11:29 13:19 0.11 1.41 -5.32 7.39 43.95 0.1 360
11:13 13:19 0.11 1.48 -5.75 8.92 44 0.1 360
11:25 13:19 0.11 1.41 -5.09 7.12 44.46 0.1 360
11:31 13:19 0.11 1.41 -5.17 7.81 44.97 0.1 360
11:27 13:19 0.11 1.43 -5.26 7.3 45.25 0.1 360
11:19 13:19 0.11 1.44 -5.46 7.87 45.25 0.1 360
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源济
发表于 2009-2-16 05:43 PM | 显示全部楼层
interesting... Thanks!
回复 鲜花 鸡蛋

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