Sell Threshold: 0.5 Buy Threshold: 0.5

Model Prediction

Daysback Date Close -99to-0.03 -0.03to-0.01 -0.01to0.01 0.01to0.03 0.03to99 SELL STAY BUY Actual.Return Actual.Return.ema Direction.predict Actual.Direction.ema Actual.Direction MATCH Pred.Action ACTUAL.ACTION
0 2018-11-13 139.24 0.144 0.159 0.275 0.329 0.093 0.303 0.275 0.422 NA NA 0.01to0.03 NA NA NA STAY NA
-1 2018-11-12 139.44 0.159 0.159 0.275 0.314 0.092 0.319 0.275 0.406 NA NA 0.01to0.03 NA NA NA STAY NA
-2 2018-11-09 142.17 0.104 0.193 0.201 0.325 0.178 0.297 0.201 0.503 NA NA 0.01to0.03 NA NA NA BUY NA
-3 2018-11-08 143.64 0.047 0.228 0.138 0.281 0.306 0.275 0.138 0.587 NA NA 0.03to99 NA NA NA BUY NA
-4 2018-11-07 143.92 0.040 0.286 0.131 0.213 0.330 0.326 0.131 0.543 NA NA 0.03to99 NA NA NA BUY NA
-5 2018-11-06 141.04 0.044 0.311 0.160 0.234 0.251 0.355 0.160 0.485 NA NA -0.03to-0.01 NA NA NA STAY NA
-6 2018-11-05 140.24 0.060 0.273 0.207 0.286 0.174 0.333 0.207 0.460 NA NA 0.01to0.03 NA NA NA STAY NA
-7 2018-11-02 139.56 0.068 0.279 0.226 0.311 0.115 0.347 0.226 0.427 NA NA 0.01to0.03 NA NA NA STAY NA
-8 2018-11-01 140.13 0.035 0.335 0.177 0.220 0.232 0.371 0.177 0.452 NA NA -0.03to-0.01 NA NA NA STAY NA
-9 2018-10-31 138.56 0.053 0.167 0.331 0.343 0.107 0.219 0.331 0.450 NA NA 0.01to0.03 NA NA NA STAY NA
-10 2018-10-30 137.13 0.051 0.137 0.379 0.342 0.090 0.189 0.379 0.432 0.0153869 0.0169203 -0.01to0.01 0.01to0.03 0.01to0.03 FALSE STAY BUY
-11 2018-10-29 135.02 0.077 0.144 0.416 0.310 0.053 0.221 0.416 0.363 0.0327359 0.0172999 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-12 2018-10-26 135.77 0.082 0.166 0.383 0.310 0.059 0.248 0.383 0.369 0.0471385 0.0135615 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-13 2018-10-25 138.16 0.076 0.162 0.322 0.356 0.084 0.238 0.322 0.440 0.0396642 0.0054368 0.01to0.03 -0.01to0.01 0.03to99 FALSE STAY BUY
-14 2018-10-24 135.61 0.190 0.133 0.318 0.305 0.054 0.323 0.318 0.359 0.0612787 -0.0029593 -0.01to0.01 -0.01to0.01 0.03to99 TRUE STAY BUY
-15 2018-10-23 139.96 0.125 0.206 0.234 0.344 0.091 0.331 0.234 0.435 0.0077165 -0.0182849 0.01to0.03 -0.03to-0.01 -0.01to0.01 FALSE STAY STAY
-16 2018-10-22 140.79 0.133 0.171 0.271 0.353 0.071 0.304 0.271 0.425 -0.0039065 -0.0246632 0.01to0.03 -0.03to-0.01 -0.01to0.01 FALSE STAY STAY
-17 2018-10-19 141.35 0.143 0.159 0.289 0.332 0.078 0.301 0.289 0.410 -0.0126636 -0.0297685 0.01to0.03 -0.03to-0.01 -0.03to-0.01 FALSE STAY SELL
-18 2018-10-18 141.72 0.152 0.183 0.290 0.303 0.073 0.335 0.290 0.375 -0.0112193 -0.0339795 0.01to0.03 -99to-0.03 -0.03to-0.01 FALSE STAY SELL
-19 2018-10-17 143.80 0.142 0.201 0.225 0.345 0.087 0.343 0.225 0.432 -0.0364395 -0.0395797 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-20 2018-10-16 143.84 0.151 0.205 0.153 0.373 0.117 0.357 0.153 0.490 -0.0466491 -0.0403634 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-21 2018-10-15 140.74 0.253 0.146 0.173 0.359 0.069 0.399 0.173 0.429 -0.0406423 -0.0387948 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-22 2018-10-12 141.37 0.245 0.131 0.178 0.378 0.069 0.375 0.178 0.447 -0.0396124 -0.0383463 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-23 2018-10-11 139.53 0.216 0.084 0.271 0.405 0.024 0.300 0.271 0.429 -0.0098187 -0.0380394 0.01to0.03 -99to-0.03 -0.01to0.01 FALSE STAY STAY
-24 2018-10-10 142.57 0.160 0.080 0.341 0.403 0.015 0.240 0.341 0.419 -0.0488181 -0.0447181 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-25 2018-10-09 147.26 0.118 0.075 0.343 0.454 0.011 0.193 0.343 0.465 -0.0495722 -0.0437347 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-26 2018-10-08 147.52 0.095 0.110 0.287 0.493 0.015 0.205 0.287 0.509 -0.0456209 -0.0422918 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-27 2018-10-05 147.63 0.080 0.160 0.260 0.481 0.019 0.240 0.260 0.500 -0.0425388 -0.0414694 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-28 2018-10-04 148.59 0.044 0.177 0.227 0.525 0.027 0.221 0.227 0.552 -0.0462346 -0.0412057 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-29 2018-10-03 149.86 0.026 0.147 0.205 0.586 0.037 0.173 0.205 0.623 -0.0404377 -0.0399602 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-30 2018-10-02 149.66 0.030 0.143 0.205 0.585 0.037 0.173 0.205 0.622 -0.0388881 -0.0398410 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-31 2018-10-01 149.88 0.032 0.136 0.196 0.597 0.039 0.168 0.196 0.636 -0.0609821 -0.0400784 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-32 2018-09-28 149.65 0.035 0.117 0.188 0.610 0.050 0.152 0.188 0.660 -0.0553291 -0.0348625 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-33 2018-09-27 150.30 0.042 0.093 0.179 0.647 0.039 0.135 0.179 0.687 -0.0716567 -0.0297679 0.01to0.03 -0.03to-0.01 -99to-0.03 FALSE BUY SELL
-34 2018-09-26 149.95 0.046 0.093 0.206 0.619 0.037 0.139 0.206 0.655 -0.0492164 -0.0192954 0.01to0.03 -0.03to-0.01 -99to-0.03 FALSE BUY SELL
-35 2018-09-25 150.53 0.024 0.052 0.268 0.614 0.042 0.076 0.268 0.656 -0.0217232 -0.0118367 0.01to0.03 -0.03to-0.01 -0.03to-0.01 FALSE BUY SELL
-36 2018-09-24 150.61 0.027 0.055 0.251 0.619 0.047 0.083 0.251 0.667 -0.0205166 -0.0093621 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-37 2018-09-21 151.16 0.033 0.064 0.235 0.622 0.046 0.097 0.235 0.668 -0.0233527 -0.0065673 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-38 2018-09-20 151.31 0.033 0.061 0.259 0.573 0.075 0.093 0.259 0.647 -0.0179763 -0.0023402 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-39 2018-09-19 150.15 0.044 0.101 0.250 0.577 0.028 0.145 0.250 0.605 -0.0019314 0.0016097 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE BUY STAY

Model Cycle Metrics

Position Price.start Price.end change start.date end.date w.start w.end run.length MATCH
STOCKS 43.450 NA NA 2009-04-24 NA 1 0 -1 NA
STOCKS 43.450 47.47 4.020 2009-04-24 2009-06-05 1 30 29 TRUE
CASH 47.340 45.32 -2.020 2009-06-08 2009-07-02 31 49 18 TRUE
STOCKS 45.150 54.44 9.290 2009-07-06 2009-09-18 50 103 53 TRUE
CASH 54.290 53.79 -0.500 2009-09-21 2009-09-29 104 110 6 TRUE
STOCKS 53.590 55.61 2.020 2009-09-30 2009-10-15 111 122 11 TRUE
CASH 55.200 53.63 -1.570 2009-10-16 2009-10-29 123 132 9 TRUE
STOCKS 52.180 58.04 5.860 2009-10-30 2010-01-08 133 180 47 TRUE
CASH 58.120 53.89 -4.230 2010-01-11 2010-02-04 181 198 17 TRUE
STOCKS 53.980 61.75 7.770 2010-02-05 2010-04-21 199 250 51 TRUE
CASH 62.050 56.66 -5.390 2010-04-22 2010-06-03 251 280 29 TRUE
STOCKS 54.669 56.00 1.331 2010-06-04 2010-06-14 281 287 6 TRUE
CASH 57.260 52.56 -4.700 2010-06-15 2010-06-30 288 299 11 TRUE
STOCKS 52.330 57.46 5.130 2010-07-01 2010-08-02 300 321 21 TRUE
CASH 57.150 53.62 -3.530 2010-08-03 2010-08-24 322 337 15 TRUE
STOCKS 53.790 68.71 14.920 2010-08-25 2011-02-28 338 466 128 TRUE
CASH 67.550 66.37 -1.180 2011-03-01 2011-03-15 467 477 10 TRUE
STOCKS 65.220 69.78 4.560 2011-03-16 2011-05-09 478 515 37 TRUE
CASH 70.400 65.60 -4.800 2011-05-10 2011-06-15 516 541 25 TRUE
STOCKS 65.710 67.65 1.940 2011-06-16 2011-07-18 542 563 21 TRUE
CASH 68.790 58.70 -10.090 2011-07-19 2011-08-18 564 586 22 TRUE
STOCKS 57.650 61.04 3.390 2011-08-19 2011-09-08 587 600 13 TRUE
CASH 59.450 58.75 -0.700 2011-09-09 2011-09-28 601 614 13 TRUE
STOCKS 59.180 64.49 5.310 2011-09-29 2011-11-04 615 641 26 TRUE
CASH 64.820 61.30 -3.520 2011-11-07 2011-11-21 642 652 10 TRUE
STOCKS 61.010 72.80 11.790 2011-11-22 2012-03-26 653 737 84 TRUE
CASH 72.560 65.60 -6.960 2012-03-27 2012-06-01 738 784 46 TRUE
STOCKS 65.540 73.23 7.690 2012-06-04 2012-10-10 785 875 90 TRUE
CASH 73.340 70.54 -2.800 2012-10-11 2012-11-13 876 897 21 TRUE
STOCKS 69.550 86.21 16.660 2012-11-14 2013-05-21 898 1026 128 TRUE
CASH 85.360 80.92 -4.440 2013-05-22 2013-06-24 1027 1049 22 TRUE
STOCKS 81.730 88.57 6.840 2013-06-25 2013-08-02 1050 1077 27 TRUE
CASH 88.580 84.73 -3.850 2013-08-05 2013-08-27 1078 1094 16 TRUE
STOCKS 85.040 88.37 3.330 2013-08-28 2013-09-23 1095 1112 17 TRUE
CASH 88.230 87.51 -0.720 2013-09-24 2013-10-03 1113 1120 7 TRUE
STOCKS 88.150 94.63 6.480 2013-10-04 2014-01-13 1121 1189 68 TRUE
CASH 95.670 92.88 -2.790 2014-01-14 2014-01-31 1190 1202 12 TRUE
STOCKS 90.700 96.52 5.820 2014-02-03 2014-03-28 1203 1241 38 TRUE
CASH 97.470 94.89 -2.580 2014-03-31 2014-04-14 1242 1252 10 TRUE
STOCKS 95.540 101.90 6.360 2014-04-15 2014-07-21 1253 1319 66 TRUE
CASH 102.420 99.29 -3.130 2014-07-22 2014-08-05 1320 1330 10 TRUE
STOCKS 99.310 102.81 3.500 2014-08-06 2014-09-15 1331 1358 27 TRUE
CASH 103.540 96.10 -7.440 2014-09-16 2014-10-13 1359 1378 19 TRUE
STOCKS 96.400 106.60 10.200 2014-10-14 2014-11-28 1379 1411 32 TRUE
CASH 105.700 104.99 -0.710 2014-12-01 2014-12-11 1412 1420 8 TRUE
STOCKS 103.340 107.04 3.700 2014-12-12 2014-12-24 1421 1429 8 TRUE
CASH 107.360 104.95 -2.410 2014-12-26 2015-01-27 1430 1450 20 TRUE
STOCKS 103.530 109.48 5.950 2015-01-28 2015-02-25 1451 1470 19 TRUE
CASH 109.410 107.25 -2.160 2015-02-26 2015-03-31 1471 1494 23 TRUE
STOCKS 107.050 110.42 3.370 2015-04-01 2015-06-18 1495 1549 54 TRUE
CASH 109.940 107.30 -2.640 2015-06-19 2015-07-06 1550 1560 10 TRUE
STOCKS 107.890 107.74 -0.150 2015-07-07 2015-08-06 1561 1583 22 FALSE
CASH 107.430 99.61 -7.820 2015-08-07 2015-09-25 1584 1618 34 TRUE
STOCKS 96.940 107.47 10.530 2015-09-28 2015-11-25 1619 1661 42 TRUE
CASH 107.630 93.78 -13.850 2015-11-27 2016-02-08 1662 1710 48 TRUE
STOCKS 93.660 108.46 14.800 2016-02-09 2016-06-07 1711 1793 82 TRUE
CASH 108.840 107.98 -0.860 2016-06-08 2016-06-23 1794 1805 11 TRUE
STOCKS 104.040 112.15 8.110 2016-06-24 2016-08-29 1806 1851 45 TRUE
CASH 111.970 108.89 -3.080 2016-08-30 2016-10-31 1852 1895 43 TRUE
STOCKS 108.080 126.64 18.560 2016-11-01 2017-08-03 1896 2085 189 TRUE
CASH 126.910 125.06 -1.850 2017-08-04 2017-08-24 2086 2100 14 TRUE
STOCKS 125.360 145.06 19.700 2017-08-25 2018-01-22 2101 2202 101 TRUE
CASH 145.420 132.41 -13.010 2018-01-23 2018-02-08 2203 2215 12 TRUE
STOCKS 134.230 139.44 5.210 2018-02-09 2018-11-12 2216 2407 191 TRUE

Prediction Error

                 Actual.Direction.ema
Direction.predict -99to-0.03 -0.03to-0.01 -0.01to0.01 0.01to0.03 0.03to99
     -99to-0.03            0            0           0          0        0
     -0.03to-0.01          0            0           0          0        0
     -0.01to0.01           0            4           4         13        0
     0.01to0.03           22           15          63         45        0
     0.03to99              0            0           3          0        0

Actual Direction Error

                Actual.Direction.ema
Actual.Direction -99to-0.03 -0.03to-0.01 -0.01to0.01 0.01to0.03 0.03to99
    -99to-0.03           18            6           1          0        0
    -0.03to-0.01          3            7          11          0        0
    -0.01to0.01           1            5          39         17        0
    0.01to0.03            0            1          15         29        0
    0.03to99              0            0           4         12        0

Action Error

      ACTUAL.ACTION
ACTION BUY SELL STAY
  BUY   22   32   51
  SELL   0    0    0
  STAY  39   14   11

Error Rates Summary

  Model.Fit.Error Prediction.Error Actual.Direction.Error Action.Error TOTAL.Prediction.Error TOTAL.Actual.Direction.Error TOTAL.Action.Error
1            0.17             0.71                   0.45          0.8                   0.05                         0.46               0.35

Cycle Error

[1] 0

Plot of predicted postions based on policy

Daily Intraday Trading Report