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 2018-05-18 140.20 0.010 0.038 0.477 0.447 0.029 0.048 0.477 0.475 NA NA -0.01to0.01 NA NA NA STAY NA
-1 2018-05-17 140.51 0.010 0.026 0.497 0.435 0.032 0.036 0.497 0.467 NA NA -0.01to0.01 NA NA NA STAY NA
-2 2018-05-16 140.47 0.008 0.048 0.484 0.410 0.050 0.056 0.484 0.460 NA NA -0.01to0.01 NA NA NA STAY NA
-3 2018-05-15 139.79 0.016 0.065 0.427 0.464 0.028 0.081 0.427 0.492 NA NA 0.01to0.03 NA NA NA STAY NA
-4 2018-05-14 140.64 0.002 0.027 0.352 0.573 0.047 0.029 0.352 0.619 NA NA 0.01to0.03 NA NA NA BUY NA
-5 2018-05-11 140.57 0.005 0.025 0.377 0.539 0.054 0.030 0.377 0.593 NA NA 0.01to0.03 NA NA NA BUY NA
-6 2018-05-10 140.29 0.009 0.020 0.375 0.501 0.095 0.029 0.375 0.596 NA NA 0.01to0.03 NA NA NA BUY NA
-7 2018-05-09 139.08 0.041 0.042 0.315 0.489 0.114 0.083 0.315 0.603 NA NA 0.01to0.03 NA NA NA BUY NA
-8 2018-05-08 137.78 0.066 0.079 0.401 0.427 0.027 0.145 0.401 0.454 NA NA 0.01to0.03 NA NA NA STAY NA
-9 2018-05-07 137.73 0.049 0.069 0.410 0.438 0.035 0.117 0.410 0.473 NA NA 0.01to0.03 NA NA NA STAY NA
-10 2018-05-04 137.13 0.065 0.111 0.384 0.403 0.037 0.177 0.384 0.439 0.0223875 0.0233486 0.01to0.03 0.01to0.03 0.01to0.03 TRUE STAY BUY
-11 2018-05-03 135.38 0.061 0.085 0.489 0.349 0.017 0.145 0.489 0.365 0.0378933 0.0235902 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-12 2018-05-02 135.75 0.037 0.080 0.502 0.366 0.015 0.117 0.502 0.381 0.0347698 0.0200471 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-13 2018-05-01 136.54 0.033 0.093 0.431 0.419 0.023 0.127 0.431 0.442 0.0238025 0.0163961 -0.01to0.01 0.01to0.03 0.01to0.03 FALSE STAY BUY
-14 2018-04-30 136.33 0.035 0.070 0.461 0.420 0.013 0.105 0.461 0.433 0.0316145 0.0145498 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-15 2018-04-27 137.33 0.029 0.084 0.437 0.436 0.014 0.113 0.437 0.450 0.0235928 0.0103069 -0.01to0.01 0.01to0.03 0.01to0.03 FALSE STAY BUY
-16 2018-04-26 137.24 0.038 0.085 0.381 0.466 0.029 0.123 0.381 0.495 0.0222238 0.0069779 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-17 2018-04-25 135.95 0.054 0.054 0.421 0.439 0.031 0.108 0.421 0.471 0.0230232 0.0031586 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-18 2018-04-24 135.80 0.058 0.067 0.373 0.457 0.045 0.125 0.373 0.502 0.0145803 -0.0017617 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE BUY BUY
-19 2018-04-23 137.45 0.077 0.100 0.283 0.477 0.062 0.177 0.283 0.539 0.0020371 -0.0057947 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE BUY STAY
-20 2018-04-20 137.50 0.105 0.091 0.244 0.448 0.112 0.196 0.244 0.560 -0.0026909 -0.0077506 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE BUY STAY
-21 2018-04-19 138.60 0.080 0.074 0.213 0.425 0.208 0.154 0.213 0.633 -0.0232323 -0.0090144 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-22 2018-04-18 139.36 0.041 0.049 0.166 0.417 0.327 0.090 0.166 0.744 -0.0259041 -0.0054283 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-23 2018-04-17 139.17 0.037 0.058 0.167 0.328 0.409 0.095 0.167 0.737 -0.0188978 -0.0002167 0.03to99 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-24 2018-04-16 137.72 0.057 0.059 0.147 0.331 0.405 0.117 0.147 0.737 -0.0100929 0.0045516 0.03to99 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-25 2018-04-13 136.58 0.082 0.109 0.189 0.374 0.245 0.191 0.189 0.619 0.0054913 0.0082602 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE BUY STAY
-26 2018-04-12 136.97 0.055 0.085 0.159 0.290 0.411 0.140 0.159 0.701 0.0019712 0.0089565 0.03to99 -0.01to0.01 -0.01to0.01 FALSE BUY STAY
-27 2018-04-11 135.87 0.070 0.126 0.249 0.383 0.171 0.196 0.249 0.555 0.0005888 0.0107216 0.01to0.03 0.01to0.03 -0.01to0.01 TRUE BUY STAY
-28 2018-04-10 136.50 0.047 0.122 0.201 0.339 0.291 0.169 0.201 0.630 -0.0051282 0.0132633 0.01to0.03 0.01to0.03 -0.01to0.01 TRUE BUY STAY
-29 2018-04-09 134.32 0.061 0.098 0.312 0.407 0.122 0.159 0.312 0.529 0.0233026 0.0179071 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-30 2018-04-06 133.87 0.093 0.104 0.319 0.376 0.109 0.197 0.319 0.485 0.0271159 0.0165686 0.01to0.03 0.01to0.03 0.01to0.03 TRUE STAY BUY
-31 2018-04-05 136.74 0.049 0.105 0.224 0.331 0.291 0.154 0.224 0.622 0.0136025 0.0139678 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-32 2018-04-04 135.79 0.069 0.149 0.224 0.386 0.171 0.219 0.224 0.557 0.0262906 0.0140600 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-33 2018-04-03 134.28 0.054 0.139 0.291 0.371 0.145 0.193 0.291 0.515 0.0364164 0.0109934 0.01to0.03 0.01to0.03 0.03to99 TRUE BUY BUY
-34 2018-04-02 132.63 0.102 0.135 0.308 0.369 0.085 0.237 0.308 0.455 0.0383774 0.0047028 0.01to0.03 -0.01to0.01 0.03to99 FALSE STAY BUY
-35 2018-03-29 135.72 0.063 0.132 0.279 0.393 0.133 0.195 0.279 0.526 0.0063366 -0.0034813 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE BUY STAY
-36 2018-03-28 133.88 0.095 0.117 0.301 0.413 0.074 0.212 0.301 0.487 0.0230804 -0.0059198 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-37 2018-03-27 134.19 0.104 0.061 0.387 0.412 0.036 0.165 0.387 0.448 0.0125196 -0.0129896 0.01to0.03 -0.03to-0.01 0.01to0.03 FALSE STAY BUY
-38 2018-03-26 136.61 0.085 0.051 0.344 0.447 0.073 0.136 0.344 0.520 -0.0008052 -0.0191878 0.01to0.03 -0.03to-0.01 -0.01to0.01 FALSE BUY STAY
-39 2018-03-23 133.10 0.121 0.059 0.395 0.400 0.024 0.181 0.395 0.424 0.0091660 -0.0237230 0.01to0.03 -0.03to-0.01 -0.01to0.01 FALSE STAY 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 134.230 140.51 6.280 2018-02-09 2018-05-17 2216 2283 67 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            0           0          5        0
     0.01to0.03            7            6          13         11        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            5            3           1          0        0
    -0.03to-0.01          2            0           4          0        0
    -0.01to0.01           0            2           6          4        0
    0.01to0.03            0            1           4          8        0
    0.03to99              0            0           1          4        0

Action Error

      ACTUAL.ACTION
ACTION BUY SELL STAY
  BUY    6   12   11
  SELL   0    0    0
  STAY  12    3    1

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             0.76                   0.58         0.84                   0.02                         0.46               0.33

Cycle Error

[1] 0

Plot of predicted postions based on policy

Daily Intraday Trading Report