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 2018-07-13 144.70 0.043 0.139 0.233 0.528 0.057 0.182 0.233 0.585 NA NA 0.01to0.03 NA NA NA BUY NA
-1 2018-07-12 144.61 0.049 0.142 0.237 0.518 0.054 0.191 0.237 0.572 NA NA 0.01to0.03 NA NA NA BUY NA
-2 2018-07-11 143.43 0.087 0.143 0.206 0.524 0.040 0.230 0.206 0.564 NA NA 0.01to0.03 NA NA NA BUY NA
-3 2018-07-10 144.46 0.052 0.105 0.282 0.484 0.077 0.157 0.282 0.561 NA NA 0.01to0.03 NA NA NA BUY NA
-4 2018-07-09 144.09 0.061 0.060 0.388 0.395 0.097 0.121 0.388 0.491 NA NA 0.01to0.03 NA NA NA STAY NA
-5 2018-07-06 142.79 0.068 0.081 0.418 0.336 0.097 0.149 0.418 0.433 NA NA -0.01to0.01 NA NA NA STAY NA
-6 2018-07-05 141.60 0.105 0.078 0.373 0.423 0.022 0.183 0.373 0.445 NA NA 0.01to0.03 NA NA NA STAY NA
-7 2018-07-03 140.41 0.107 0.081 0.434 0.367 0.011 0.189 0.434 0.377 NA NA -0.01to0.01 NA NA NA STAY NA
-8 2018-07-02 140.77 0.125 0.112 0.359 0.387 0.017 0.237 0.359 0.405 NA NA 0.01to0.03 NA NA NA STAY NA
-9 2018-06-29 140.43 0.124 0.107 0.410 0.349 0.010 0.231 0.410 0.359 NA NA -0.01to0.01 NA NA NA STAY NA
-10 2018-06-28 140.33 0.123 0.130 0.363 0.378 0.006 0.253 0.363 0.384 0.0311409 0.0135179 0.01to0.03 0.01to0.03 0.03to99 TRUE STAY BUY
-11 2018-06-27 139.46 0.143 0.138 0.354 0.359 0.006 0.281 0.354 0.365 0.0369282 0.0091566 0.01to0.03 -0.01to0.01 0.03to99 FALSE STAY BUY
-12 2018-06-26 140.77 0.165 0.135 0.311 0.383 0.005 0.300 0.311 0.389 0.0188961 0.0023541 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-13 2018-06-25 140.45 0.186 0.157 0.282 0.365 0.010 0.343 0.282 0.375 0.0285511 -0.0017246 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-14 2018-06-22 142.45 0.071 0.213 0.257 0.441 0.018 0.284 0.257 0.459 0.0115128 -0.0091431 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-15 2018-06-21 142.85 0.065 0.193 0.290 0.417 0.036 0.257 0.290 0.453 -0.0004200 -0.0142688 0.01to0.03 -0.03to-0.01 -0.01to0.01 FALSE STAY STAY
-16 2018-06-20 143.84 0.033 0.073 0.377 0.402 0.115 0.106 0.377 0.517 -0.0155729 -0.0177111 0.01to0.03 -0.03to-0.01 -0.03to-0.01 FALSE BUY SELL
-17 2018-06-19 143.51 0.038 0.117 0.368 0.345 0.132 0.155 0.368 0.477 -0.0216013 -0.0182464 -0.01to0.01 -0.03to-0.01 -0.03to-0.01 FALSE STAY SELL
-18 2018-06-18 143.99 0.028 0.052 0.377 0.397 0.145 0.080 0.377 0.543 -0.0223627 -0.0174086 0.01to0.03 -0.03to-0.01 -0.03to-0.01 FALSE BUY SELL
-19 2018-06-15 144.15 0.027 0.046 0.423 0.353 0.151 0.073 0.423 0.504 -0.0258065 -0.0161666 -0.01to0.01 -0.03to-0.01 -0.03to-0.01 FALSE BUY SELL
-20 2018-06-14 144.29 0.026 0.047 0.479 0.357 0.091 0.073 0.479 0.448 -0.0274447 -0.0137448 -0.01to0.01 -0.03to-0.01 -0.03to-0.01 FALSE STAY SELL
-21 2018-06-13 143.88 0.020 0.053 0.489 0.357 0.081 0.073 0.489 0.438 -0.0307200 -0.0102947 -0.01to0.01 -0.03to-0.01 -99to-0.03 FALSE STAY SELL
-22 2018-06-12 144.42 0.017 0.043 0.339 0.457 0.143 0.060 0.339 0.601 -0.0252735 -0.0051596 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-23 2018-06-11 144.12 0.015 0.040 0.311 0.545 0.090 0.055 0.311 0.635 -0.0254649 -0.0000720 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-24 2018-06-08 143.91 0.015 0.055 0.269 0.571 0.090 0.070 0.269 0.661 -0.0101452 0.0063532 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-25 2018-06-07 143.42 0.015 0.059 0.265 0.602 0.059 0.073 0.265 0.661 -0.0039743 0.0105328 0.01to0.03 0.01to0.03 -0.01to0.01 TRUE BUY STAY
-26 2018-06-06 143.63 0.019 0.049 0.254 0.595 0.084 0.067 0.254 0.679 0.0014621 0.0142045 0.01to0.03 0.01to0.03 -0.01to0.01 TRUE BUY STAY
-27 2018-06-05 142.37 0.025 0.096 0.227 0.607 0.045 0.121 0.227 0.652 0.0080073 0.0174455 0.01to0.03 0.01to0.03 -0.01to0.01 TRUE BUY STAY
-28 2018-06-04 142.16 0.023 0.116 0.249 0.571 0.041 0.139 0.249 0.612 0.0128728 0.0198301 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-29 2018-06-01 141.50 0.049 0.139 0.285 0.489 0.038 0.189 0.285 0.527 0.0187279 0.0215894 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-30 2018-05-31 140.04 0.050 0.179 0.321 0.409 0.042 0.229 0.321 0.451 0.0303485 0.0223108 0.01to0.03 0.01to0.03 0.03to99 TRUE STAY BUY
-31 2018-05-30 141.01 0.036 0.161 0.309 0.447 0.047 0.197 0.309 0.495 0.0203532 0.0203063 0.01to0.03 0.01to0.03 0.01to0.03 TRUE STAY BUY
-32 2018-05-29 139.21 0.043 0.182 0.341 0.387 0.047 0.225 0.341 0.435 0.0374255 0.0202945 0.01to0.03 0.01to0.03 0.03to99 TRUE STAY BUY
-33 2018-05-25 140.60 0.017 0.063 0.399 0.437 0.083 0.080 0.399 0.521 0.0250356 0.0160506 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-34 2018-05-24 140.87 0.015 0.043 0.456 0.410 0.076 0.058 0.456 0.486 0.0215802 0.0138021 -0.01to0.01 0.01to0.03 0.01to0.03 FALSE STAY BUY
-35 2018-05-23 141.10 0.013 0.050 0.425 0.434 0.077 0.063 0.425 0.511 0.0164422 0.0118504 0.01to0.03 0.01to0.03 0.01to0.03 TRUE BUY BUY
-36 2018-05-22 140.73 0.013 0.039 0.465 0.433 0.050 0.053 0.465 0.483 0.0206068 0.0106948 -0.01to0.01 0.01to0.03 0.01to0.03 FALSE STAY BUY
-37 2018-05-21 141.25 0.004 0.039 0.431 0.433 0.093 0.043 0.431 0.526 0.0079292 0.0082043 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE BUY STAY
-38 2018-05-18 140.20 0.010 0.038 0.477 0.447 0.029 0.048 0.477 0.475 0.0139800 0.0082738 -0.01to0.01 -0.01to0.01 0.01to0.03 TRUE STAY BUY
-39 2018-05-17 140.51 0.010 0.026 0.497 0.435 0.032 0.036 0.497 0.467 0.0070458 0.0068411 -0.01to0.01 -0.01to0.01 -0.01to0.01 TRUE 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 134.230 144.61 10.380 2018-02-09 2018-07-12 2216 2321 105 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           3          7        0
     0.01to0.03            7            9          23         27        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            4           1          0        0
    -0.03to-0.01          2            5           8          0        0
    -0.01to0.01           0            3          10          9        0
    0.01to0.03            0            1           8         18        0
    0.03to99              0            0           2          7        0

Action Error

      ACTUAL.ACTION
ACTION BUY SELL STAY
  BUY   11   19   17
  SELL   0    0    0
  STAY  25    6    5

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             0.64                   0.54         0.81                   0.03                         0.46               0.34

Cycle Error

[1] 0

Plot of predicted postions based on policy

Daily Intraday Trading Report