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 2019-01-16 133.82 0.097 0.043 0.119 0.434 0.307 0.140 0.119 0.741 NA NA 0.01to0.03 NA NA NA BUY NA
-1 2019-01-15 133.44 0.092 0.061 0.113 0.363 0.371 0.153 0.113 0.734 NA NA 0.03to99 NA NA NA BUY NA
-2 2019-01-14 132.00 0.087 0.094 0.133 0.356 0.329 0.181 0.133 0.685 NA NA 0.01to0.03 NA NA NA BUY NA
-3 2019-01-11 132.84 0.067 0.163 0.115 0.295 0.359 0.230 0.115 0.655 NA NA 0.03to99 NA NA NA BUY NA
-4 2019-01-10 132.81 0.031 0.291 0.117 0.275 0.287 0.321 0.117 0.561 NA NA -0.03to-0.01 NA NA NA BUY NA
-5 2019-01-09 132.16 0.043 0.343 0.129 0.262 0.223 0.386 0.129 0.485 NA NA -0.03to-0.01 NA NA NA STAY NA
-6 2019-01-08 131.54 0.040 0.353 0.161 0.234 0.212 0.393 0.161 0.446 NA NA -0.03to-0.01 NA NA NA STAY NA
-7 2019-01-07 130.20 0.025 0.342 0.137 0.215 0.281 0.367 0.137 0.496 NA NA -0.03to-0.01 NA NA NA STAY NA
-8 2019-01-04 128.90 0.022 0.317 0.156 0.224 0.281 0.339 0.156 0.505 NA NA -0.03to-0.01 NA NA NA BUY NA
-9 2019-01-03 124.77 0.053 0.185 0.372 0.311 0.079 0.238 0.372 0.390 NA NA -0.01to0.01 NA NA NA STAY NA
-10 2019-01-02 127.73 0.046 0.177 0.287 0.347 0.143 0.223 0.287 0.490 0.0476787 0.0359714 0.01to0.03 0.03to99 0.03to99 FALSE STAY BUY
-11 2018-12-31 127.63 0.038 0.147 0.359 0.337 0.119 0.185 0.359 0.456 0.0455222 0.0330314 -0.01to0.01 0.03to99 0.03to99 FALSE STAY BUY
-12 2018-12-28 126.43 0.041 0.136 0.409 0.314 0.100 0.177 0.409 0.414 0.0440560 0.0298943 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-13 2018-12-27 126.59 0.045 0.175 0.323 0.335 0.122 0.220 0.323 0.457 0.0493720 0.0263751 0.01to0.03 0.01to0.03 0.03to99 TRUE STAY BUY
-14 2018-12-26 125.46 0.045 0.163 0.347 0.345 0.101 0.207 0.347 0.446 0.0585844 0.0206601 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-15 2018-12-24 119.70 0.178 0.143 0.299 0.293 0.087 0.321 0.299 0.379 0.1040936 0.0113539 -0.01to0.01 0.01to0.03 0.03to99 FALSE STAY BUY
-16 2018-12-21 123.49 0.200 0.149 0.267 0.293 0.091 0.349 0.267 0.385 0.0651875 -0.0100190 0.01to0.03 -0.03to-0.01 0.03to99 FALSE STAY BUY
-17 2018-12-20 126.17 0.211 0.150 0.237 0.303 0.099 0.361 0.237 0.403 0.0319410 -0.0276838 0.01to0.03 -0.03to-0.01 0.03to99 FALSE STAY BUY
-18 2018-12-19 128.24 0.192 0.137 0.241 0.318 0.111 0.329 0.241 0.429 0.0051466 -0.0418507 0.01to0.03 -99to-0.03 -0.01to0.01 FALSE STAY STAY
-19 2018-12-18 130.24 0.199 0.125 0.232 0.324 0.121 0.323 0.232 0.445 -0.0419994 -0.0531048 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-20 2018-12-17 130.28 0.198 0.119 0.240 0.325 0.117 0.317 0.240 0.443 -0.0195732 -0.0557873 0.01to0.03 -99to-0.03 -0.03to-0.01 FALSE STAY SELL
-21 2018-12-14 133.12 0.143 0.103 0.279 0.341 0.133 0.247 0.279 0.474 -0.0412410 -0.0644650 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-22 2018-12-13 135.46 0.138 0.083 0.251 0.361 0.167 0.221 0.251 0.529 -0.0666617 -0.0701222 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-23 2018-12-12 135.79 0.160 0.077 0.246 0.370 0.147 0.237 0.246 0.517 -0.0677517 -0.0709781 0.01to0.03 -99to-0.03 -99to-0.03 FALSE BUY SELL
-24 2018-12-11 135.02 0.185 0.069 0.248 0.371 0.127 0.253 0.248 0.499 -0.0708043 -0.0717765 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-25 2018-12-10 135.05 0.213 0.089 0.229 0.341 0.127 0.302 0.229 0.469 -0.1136616 -0.0720147 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-26 2018-12-07 134.90 0.216 0.069 0.253 0.339 0.123 0.285 0.253 0.461 -0.0845812 -0.0618557 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-27 2018-12-06 138.16 0.189 0.110 0.209 0.327 0.166 0.299 0.209 0.493 -0.0867834 -0.0563533 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-28 2018-12-04 138.33 0.153 0.092 0.265 0.343 0.147 0.245 0.265 0.490 -0.0729415 -0.0488225 0.01to0.03 -99to-0.03 -99to-0.03 FALSE STAY SELL
-29 2018-12-03 143.00 0.049 0.044 0.149 0.367 0.391 0.093 0.149 0.758 -0.0892308 -0.0428595 0.03to99 -99to-0.03 -99to-0.03 FALSE BUY SELL
-30 2018-11-30 141.35 0.053 0.044 0.109 0.360 0.433 0.097 0.109 0.793 -0.0783162 -0.0309414 0.03to99 -99to-0.03 -99to-0.03 FALSE BUY SELL
-31 2018-11-29 140.34 0.062 0.049 0.148 0.365 0.376 0.111 0.148 0.741 -0.0514465 -0.0188570 0.03to99 -0.03to-0.01 -99to-0.03 FALSE BUY SELL
-32 2018-11-28 140.60 0.035 0.074 0.121 0.375 0.395 0.109 0.121 0.770 -0.0365576 -0.0105764 0.03to99 -0.03to-0.01 -99to-0.03 FALSE BUY SELL
-33 2018-11-27 137.40 0.061 0.139 0.261 0.342 0.196 0.201 0.261 0.538 -0.0117176 -0.0039325 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-34 2018-11-26 137.23 0.065 0.137 0.265 0.347 0.187 0.201 0.265 0.533 -0.0161044 -0.0019871 0.01to0.03 -0.01to0.01 -0.03to-0.01 FALSE BUY SELL
-35 2018-11-23 135.13 0.091 0.126 0.300 0.358 0.125 0.217 0.300 0.483 -0.0005920 0.0015346 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE STAY STAY
-36 2018-11-21 135.86 0.104 0.107 0.307 0.347 0.135 0.211 0.307 0.482 -0.0070661 0.0020547 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE STAY STAY
-37 2018-11-20 135.20 0.193 0.119 0.263 0.331 0.093 0.312 0.263 0.425 0.0218935 0.0042883 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE STAY BUY
-38 2018-11-19 137.65 0.159 0.118 0.291 0.339 0.093 0.277 0.291 0.432 0.0049401 0.0000247 0.01to0.03 -0.01to0.01 -0.01to0.01 FALSE STAY STAY
-39 2018-11-16 140.08 0.129 0.151 0.218 0.359 0.143 0.281 0.218 0.501 0.0208452 -0.0011831 0.01to0.03 -0.01to0.01 0.01to0.03 FALSE BUY BUY

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 134.230 133.44 -0.790 2018-02-09 2019-01-15 2216 2449 233 FALSE

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           2          0        0
     -0.01to0.01           0            4           4         16        1
     0.01to0.03           33           21          73         47        1
     0.03to99              2            4           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           29           11           2          0        0
    -0.03to-0.01          4            8          14          0        0
    -0.01to0.01           2            6          44         18        0
    0.01to0.03            0            2          18         29        0
    0.03to99              0            2           4         16        2

Action Error

      ACTUAL.ACTION
ACTION BUY SELL STAY
  BUY   23   43   51
  SELL   0    0    0
  STAY  50   25   19

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                   0.47          0.8                   0.07                         0.46               0.36

Cycle Error

[1] 0

Plot of predicted postions based on policy

Daily Intraday Trading Report