TSLA long/short -- faultcode's Savitzky-Golay-Kalman-Oscillator (SGKO) (Seite 3)

[faultcode]

Antwort auf Beitrag Nr.: 74.199.972 von faultcode am 24.07.23 19:12:10

Zitat von faultcode: ...
ich vermute, daß es ab nun so ähnlich weitergehen wird wie ab Anfang März: short - long - short - long... in relativ kurzer Abfolge.
Jedesfalls ist demnach heute der Upmove ab Mitte Mai erstmal beendet.
...

so ist es. Alles wieder retour:



18:20
Long $TSLA at Close!
Waiting for first short signal.

[faultcode]

Antwort auf Beitrag Nr.: 74.189.411 von faultcode am 21.07.23 16:23:18

18:20
Short $TSLA at Close!
Waiting for first long signal.

----
ich vermute, daß es ab nun so ähnlich weitergehen wird wie ab Anfang März: short - long - short - long... in relativ kurzer Abfolge.
Jedesfalls ist demnach heute der Upmove ab Mitte Mai erstmal beendet.

Wie im März wurde zuerst die Kurve des Ehlers' Super Smoother durchbrochen, wenn auch diesmal superknapp; die beiden anderen Filter vertauschten ihre Rollen mit dem Weighted moving average (45d) als (knapper) Nachzügler.

[faultcode]

Antwort auf Beitrag Nr.: 74.160.029 von faultcode am 15.07.23 12:11:34

knapp vor einem Signal (short):

[faultcode]

[faultcode]

[faultcode]

Antwort auf Beitrag Nr.: 73.902.578 von faultcode am 24.05.23 23:21:47

Backtesting (WMA, SSF, alpha-beta) -- 4a: seit zyklischem Hoch 2021

minimum time span in calendar days: 1.0
maximum time span in calendar days: 69.0
mean time span in calendar days: 12.70
All signals based on open prices --> all trades at close prices of same day!

------

====== Long only strategy ======
initial amount of capital [USD]: 10,000
...
final amount of capital [USD]: 14,368
final amount of cash [USD]: 31
final amount of number of stocks held long: 77

=> buy&hold: US$10,000 im selben Zeitraum (close to close; 24.5.2023) => USD$4,550 (24 x $TSLA + US$160.72 cash)


====== Short only strategy ======
initial amount of capital [USD]: 10,000
...
final amount of capital [USD]: 19,796
final amount of cash [USD]: 19,796
final amount of number of stocks sold short: 0

[faultcode]

Backtesting (WMA, SSF, alpha-beta) -- 4a: seit zyklischem Tief 2019

Man kann das Spiel mit den Zeiträumen so gut wie unendlich betreiben. Ich mache noch zwei Zeiträume:

4a/ seit dem zyklischem Tief (Close Nasdaq, USD) am 3.6.2019 (Montag)

und

4b/ seit dem säkularen(?) Hoch (Close Nasdaq, USD) am 4.11.2021 (Donnerstag)

------



minimum time span in calendar days: 1.0
maximum time span in calendar days: 97.0
mean time span in calendar days: 14.06
All signals based on open prices --> all trades at close prices of same day!

---

====== Long only strategy ======
initial amount of capital [USD]: 10,000
...
final amount of capital [USD]: 250,149
final amount of cash [USD]: 82
final amount of number of stocks held long: 1343


=> buy&hold: US$10,000 im selben Zeitraum (close to close) => USD$153,273 (838 x $TSLA + US$2.66 cash)


====== Short only strategy ======
initial amount of capital [USD]: 10,000
...
final amount of capital [USD]: 11,632
final amount of cash [USD]: 11,632
final amount of number of stocks sold short: 0


=> so betrachtet - und unter den oben beschriebenen Bedingungen - lief dieses Filter-Trading besser (als buy&hold bzw. der $BIL)
<bei Short: der $BIL-ETF (SPDR Bloomberg 1-3 Month T-Bill ETF) als Alternative z.B. https://www.morningstar.com/etfs/arcx/bil/performance wäre schlechter gelaufen, aber nicht risiko-angepasst>

[faultcode]

Antwort auf Beitrag Nr.: 73.888.789 von faultcode am 22.05.23 21:54:06

Backtesting (WMA, SSF, alpha-beta) -- 3a: die Short-Trades

und hier alle Short-Trades zum selber nachrechnen:

date: 2011-02-18 number of stocks sold short: 6471 @ $ 1.55
date: 2011-03-01 number of stocks covered: 6471 @ $ 1.60

date: 2011-03-15 number of stocks sold short: 6321 @ $ 1.53
date: 2011-03-29 number of stocks covered: 6321 @ $ 1.59

date: 2011-05-18 number of stocks sold short: 5273 @ $ 1.76
date: 2011-05-19 number of stocks covered: 5273 @ $ 1.88

date: 2011-05-24 number of stocks sold short: 4835 @ $ 1.78
date: 2011-05-26 number of stocks covered: 4835 @ $ 1.97

date: 2011-06-09 number of stocks sold short: 4194 @ $ 1.84
date: 2011-06-13 number of stocks covered: 4194 @ $ 1.90

date: 2011-06-16 number of stocks sold short: 4243 @ $ 1.77
date: 2011-06-29 number of stocks covered: 4243 @ $ 1.89

date: 2011-07-11 number of stocks sold short: 3698 @ $ 1.89
date: 2011-07-21 number of stocks covered: 3698 @ $ 1.91

date: 2011-07-26 number of stocks sold short: 3698 @ $ 1.87
date: 2011-08-01 number of stocks covered: 3698 @ $ 1.92

date: 2011-08-03 number of stocks sold short: 3702 @ $ 1.81
date: 2011-09-15 number of stocks covered: 3702 @ $ 1.65

date: 2011-09-30 number of stocks sold short: 4490 @ $ 1.63
date: 2011-10-03 number of stocks covered: 4490 @ $ 1.58

date: 2011-10-04 number of stocks sold short: 4754 @ $ 1.58
date: 2011-10-06 number of stocks covered: 4754 @ $ 1.80

date: 2011-12-08 number of stocks sold short: 3133 @ $ 2.06
date: 2012-01-27 number of stocks covered: 3133 @ $ 1.96

date: 2012-02-01 number of stocks sold short: 3437 @ $ 1.97
date: 2012-02-02 number of stocks covered: 3437 @ $ 2.02

date: 2012-04-04 number of stocks sold short: 2839 @ $ 2.33
date: 2012-06-14 number of stocks covered: 2839 @ $ 1.96

date: 2012-06-15 number of stocks sold short: 3855 @ $ 1.99
date: 2012-06-18 number of stocks covered: 3855 @ $ 2.12

date: 2012-07-03 number of stocks sold short: 3518 @ $ 2.04
date: 2012-07-10 number of stocks covered: 3518 @ $ 2.08

date: 2012-07-18 number of stocks sold short: 3288 @ $ 2.14
date: 2012-07-19 number of stocks covered: 3288 @ $ 2.15

date: 2012-07-23 number of stocks sold short: 3435 @ $ 2.04
date: 2012-08-14 number of stocks covered: 3435 @ $ 1.96

date: 2012-08-15 number of stocks sold short: 3727 @ $ 1.96
date: 2012-08-17 number of stocks covered: 3727 @ $ 2.00

date: 2012-08-21 number of stocks sold short: 3686 @ $ 1.94
date: 2012-08-23 number of stocks covered: 3686 @ $ 2.05

date: 2012-08-27 number of stocks sold short: 3578 @ $ 1.89
date: 2012-09-10 number of stocks covered: 3578 @ $ 1.82

date: 2012-09-11 number of stocks sold short: 3767 @ $ 1.85
date: 2012-09-14 number of stocks covered: 3767 @ $ 2.03

date: 2012-09-25 number of stocks sold short: 3434 @ $ 1.84
date: 2012-10-01 number of stocks covered: 3434 @ $ 1.94

date: 2012-10-02 number of stocks sold short: 3014 @ $ 1.99
date: 2012-10-03 number of stocks covered: 3014 @ $ 1.95

date: 2012-10-08 number of stocks sold short: 3122 @ $ 1.95
date: 2012-10-09 number of stocks covered: 3122 @ $ 1.89

date: 2012-10-10 number of stocks sold short: 3313 @ $ 1.89
date: 2012-10-11 number of stocks covered: 3313 @ $ 1.89

date: 2012-10-12 number of stocks sold short: 3413 @ $ 1.84
date: 2012-10-18 number of stocks covered: 3413 @ $ 1.87

date: 2012-10-19 number of stocks sold short: 3352 @ $ 1.85
date: 2012-10-24 number of stocks covered: 3352 @ $ 1.83

date: 2012-10-25 number of stocks sold short: 3418 @ $ 1.83
date: 2012-11-01 number of stocks covered: 3418 @ $ 1.95

date: 2012-12-27 number of stocks sold short: 2616 @ $ 2.25
date: 2013-01-02 number of stocks covered: 2616 @ $ 2.36

date: 2013-01-09 number of stocks sold short: 2490 @ $ 2.24
date: 2013-01-11 number of stocks covered: 2490 @ $ 2.19

date: 2013-01-14 number of stocks sold short: 2573 @ $ 2.22
date: 2013-01-17 number of stocks covered: 2573 @ $ 2.29

date: 2013-02-19 number of stocks sold short: 2105 @ $ 2.62
date: 2013-02-20 number of stocks covered: 2105 @ $ 2.57

date: 2013-02-21 number of stocks sold short: 2397 @ $ 2.34
date: 2013-03-06 number of stocks covered: 2397 @ $ 2.51

date: 2013-03-15 number of stocks sold short: 2216 @ $ 2.35
date: 2013-03-25 number of stocks covered: 2216 @ $ 2.50

date: 2013-03-27 number of stocks sold short: 1919 @ $ 2.54
date: 2013-03-28 number of stocks covered: 1919 @ $ 2.53

date: 2013-06-24 number of stocks sold short: 726 @ $ 6.77
date: 2013-06-25 number of stocks covered: 726 @ $ 6.83

date: 2013-07-17 number of stocks sold short: 607 @ $ 8.02
date: 2013-07-18 number of stocks covered: 607 @ $ 7.94

date: 2013-07-19 number of stocks sold short: 617 @ $ 7.98
date: 2013-07-23 number of stocks covered: 617 @ $ 8.18

date: 2013-07-25 number of stocks sold short: 579 @ $ 8.27
date: 2013-07-26 number of stocks covered: 579 @ $ 8.63

date: 2013-08-15 number of stocks sold short: 493 @ $ 9.31
date: 2013-08-20 number of stocks covered: 493 @ $ 9.97

date: 2013-09-09 number of stocks sold short: 398 @ $ 10.71
date: 2013-09-20 number of stocks covered: 398 @ $ 12.23

date: 2013-10-03 number of stocks sold short: 317 @ $ 11.55
date: 2013-10-14 number of stocks covered: 317 @ $ 11.98

date: 2013-10-22 number of stocks sold short: 308 @ $ 11.44
date: 2013-11-05 number of stocks covered: 308 @ $ 11.79

date: 2013-11-06 number of stocks sold short: 339 @ $ 10.08
date: 2013-12-04 number of stocks covered: 339 @ $ 9.26

date: 2013-12-05 number of stocks sold short: 394 @ $ 9.37
date: 2013-12-06 number of stocks covered: 394 @ $ 9.16

date: 2013-12-09 number of stocks sold short: 400 @ $ 9.44
date: 2013-12-10 number of stocks covered: 400 @ $ 9.48

date: 2013-12-19 number of stocks sold short: 401 @ $ 9.38
date: 2013-12-24 number of stocks covered: 401 @ $ 10.09

date: 2014-01-02 number of stocks sold short: 347 @ $ 10.01
date: 2014-01-09 number of stocks covered: 347 @ $ 9.84

date: 2014-01-10 number of stocks sold short: 364 @ $ 9.71
date: 2014-01-15 number of stocks covered: 364 @ $ 10.94

date: 2014-03-24 number of stocks sold short: 210 @ $ 14.68
date: 2014-04-03 number of stocks covered: 210 @ $ 15.03

date: 2014-04-04 number of stocks sold short: 213 @ $ 14.15
date: 2014-05-06 number of stocks covered: 213 @ $ 13.82

date: 2014-05-07 number of stocks sold short: 229 @ $ 13.42
date: 2014-05-22 number of stocks covered: 229 @ $ 13.66

date: 2014-07-08 number of stocks sold short: 207 @ $ 14.60
date: 2014-07-09 number of stocks covered: 207 @ $ 14.87

date: 2014-07-10 number of stocks sold short: 203 @ $ 14.63
date: 2014-07-11 number of stocks covered: 203 @ $ 14.54

date: 2014-07-14 number of stocks sold short: 198 @ $ 15.11
date: 2014-07-15 number of stocks covered: 198 @ $ 14.64

date: 2014-07-16 number of stocks sold short: 213 @ $ 14.48
date: 2014-07-22 number of stocks covered: 213 @ $ 14.64

date: 2014-07-23 number of stocks sold short: 205 @ $ 14.83
date: 2014-07-24 number of stocks covered: 205 @ $ 14.90

date: 2014-07-30 number of stocks sold short: 199 @ $ 15.26
date: 2014-07-31 number of stocks covered: 199 @ $ 14.89

date: 2014-08-01 number of stocks sold short: 200 @ $ 15.55
date: 2014-08-04 number of stocks covered: 200 @ $ 15.90

date: 2014-09-16 number of stocks sold short: 175 @ $ 17.38
date: 2014-10-09 number of stocks covered: 175 @ $ 17.13

date: 2014-10-10 number of stocks sold short: 195 @ $ 15.79
date: 2014-11-03 number of stocks covered: 195 @ $ 16.17

date: 2014-11-04 number of stocks sold short: 189 @ $ 15.93
date: 2014-11-05 number of stocks covered: 189 @ $ 15.40

date: 2014-11-06 number of stocks sold short: 193 @ $ 16.08
date: 2014-11-07 number of stocks covered: 193 @ $ 16.01

date: 2014-11-10 number of stocks sold short: 193 @ $ 16.13
date: 2014-11-11 number of stocks covered: 193 @ $ 16.74

date: 2014-11-20 number of stocks sold short: 181 @ $ 16.58
date: 2014-11-21 number of stocks covered: 181 @ $ 16.19

date: 2014-11-24 number of stocks sold short: 187 @ $ 16.45
date: 2014-12-29 number of stocks covered: 187 @ $ 15.05

date: 2014-12-30 number of stocks sold short: 225 @ $ 14.82
date: 2015-02-03 number of stocks covered: 225 @ $ 14.56

date: 2015-02-12 number of stocks sold short: 251 @ $ 13.53
date: 2015-02-17 number of stocks covered: 251 @ $ 13.62

date: 2015-02-24 number of stocks sold short: 248 @ $ 13.61
date: 2015-03-05 number of stocks covered: 248 @ $ 13.38

date: 2015-03-06 number of stocks sold short: 265 @ $ 12.93
date: 2015-03-17 number of stocks covered: 265 @ $ 12.98

date: 2015-03-20 number of stocks sold short: 259 @ $ 13.21
date: 2015-03-24 number of stocks covered: 259 @ $ 13.45

date: 2015-03-25 number of stocks sold short: 259 @ $ 12.95
date: 2015-03-31 number of stocks covered: 259 @ $ 12.58

date: 2015-04-01 number of stocks sold short: 276 @ $ 12.51
date: 2015-04-06 number of stocks covered: 276 @ $ 13.54

date: 2015-07-08 number of stocks sold short: 186 @ $ 17.00
date: 2015-07-15 number of stocks covered: 186 @ $ 17.54

date: 2015-07-16 number of stocks sold short: 172 @ $ 17.78
date: 2015-07-17 number of stocks covered: 172 @ $ 18.31

date: 2015-07-22 number of stocks sold short: 166 @ $ 17.86
date: 2015-07-23 number of stocks covered: 166 @ $ 17.81

date: 2015-07-24 number of stocks sold short: 168 @ $ 17.69
date: 2015-07-29 number of stocks covered: 168 @ $ 17.59

date: 2015-07-30 number of stocks sold short: 168 @ $ 17.79
date: 2015-07-31 number of stocks covered: 168 @ $ 17.74

date: 2015-08-04 number of stocks sold short: 169 @ $ 17.75
date: 2015-08-19 number of stocks covered: 169 @ $ 17.02

date: 2015-08-20 number of stocks sold short: 193 @ $ 16.15
date: 2015-09-03 number of stocks covered: 193 @ $ 16.37

date: 2015-09-04 number of stocks sold short: 191 @ $ 16.13
date: 2015-09-09 number of stocks covered: 191 @ $ 16.59

date: 2015-09-28 number of stocks sold short: 181 @ $ 16.56
date: 2015-11-04 number of stocks covered: 181 @ $ 15.44

date: 2015-11-10 number of stocks sold short: 221 @ $ 14.43
date: 2015-11-19 number of stocks covered: 221 @ $ 14.79

date: 2015-11-23 number of stocks sold short: 215 @ $ 14.52
date: 2015-11-25 number of stocks covered: 215 @ $ 15.31

date: 2015-12-14 number of stocks sold short: 202 @ $ 14.57
date: 2015-12-15 number of stocks covered: 202 @ $ 14.74

date: 2016-01-05 number of stocks sold short: 195 @ $ 14.90
date: 2016-02-25 number of stocks covered: 195 @ $ 12.50

date: 2016-05-02 number of stocks sold short: 210 @ $ 16.12
date: 2016-06-08 number of stocks covered: 210 @ $ 15.70

date: 2016-06-10 number of stocks sold short: 238 @ $ 14.59
date: 2016-06-21 number of stocks covered: 238 @ $ 14.64

date: 2016-06-22 number of stocks sold short: 264 @ $ 13.11
date: 2016-07-07 number of stocks covered: 264 @ $ 14.40

date: 2016-08-17 number of stocks sold short: 209 @ $ 14.88
date: 2016-08-24 number of stocks covered: 209 @ $ 14.84

date: 2016-08-25 number of stocks sold short: 212 @ $ 14.73
date: 2016-09-27 number of stocks covered: 212 @ $ 13.72

date: 2016-09-28 number of stocks sold short: 243 @ $ 13.75
date: 2016-10-03 number of stocks covered: 243 @ $ 14.25

date: 2016-10-06 number of stocks sold short: 240 @ $ 13.40
date: 2016-10-25 number of stocks covered: 240 @ $ 13.49

date: 2016-10-26 number of stocks sold short: 237 @ $ 13.48
date: 2016-10-27 number of stocks covered: 237 @ $ 13.60

date: 2016-10-31 number of stocks sold short: 240 @ $ 13.18
date: 2016-11-23 number of stocks covered: 240 @ $ 12.88

date: 2016-11-30 number of stocks sold short: 257 @ $ 12.63
date: 2016-12-08 number of stocks covered: 257 @ $ 12.82

date: 2017-02-24 number of stocks sold short: 186 @ $ 17.13
date: 2017-03-15 number of stocks covered: 186 @ $ 17.05

date: 2017-03-20 number of stocks sold short: 184 @ $ 17.46
date: 2017-03-21 number of stocks covered: 184 @ $ 16.71

date: 2017-03-22 number of stocks sold short: 197 @ $ 17.00
date: 2017-03-27 number of stocks covered: 197 @ $ 18.01

date: 2017-05-04 number of stocks sold short: 160 @ $ 19.70
date: 2017-05-08 number of stocks covered: 160 @ $ 20.48

date: 2017-05-09 number of stocks sold short: 141 @ $ 21.42
date: 2017-05-10 number of stocks covered: 141 @ $ 21.68

date: 2017-05-17 number of stocks sold short: 146 @ $ 20.41
date: 2017-05-19 number of stocks covered: 146 @ $ 20.72

date: 2017-05-24 number of stocks sold short: 142 @ $ 20.68
date: 2017-05-25 number of stocks covered: 142 @ $ 21.12

date: 2017-06-28 number of stocks sold short: 116 @ $ 24.75
date: 2017-06-29 number of stocks covered: 116 @ $ 24.05

date: 2017-06-30 number of stocks sold short: 122 @ $ 24.11
date: 2017-07-25 number of stocks covered: 122 @ $ 22.64

date: 2017-07-26 number of stocks sold short: 137 @ $ 22.92
date: 2017-07-27 number of stocks covered: 137 @ $ 22.30

date: 2017-07-28 number of stocks sold short: 144 @ $ 22.34
date: 2017-08-03 number of stocks covered: 144 @ $ 23.14

date: 2017-08-11 number of stocks sold short: 130 @ $ 23.86
date: 2017-08-14 number of stocks covered: 130 @ $ 24.25

date: 2017-08-17 number of stocks sold short: 130 @ $ 23.46
date: 2017-08-24 number of stocks covered: 130 @ $ 23.53

date: 2017-08-29 number of stocks sold short: 131 @ $ 23.16
date: 2017-08-30 number of stocks covered: 131 @ $ 23.55

date: 2017-09-07 number of stocks sold short: 128 @ $ 23.37
date: 2017-09-08 number of stocks covered: 128 @ $ 22.89

date: 2017-09-22 number of stocks sold short: 130 @ $ 23.41
date: 2017-10-05 number of stocks covered: 130 @ $ 23.69

date: 2017-10-06 number of stocks sold short: 127 @ $ 23.79
date: 2017-10-13 number of stocks covered: 127 @ $ 23.70

date: 2017-10-16 number of stocks sold short: 129 @ $ 23.37
date: 2017-10-18 number of stocks covered: 129 @ $ 23.98

date: 2017-10-20 number of stocks sold short: 128 @ $ 23.01
date: 2017-12-08 number of stocks covered: 128 @ $ 21.01

date: 2017-12-27 number of stocks sold short: 154 @ $ 20.78
date: 2018-01-03 number of stocks covered: 154 @ $ 21.15

date: 2018-01-04 number of stocks sold short: 150 @ $ 20.97
date: 2018-01-09 number of stocks covered: 150 @ $ 22.25

date: 2018-02-06 number of stocks sold short: 133 @ $ 22.26
date: 2018-02-07 number of stocks covered: 133 @ $ 23.00

date: 2018-02-09 number of stocks sold short: 138 @ $ 20.69
date: 2018-02-16 number of stocks covered: 138 @ $ 22.37

date: 2018-03-02 number of stocks sold short: 118 @ $ 22.34
date: 2018-03-14 number of stocks covered: 118 @ $ 21.78

date: 2018-03-15 number of stocks sold short: 124 @ $ 21.71
date: 2018-04-30 number of stocks covered: 124 @ $ 19.59

date: 2018-05-03 number of stocks sold short: 156 @ $ 18.96
date: 2018-05-07 number of stocks covered: 156 @ $ 20.18

date: 2018-05-15 number of stocks sold short: 146 @ $ 18.95
date: 2018-05-22 number of stocks covered: 146 @ $ 18.33

date: 2018-05-23 number of stocks sold short: 154 @ $ 18.60
date: 2018-05-31 number of stocks covered: 154 @ $ 18.98

date: 2018-07-05 number of stocks sold short: 136 @ $ 20.61
date: 2018-07-10 number of stocks covered: 136 @ $ 21.50

date: 2018-07-11 number of stocks sold short: 126 @ $ 21.26
date: 2018-07-18 number of stocks covered: 126 @ $ 21.59

date: 2018-07-19 number of stocks sold short: 123 @ $ 21.35
date: 2018-07-20 number of stocks covered: 123 @ $ 20.91

date: 2018-07-23 number of stocks sold short: 133 @ $ 20.21
date: 2018-08-02 number of stocks covered: 133 @ $ 23.30

date: 2018-08-17 number of stocks sold short: 112 @ $ 20.37
date: 2018-09-26 number of stocks covered: 112 @ $ 20.64

date: 2018-09-28 number of stocks sold short: 128 @ $ 17.65
date: 2018-10-01 number of stocks covered: 128 @ $ 20.71

date: 2018-10-04 number of stocks sold short: 99 @ $ 18.79
date: 2018-10-24 number of stocks covered: 99 @ $ 19.23

date: 2018-12-19 number of stocks sold short: 82 @ $ 22.20
date: 2019-01-08 number of stocks covered: 82 @ $ 22.36

date: 2019-01-09 number of stocks sold short: 80 @ $ 22.57
date: 2019-01-11 number of stocks covered: 80 @ $ 23.15

date: 2019-01-15 number of stocks sold short: 76 @ $ 22.96
date: 2019-01-16 number of stocks covered: 76 @ $ 23.07

date: 2019-01-18 number of stocks sold short: 87 @ $ 20.15
date: 2019-02-06 number of stocks covered: 87 @ $ 21.15

date: 2019-02-07 number of stocks sold short: 81 @ $ 20.50
date: 2019-02-12 number of stocks covered: 81 @ $ 20.79

date: 2019-02-13 number of stocks sold short: 80 @ $ 20.54
date: 2019-02-28 number of stocks covered: 80 @ $ 21.33

date: 2019-03-01 number of stocks sold short: 80 @ $ 19.65
date: 2019-04-02 number of stocks covered: 80 @ $ 19.06

date: 2019-04-04 number of stocks sold short: 91 @ $ 17.85
date: 2019-04-17 number of stocks covered: 91 @ $ 18.08

date: 2019-04-18 number of stocks sold short: 88 @ $ 18.22
date: 2019-05-07 number of stocks covered: 88 @ $ 16.47

date: 2019-05-08 number of stocks sold short: 108 @ $ 16.32
date: 2019-06-10 number of stocks covered: 108 @ $ 14.19

date: 2019-06-13 number of stocks sold short: 139 @ $ 14.26
date: 2019-06-17 number of stocks covered: 139 @ $ 15.00

date: 2019-07-26 number of stocks sold short: 124 @ $ 15.20
date: 2019-07-31 number of stocks covered: 124 @ $ 16.11

date: 2019-08-02 number of stocks sold short: 113 @ $ 15.62
date: 2019-08-19 number of stocks covered: 113 @ $ 15.12

date: 2019-08-23 number of stocks sold short: 130 @ $ 14.09
date: 2019-08-29 number of stocks covered: 130 @ $ 14.78

date: 2019-09-25 number of stocks sold short: 114 @ $ 15.25
date: 2019-09-26 number of stocks covered: 114 @ $ 16.17

date: 2019-10-03 number of stocks sold short: 105 @ $ 15.54
date: 2019-10-08 number of stocks covered: 105 @ $ 16.00

date: 2019-12-05 number of stocks sold short: 72 @ $ 22.02
date: 2019-12-06 number of stocks covered: 72 @ $ 22.39

date: 2020-02-27 number of stocks sold short: 34 @ $ 45.27
date: 2020-03-03 number of stocks covered: 34 @ $ 49.70

date: 2020-03-04 number of stocks sold short: 28 @ $ 49.97
date: 2020-04-09 number of stocks covered: 28 @ $ 38.20

date: 2020-05-04 number of stocks sold short: 34 @ $ 50.75
date: 2020-05-05 number of stocks covered: 34 @ $ 51.21

date: 2020-08-10 number of stocks sold short: 18 @ $ 94.57
date: 2020-08-12 number of stocks covered: 18 @ $ 103.65

date: 2020-09-08 number of stocks sold short: 14 @ $ 110.07
date: 2020-09-10 number of stocks covered: 14 @ $ 123.78

date: 2020-09-23 number of stocks sold short: 10 @ $ 126.79
date: 2020-09-28 number of stocks covered: 10 @ $ 140.40

date: 2020-10-02 number of stocks sold short: 8 @ $ 138.36
date: 2020-10-22 number of stocks covered: 8 @ $ 141.93

date: 2020-10-23 number of stocks sold short: 8 @ $ 140.21
date: 2020-11-04 number of stocks covered: 8 @ $ 140.33

date: 2020-11-10 number of stocks sold short: 8 @ $ 136.79
date: 2020-11-17 number of stocks covered: 8 @ $ 147.20

date: 2021-02-01 number of stocks sold short: 4 @ $ 279.94
date: 2021-02-02 number of stocks covered: 4 @ $ 290.93

date: 2021-02-10 number of stocks sold short: 4 @ $ 268.27
date: 2021-02-16 number of stocks covered: 4 @ $ 265.41

date: 2021-02-17 number of stocks sold short: 4 @ $ 266.05
date: 2021-04-01 number of stocks covered: 4 @ $ 220.58

date: 2021-04-16 number of stocks sold short: 5 @ $ 246.59
date: 2021-04-22 number of stocks covered: 5 @ $ 239.90

date: 2021-04-23 number of stocks sold short: 5 @ $ 243.13
date: 2021-04-26 number of stocks covered: 5 @ $ 246.07

date: 2021-04-27 number of stocks sold short: 5 @ $ 234.91
date: 2021-05-03 number of stocks covered: 5 @ $ 228.30

date: 2021-05-04 number of stocks sold short: 5 @ $ 224.53
date: 2021-06-15 number of stocks covered: 5 @ $ 199.79

date: 2021-06-16 number of stocks sold short: 7 @ $ 201.62
date: 2021-06-18 number of stocks covered: 7 @ $ 207.77

date: 2021-07-08 number of stocks sold short: 6 @ $ 217.60
date: 2021-07-09 number of stocks covered: 6 @ $ 218.98

date: 2021-07-19 number of stocks sold short: 6 @ $ 215.41
date: 2021-07-20 number of stocks covered: 6 @ $ 220.17

date: 2021-07-23 number of stocks sold short: 6 @ $ 214.46
date: 2021-07-27 number of stocks covered: 6 @ $ 214.93

date: 2021-07-28 number of stocks sold short: 6 @ $ 215.66
date: 2021-07-30 number of stocks covered: 6 @ $ 229.07

date: 2021-08-17 number of stocks sold short: 5 @ $ 221.90
date: 2021-08-19 number of stocks covered: 5 @ $ 224.49

date: 2021-11-16 number of stocks sold short: 3 @ $ 351.58
date: 2021-11-17 number of stocks covered: 3 @ $ 363.00

date: 2021-12-03 number of stocks sold short: 3 @ $ 338.32
date: 2021-12-27 number of stocks covered: 3 @ $ 364.65

date: 2021-12-30 number of stocks sold short: 3 @ $ 356.78
date: 2022-01-03 number of stocks covered: 3 @ $ 399.93

date: 2022-01-06 number of stocks sold short: 2 @ $ 354.90
date: 2022-01-11 number of stocks covered: 2 @ $ 354.80

date: 2022-01-14 number of stocks sold short: 2 @ $ 349.87
date: 2022-03-18 number of stocks covered: 2 @ $ 301.80

date: 2022-04-25 number of stocks sold short: 3 @ $ 332.67
date: 2022-04-26 number of stocks covered: 3 @ $ 292.14

date: 2022-04-27 number of stocks sold short: 4 @ $ 293.84
date: 2022-06-23 number of stocks covered: 4 @ $ 235.07

date: 2022-06-29 number of stocks sold short: 6 @ $ 228.49
date: 2022-07-06 number of stocks covered: 6 @ $ 231.73

date: 2022-07-13 number of stocks sold short: 6 @ $ 237.04
date: 2022-07-14 number of stocks covered: 6 @ $ 238.31

date: 2022-08-29 number of stocks sold short: 5 @ $ 284.82
date: 2022-09-02 number of stocks covered: 5 @ $ 270.21

date: 2022-09-06 number of stocks sold short: 5 @ $ 274.42
date: 2022-09-08 number of stocks covered: 5 @ $ 289.26

date: 2022-09-13 number of stocks sold short: 4 @ $ 292.13
date: 2022-09-15 number of stocks covered: 4 @ $ 303.75

date: 2022-09-23 number of stocks sold short: 5 @ $ 275.33
date: 2022-12-01 number of stocks covered: 5 @ $ 194.70

date: 2022-12-02 number of stocks sold short: 9 @ $ 194.86
date: 2023-01-17 number of stocks covered: 9 @ $ 131.49

date: 2023-03-08 number of stocks sold short: 13 @ $ 182.00
date: 2023-03-14 number of stocks covered: 13 @ $ 183.26

date: 2023-03-24 number of stocks sold short: 12 @ $ 190.41
date: 2023-03-27 number of stocks covered: 12 @ $ 191.81

date: 2023-03-28 number of stocks sold short: 12 @ $ 189.19
date: 2023-03-29 number of stocks covered: 12 @ $ 193.88

date: 2023-04-05 number of stocks sold short: 12 @ $ 185.52
date: 2023-04-11 number of stocks covered: 12 @ $ 186.79

date: 2023-04-19 number of stocks sold short: 12 @ $ 180.59
date: 2023-05-08 number of stocks covered: 12 @ $ 171.79

date: 2023-05-09 number of stocks sold short: 14 @ $ 169.15
date: 2023-05-10 number of stocks covered: 14 @ $ 168.54

date: 2023-05-11 number of stocks sold short: 13 @ $ 172.08
date: 2023-05-12 number of stocks covered: 13 @ $ 167.98

date: 2023-05-15 number of stocks sold short: 14 @ $ 166.35
date: 2023-05-18 number of stocks covered: 14 @ $ 176.89
==============================================

Die Kurse sind praktisch alle gerundet. Wie oben schon gezeigt passieren Quantisierungsfehler beim Übertrag von Yahoo finance bis in den pandas-DataFrame. So dürfte gleich der erste Short-Trade gar nicht durchgehen nach den Regeln (weil er den Cash-Bestand übersteigt):

date: 2011-02-18 number of stocks sold short: 6471 @ $ 1.55

=> 6471 @ $ 1.55 = US$10,030.05 > US$10,000.00

Der Close-Kurs im pandas-DataFrame liegt aber bei 1.5453330278396606 (am 18.2.2011) => 6471 @ $ 1.5453330278396606 = ~US$9,999.85 < US$10,000.00

Yahoo finance (https://finance.yahoo.com/quote/TSLA/history?p=TSLA) zeigt im Übrigen nach manuellem Export in Excel an, wie auch in der csv-Rohdatei: 1,545333
Nasdaq.com (https://www.nasdaq.com/market-activity/stocks/tsla/historica…) zeigt nichts an, da dort die Kurs-Historie erst am 5/22/2013 anfängt

Zum Vergleich: 19.5.2023, Close:
• pandas-DataFrame: 180.13999938964844
• Yahoo finance: 180.14
• Nasdaq.com: 180.14

[faultcode]

Antwort auf Beitrag Nr.: 73.888.747 von faultcode am 22.05.23 21:46:14

Backtesting (WMA, SSF, alpha-beta) -- 3: short OK?

na ja:

final amount of capital [USD]: 2,297
final amount of cash [USD]: 2,297
final amount of number of stocks sold short: 0

aber immerhin wurde das Anfangs-Kapital von $10,000 nicht komplett geschrottet. Man ging also mit dieser Strategie nicht bankrott, wenn man die Signale beachtete, im Gegensatz zu vielen Tradern, die oftmals ihre eigenen Signale nicht beachten, weil ihnen ständig ein Bias durchrutscht, wie z.B.:

1. home bias
2. information bias
3. confirmation bias
4. attribution bias
5. hindsight bias
6. endowment effect
7. clustering illusion
8. extrapolation bias
9. availability bias
10. ...

[faultcode]

Antwort auf Beitrag Nr.: 73.888.696 von faultcode am 22.05.23 21:36:35

Backtesting (WMA, SSF, alpha-beta) -- 2: long OK?

na ja:

final amount of capital [USD]: 641,810
final amount of cash [USD]: 100
final amount of number of stocks held long: 3622

aber nicht besser als Buy (am 2.2.2010 zu US$1.5960 am Close mit 6265 Stück) and Hold (bis 19.5.2023, Close):

$10,000 --> $1,128,577.09


abgesehen vom gravierenden steuerlichen Aspekt bei so vielen Trades:

minimum time span in calendar days: 1.0
maximum time span in calendar days: 97.0
mean time span in calendar days: 11.55
All signals based on open prices --> all trades at close prices of same day!

=> 194 x Kauf (long) + 193 x Verkauf (der jeweiligen Long-Positionen)