Experiment 2

Experiment 2 (4/10 – 4/20)

This experiment was cut short due to a power outage the morning of 4/20.  We had a terrible windstorm overnight, and it disrupted electric service.  The battery backup kept the computer, router and modem working, but the backup generator failed to start.  I couldn’t figure out what was wrong with the generator before the battery backup ran out and I had to leave for work anyways.  Instead of restarting the experiment when I got home and running it one more day, I decided to just go with the data collected thus far and move on to the next phase next week.

This experiment tested the DMA, MAFR, and MACD versions in the 1/5/15 and 1/30/60 timeframes.  We collected data on each gain/loss for every configuration and proceeded to make a Student’s t-test for unequal sample size and unequal variance.  The degrees of freedom were calculated using the Welch–Satterthwaite equation.

Results

The following data was obtained during the duration of the experiment:

Cumulative pips during the test period

Average pips per trade

Analysis

We tested four hypothesis as follow:

Ho1: The difference between any two configurations is due to randomness  (α=0.05)

 We fail to reject the null hypothesis at the selected probability criterion.

Ho2: The difference between any one configuration and the aggregate of the rest is due to randomness  (α=0.05)

We reject the null hypothesis.  The MACD 1/5 configuration is statistically significantly different from the rest of the configurations as an aggregate given the chosen probability criterion.

Ho3:  The difference between any two Versions (aggregate Timings) is due to randomness  (α=0.05)

We fail to reject the null hypothesis at the selected probability criterion.

Ho4: The difference between the two Timings (aggregate Versions) is due to randomness  (α=0.05)

We fail to reject the null hypothesis at the selected probability criterion.


Conclusions

Most of the results were inconclusive, however, the MACD 1/5 version had an average of 5 pips/trade, finished the test period with 170 accumulated pips, and the results were statistically significant when compared with all other results.

The next phase of the experiment will focus on the MACD 1/5.  We will test this configuration further under a wider variety of conditions and see if it can be improved further.

Experiment 1 (3/20 – 4/08)

The following are metrics from 3/20 through 4/08.  This period was mired with bugs and technical issues, and the MACD versions were not tested for anywhere near long enough.  Nonetheless, the results appear to indicate that the 1/5/15 versions are consistently better-performing than the 1/30/60 versions.  We’re posting this here for completeness, although we’re re-baselining the metrics starting this week.  If the results are consistent with the last few weeks, suggesting that 1/5/15 versions have an edge, we’ll move on to the next phase next week.

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One Response to Experiment 2

  1. Pingback: Now broadcasting on Myfxbook « GatorNuke's Lab

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