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Test Results


 

Artificial Foreteller was tested on S&P 500 historic tick data with quantum in 1 second. It was tested for intra day trade using different time intervals, starting from 5 min and up to 8 hours to simulate intra day trade. The system demonstrated stable results and proved that it can improve results of trading.

As an example we would like to describe results of two tests. It was selected time interval in 1 hour to build bar chart. A straightforward way of train was implemented. Foreteller recognizes as a positive or negative period for trade even if difference between open and close prices were more than 0.1. In other cases the system recognizes them as neutral. Artificial Foreteller was trained on historic tick data for 1998 - 1999. Then tick data for eight months of 2002 was taken for system test.

Value of contract for period (period is a set of consecutive time intervals with same trend) was calculated by formula - (C - O)*500, where C is tick value when current period closed, and O is tick value when current period is open. No commissions were taken into calculations.

Below two strategies are shown. First strategy is quite sensitive and reacts on most of fluctuations. Foreteller selected 373 trade periods. The second strategy is less sensitive and formed 193 trade periods however it demonstrated better results (see next page with test result).

Preprocessor selected 373 trade periods. The acquired result was as following:

  1. System selected 241 negative trade periods. If it traded during these periods it would loose 606,850.00 $
  1. System selected 132 positive trade periods. If it traded during these periods it would gain 633,200.00 $

When Artificial Foreteller was used the following result was obtained:

  1. System managed to recognize 99 from 241 negative periods of trade as negative periods and managed to avoid loss of 285,385.00$.
  1. System made wrong prediction in 124 negative trade periods and lost was 294,250.00 $.
  1. System recognized 17 periods as unknown.
  2. System made correct prediction in 68 trade periods and gain was 330,650.00 $.
  1. System recognized as negative 65 positive trade periods and did not obtained 301,60.00 $. This happened only because Artificial Foreteller was not trained on these types of trade periods.

NOTE: During unknown periods system did not trade.

Preprocessor managed to select trade periods in such a manner that totals was 26,350.00 $

If Artificial Foreteller traded it would gain 330,650.00 - 294,250.00 = 36,400.00 $.

Artificial Foreteller helps trader to recognize negative trade periods.

Demo version of Artificial Foreteller v.1.0 can be downloaded here

A table below contains results of tick data analysis for 2002

Date

Time

DT

Recognition

FOR

AGAINST

POS/NEG

Profit

Unfavorable periods

Lost Gain

Error PrognosisS

Correct prognosis

Correct guess of losses

12.28.01

12:34:00

L

+

0.06

0.04

-

-650

-650

*

-650

*

*

12.28.01

13:35:00

S

-

0.19

0.21

+

1200

*

1200

*

*

*

12.31.01

11:33:00

L

+

0.08

0.07

-

-900

-900

*

-900

*

*

12.31.01

14:37:00

S

-

0.14

0.16

+

6900

*

6900

*

*

*

01.02.02

11:33:00

L

+

0.05

0.04

+

13600

*

*

*

13600

*

01.04.02

10:32:00

S

-

0.03

0.05

-

-50

-50

*

*

*

-50

01.04.02

13:35:00

L

+

0.1

0.08

+

350

*

*

*

350

*

01.07.02

10:32:00

S

-

0.05

0.09

+

350

*

350

*

*

*

01.07.02

13:35:00

L

+

0.26

0.2

-

-1600

-1600

*

-1600

*

*

01.07.02

14:36:00

S

+

0.41

0.4

+

750

*

*

*

750

*

01.08.02

12:34:00

L

+

0.1

0.09

-

-3250

-3250

*

-3250

*

*

01.08.02

13:35:00

S

+

0.33

0.33

-

-2150

-2150

*

-2150

*

*

01.08.02

15:14:00

L

+

0.1

0.06

+

3000

*

*

*

3000

*

01.09.02

11:33:00

S

-

0.29

0.29

-

-250

-250

*

*

*

-250

01.09.02

12:34:00

L

+

0.17

0.16

-

-7250

-7250

*

-7250

*

*

01.09.02

14:36:00

S

-

0.12

0.14

+

1950

*

1950

*

*

*

01.10.02

9:31:00

L

N

0.14

0.14

+

600

*

*

*

*

*

01.10.02

10:32:00

S

N

0.04

0.04

-

-50

-50

*

*

*

*

01.10.02

11:33:00

L

+

0.13

0.11

+

1250

*

*

*

1250

*

01.10.02

12:34:00

S

+

0.02

0.01

-

-500

-500

*

-500

*

*

01.10.02

13:35:00

L

+

0.24

0.24

+

600

*

*

*

600

*

01.10.02

15:14:00

S

-

0.04

0.04

+

9600

*

9600

*

*

*

01.14.02

13:35:00

L

+

0

0

-

-250

-250

*

-250

*

*

01.14.02

15:14:00

S

-

0.1

0.1

-

-2800

-2800

*

*

*

-2800

01.15.02

9:31:00

L

-

0.24

0.29

-

-1400

-1400

*

*

*

-1400

01.15.02

11:33:00

S

-

0.36

0.36

+

550

*

550

*

*

*

01.15.02

14:36:00

L

+

0.14

0.1

-

-3150

-3150

*

-3150

*

*

01.16.02

9:31:00

S

-

0.11

0.13

+

2100

*

2100

*

*

*

01.17.02

9:31:00

L

+

0.01

0.01

+

200

*

*

*

200

*

01.17.02

13:35:00

S

-

0.09

0.1

-

-3000

-3000

*

*

*

-3000

01.17.02

14:36:00

L

-

0.4

0.41

-

-3850

-3850

*

*

*

-3850

01.18.02

9:31:00

S

-

0.14

0.15

+

250

*

250

*

*

*

01.18.02

10:32:00

L

+

0.15

0.14

-

-1000

-1000

*

-1000

*

*

01.18.02

11:33:00

S

+

0.44

0.44

-

-850

-850

*

-850

*

*

01.18.02

12:34:00

L

+

0.43

0.43

-

-2900

-2900

*

-2900

*

*

01.18.02

14:36:00

S

+

0.09

0.08

-

-1900

-1900

*

-1900

*

*

01.18.02

15:14:00

L

-

0.24

0.27

-

-3650

-3650

*

*

*

-3650

01.22.02

10:32:00

S

-

0.15

0.15

+

1750

*

1750

*

*

*

01.23.02

10:32:00

L

+

0.04

0.02

+

3000

*

*

*

3000

*

01.23.02

14:36:00

S

+

0.19

0.18

-

-2900

-2900

*

-2900

*

*

01.24.02

9:31:00

L

+

0.2

0.11

-

-1400

-1400

*

-1400

*

*

01.24.02

13:35:00

S

-

0.02

0.04

-

-150

-150

*

*

*

-150

01.25.02

10:32:00

L

+

0.1

0.08

+

500

*

*

*

500

*

01.25.02

14:36:00

S

-

0.16

0.17

+

300

*

300

*

*

*

01.28.02

9:31:00

L

+

0.09

0.04

+

0

*

*

*

0

*

01.28.02

10:32:00

S

-

0.36

0.41

+

2600

*

2600

*

*

*

01.28.02

13:36:00

L

-

0.05

0.06

-

-4100

-4100

*

*

*

-4100

01.29.02

10:32:00

S

+

0.09

0.08

+

11750

*

*

*

11750

*

01.30.02

13:35:00

L

-

0

0

+

9250

*

9250

*

*

*

01.31.02

10:32:00

S

+

0.18

0.17

-

-1150

-1150

*

-1150

*

*

01.31.02

11:33:00

L

+

0.24

0.19

+

4550

*

*

*

4550

*

02.01.02

9:31:00

S

-

0.13

0.15

+

1300

*

1300

*

*

*

02.01.02

13:35:00

L

-

0.05

0.06

-

-1950

-1950

*

*

*

-1950

02.01.02

14:36:00

S

-

0.39

0.46

-

-1500

-1500

*

*

*

-1500

02.01.02

15:14:00

L

-

0.51

0.54

-

-4850

-4850

*

*

*

-4850

02.04.02

9:31:00

S

-

0.15

0.17

+

9900

*

9900

*

*

*

02.05.02

10:32:00

L

+

0.16

0.15

+

1750

*

*

*

1750

*

02.05.02

12:34:00

S

+

0.07

0.07

-

-2250

-2250

*

-2250

*

*

02.05.02

13:35:00

L

-

0.24

0.27

-

-9500

-9500

*

*

*

-9500

02.06.02

10:32:00

S

-

0.02

0.04

-

-4750

-4750

*

*

*

-4750

02.06.02

12:34:00

L

+

0.34

0.32

-

-1900

-1900

*

-1900

*

*

02.06.02

14:36:00

S

+

0.14

0.11

-

-2550

-2550

*

-2550

*

*

02.07.02

10:32:00

L

-

0.05

0.06

+

950

*

950

*

*

*

02.07.02

12:34:00

S

-

0.06

0.1

+

1450

*

1450

*

*

*

02.08.02

9:31:00

L

+

0.28

0.23

-

-2950

-2950

*

-2950

*

*

02.08.02

11:33:00

S

-

0.12

0.13

-

-7100

-7100

*

*

*

-7100

02.08.02

15:14:00

L

-

0.14

0.16

+

4250

*

4250

*

*

*

02.12.02

9:31:00

S

N

0.02

0.02

-

-400

-400

*

*

*

*

02.12.02

10:32:00

L

+

0.56

0.48

+

1550

*

*

*

1550

*

02.12.02

15:14:00

S

-

0.02

0.04

-

-4150

-4150

*

*

*

-4150

02.13.02

9:31:00

L

-

0.41

0.44

-

-1250

-1250

*

*

*

-1250

02.13.02

11:33:00

S

-

0.06

0.07

-

-1400

-1400

*

*

*

-1400

02.13.02

12:34:00

L

+

0.7

0.69

-

-400

-400

*

-400

*

*

02.13.02

14:36:00

S

-

0.12

0.14

-

-600

-600

*

*

*

-600

02.13.02

15:14:00

L

+

0.24

0.24

-

-1650

-1650

*

-1650

*

*

02.14.02

13:36:00

S

-

0.07

0.09

+

13200

*

13200

*

*

*

02.19.02

11:33:00

L

N

0

0

-

-50

-50

*

*

*

*

02.19.02

12:34:00

S

-

0.17

0.17

+

2650

*

2650

*

*

*

02.20.02

9:31:00

L

+

0.04

0.02

-

-1200

-1200

*

-1200

*

*

02.20.02

10:32:00

S

-

0.2

0.22

-

-3200

-3200

*

*

*

-3200

02.20.02

13:35:00

L

-

0.13

0.15

+

4800

*

4800

*

*

*

02.21.02

9:31:00

S

-

0.08

0.08

+

500

*

500

*

*

*

02.21.02

11:33:00

L

+

0.07

0.06

-

-1250

-1250

*

-1250

*

*

02.21.02

13:35:00

S

-

0.12

0.17

+

5800

*

5800

*

*

*

02.22.02

13:35:00

L

+

0.06

0.05

+

11450

*

*

*

11450

*

02.27.02

13:35:00

S

N

0

0

-

-2400

-2400

*

*

*

*

02.27.02

15:14:00

L

-

0.17

0.18

+

100

*

100

*

*

*

02.28.02

10:32:00

S

+

0.06

0.05

-

-1250

-1250

*

-1250

*

*

02.28.02

12:34:00

L

+

0.22

0.11

-

-750

-750

*

-750

*

*

02.28.02

13:35:00

S

+

0.39

0.39

-

-900

-900

*

-900

*

*

03.01.02

9:31:00

L

+

0.09

0.09

+

16000

*

*

*

16000

*

03.05.02

10:32:00

S

N

0

0

-

-1500

-1500

*

*

*

*

03.05.02

11:33:00

L

+

0.33

0.29

-

-1150

-1150

*

-1150

*

*

03.05.02

13:35:00

S

+

0.13

0.08

-

-2350

-2350

*

-2350

*

*

03.06.02

10:32:00

L

+

0.09

0.06

+

1750

*

*

*

1750

*

03.06.02

13:35:00

S

+

0.18

0.16

-

-2900

-2900

*

-2900

*

*

03.06.02

14:36:00

L

-

0.49

0.57

-

-1550

-1550

*

*

*

-1550

03.07.02

10:32:00

S

+

0.08

0.06

+

1600

*

*

*

1600

*

03.07.02

12:34:00

L

+

0.19

0.15

-

-1850

-1850

*

-1850

*

*

03.07.02

13:35:00

S

-

0.43

0.45

-

-3700

-3700

*

*

*

-3700

03.07.02

15:14:00

L

+

0.11

0.09

-

-900

-900

*

-900

*

*

03.08.02

10:32:00

S

+

0.13

0.13

-

-650

-650

*

-650

*

*

03.08.02

13:35:00

L

N

0.1

0.1

-

-2450

-2450

*

*

*

*

03.08.02

14:36:00

S

-

0.39

0.4

-

-250

-250

*

*

*

-250

03.11.02

10:32:00

L

+

0.14

0.11

+

1750

*

*

*

1750

*

03.11.02

15:14:00

S

-

0.01

0.02

-

-1500

-1500

*

*

*

-1500

03.12.02

10:32:00

L

+

0.19

0.13

+

1750

*

*

*

1750

*

03.12.02

14:36:00

S

+

0.07

0.04

-

-2250

-2250

*

-2250

*

*

03.12.02

15:14:00

L

+

0.56

0.53

+

50

*

*

*

50

*

03.13.02

9:31:00

S

-

0.29

0.33

+

1850

*

1850

*

*

*

03.13.02

12:34:00

L

+

0.08

0.08

-

-1450

-1450

*

-1450

*

*

03.13.02

13:35:00

S

-

0.31

0.33

-

-200

-200

*

*

*

-200

03.13.02

15:14:00

L

+

0.12

0.08

+

250

*

*

*

250

*

03.14.02

12:35:00

S

-

0.07

0.07

+

850

*

850

*

*

*

03.14.02

14:37:00

L

+

0.17

0.15

-

-300

-300

*

-300

*

*

03.14.02

15:14:00

S

-

0.42

0.45

-

-500

-500

*

*

*

-500

03.15.02

9:31:00

L

+

0.54

0.48

+

1700

*

*

*

1700

*

03.18.02

10:32:00

S

-

0

0.02

-

-2350

-2350

*

*

*

-2350

03.18.02

14:36:00

L

+

0.1

0.09

+

1100

*

*

*

1100

*

03.19.02

14:36:00

S

-

0.02

0.03

+

4950

*

4950

*

*

*

03.20.02

12:34:00

L

-

0.11

0.12

-

-1600

-1600

*

*

*

-1600

03.20.02

13:35:00

S

+

0.44

0.44

+

5300

*

*

*

5300

*

03.21.02

13:35:00

L

+

0.1

0.09

+

400

*

*

*

400

*

03.22.02

9:31:00

S

-

0.04

0.05

-

-3050

-3050

*

*

*

-3050

03.22.02

10:32:00

L

-

0.4

0.41

-

-1600

-1600

*

*

*

-1600

03.22.02

13:35:00

S

-

0.17

0.18

+

3850

*

3850

*

*

*

03.25.02

12:34:00

L

-

0.08

0.09

-

-3400

-3400

*

*

*

-3400

03.25.02

14:36:00

S

+

0.1

0.1

-

-5650

-5650

*

-5650

*

*

03.26.02

9:31:00

L

+

0.11

0.07

-

-4650

-4650

*

-4650

*

*

03.26.02

13:35:00

S

-

0.03

0.05

-

-1600

-1600

*

*

*

-1600

03.26.02

15:14:00

L

+

0.05

0.05

+

1750

*

*

*

1750

*

03.27.02

13:35:00

S

-

0.13

0.13

-

-1400

-1400

*

*

*

-1400

03.27.02

14:36:00

L

-

0.81

0.83

+

2150

*

2150

*

*

*

03.28.02

11:33:00

S

+

0.24

0.23

-

-650

-650

*

-650

*

*

03.28.02

13:35:00

L

+

0.26

0.1

-

-3600

-3600

*

-3600

*

*

03.28.02

15:14:00

S

-

0.12

0.13

+

600

*

600

*

*

*

04.01.02

11:33:00

L

N

0.16

0.16

-

-350

-350

*

*

*

*

04.02.02

9:31:00

S

+

0.02

0.02

-

-1600

-1600

*

-1600

*

*

04.02.02

10:32:00

L

+

0.64

0.58

-

-2100

-2100

*

-2100

*

*

04.02.02

12:34:00

S

-

0.11

0.12

-

-800

-800

*

*

*

-800

04.02.02

13:35:00

L

-

0.6

0.62

-

-500

-500

*

*

*

-500

04.02.02

14:36:00

S

+

0.42

0.39

+

3950

*

*

*

3950

*

04.03.02

12:34:00

L

-

0.06

0.07

-

-2000

-2000

*

*

*

-2000

04.03.02

13:35:00

S

-

0.35

0.37

-

-1250

-1250

*

*

*

-1250

04.03.02

15:14:00

L

-

0.07

0.07

-

-150

-150

*

*

*

-150

04.04.02

12:34:00

S

+

0.06

0.05

-

-1100

-1100

*

-1100

*

*

04.04.02

15:14:00

L

+

0.13

0.12

-

-2400

-2400

*

-2400

*

*

04.05.02

10:32:00

S

+

0.14

0.13

-

-650

-650

*

-650

*

*

04.05.02

13:35:00

L

+

0.07

0.07

-

-4850

-4850

*

-4850

*

*

04.08.02

9:31:00

S

-

0.08

0.09

+

150

*

150

*

*

*

04.08.02

10:32:00

L

+

0.15

0.13

+

3500

*

*

*

3500

*

04.09.02

10:32:00

S

-

0.13

0.17

+

50

*

50

*

*

*

04.09.02

11:33:00

L

+

0.33

0.26

-

-750

-750

*

-750

*

*

04.09.02

12:34:00

S

+

0.42

0.39

-

-2900

-2900

*

-2900

*

*

04.10.02

9:31:00

L

+

0.08

0.06

-

-3400

-3400

*

-3400

*

*

04.10.02

11:33:00

S

-

0.13

0.15

-

-4000

-4000

*

*

*

-4000

04.10.02

13:35:00

L

-

0.06

0.06

-

-4100

-4100

*

*

*

-4100

04.11.02

9:31:00

S

+

0.11

0.1

+

5100

*

*

*

5100

*

04.12.02

9:31:00

L

+

0.02

0.01

-

-550

-550

*

-550

*

*

04.12.02

11:33:00

S

+

0.18

0.17

+

250

*

*

*

250

*

04.12.02

12:34:00

L

N

0.01

0.01

-

-3000

-3000

*

*

*

*

04.15.02

10:32:00

S

+

0.15

0.14

-

-2700

-2700

*

-2700

*

*

04.15.02

12:34:00

L

+

0.07

0.05

-

-750

-750

*

-750

*

*

04.15.02

14:36:00

S

+

0.16

0.12

-

-8600

-8600

*

-8600

*

*

04.16.02

9:31:00

L

+

0.23

0.12

+

2150

*

*

*

2150

*

04.17.02

11:33:00

S

-

0.03

0.06

+

400

*

400

*

*

*

04.17.02

15:14:00

L

+

0.19

0.15

-

-1550

-1550

*

-1550

*

*

04.18.02

10:32:00

S

+

0.19

0.16

-

-1150

-1150

*

-1150

*

*

04.18.02

13:35:00

L

-

0.02

0.03

+

250

*

250

*

*

*

04.19.02

10:32:00

S

-

0.07

0.1

-

-650

-650

*

*

*

-650

04.19.02

11:33:00

L

+

0.7

0.69

-

-500

-500

*

-500

*

*

04.19.02

13:35:00

S

+

0.32

0.3

+

9100

*

*

*

9100

*

04.22.02

15:14:00

L

+

0.02

0.01

-

-650

-650

*

-650

*

*

04.23.02

11:33:00

S

-

0.08

0.12

-

-500

-500

*

*

*

-500

04.23.02

13:35:00

L

+

0.28

0.2

-

-3650

-3650

*

-3650

*

*

04.23.02

14:36:00

S

+

0.34

0.33

-

-1250

-1250

*

-1250

*

*

04.24.02

9:31:00

L

+

0.71

0.65

+

1100

*

*

*

1100

*

04.24.02

12:34:00

S

+

0.11

0.08

+

6200

*

*

*

6200

*

04.25.02

10:32:00

L

+

0.05

0.03

-

-2850

-2850

*

-2850

*

*

04.25.02

11:33:00

S

-

0.14

0.18

-

-750

-750

*

*

*

-750

04.25.02

13:35:00

L

-

0.06

0.08

+

350

*

350

*

*

*

04.25.02

14:36:00

S

+

0.05

0.02

-

-600

-600

*

-600

*

*

04.25.02

15:14:00

L

+

0.37

0.36

-

-5150

-5150

*

-5150

*

*

04.26.02

10:32:00

S

+

0.13

0.11

+

250

*

*

*

250

*

04.26.02

13:35:00

L

+

0.1

0.07

-

-2850

-2850

*

-2850

*

*

04.26.02

14:36:00

S

+

0.33

0.33

+

100

*

*

*

100

*

04.30.02

10:32:00

L

N

0

0

+

350

*

*

*

*

*

04.30.02

13:35:00

S

+

0.12

0.11

+

3750

*

*

*

3750

*

05.01.02

11:33:00

L

+

0.18

0.13

+

5750

*

*

*

5750

*

05.02.02

10:32:00

S

-

0.06

0.08

-

-400

-400

*

*

*

-400

05.02.02

15:14:00

L

-

0.02

0.02

-

-3650

-3650

*

*

*

-3650

05.03.02

9:31:00

S

-

0.46

0.49

-

-1050

-1050

*

*

*

-1050

05.03.02

13:35:00

L

+

0.13

0.09

-

-2000

-2000

*

-2000

*

*

05.03.02

15:14:00

S

+

0.07

0.05

+

8000

*

*

*

8000

*

05.07.02

12:34:00

L

+

0.01

0

-

-1150

-1150

*

-1150

*

*

05.07.02

13:35:00

S

-

0.2

0.21

-

-8850

-8850

*

*

*

-8850

05.08.02

9:31:00

L

+

0.02

0.01

+

6350

*

*

*

6350

*

05.08.02

13:35:00

S

+

0.04

0.03

-

-2500

-2500

*

-2500

*

*

05.08.02

14:36:00

L

-

0.19

0.2

-

-4850

-4850

*

*

*

-4850

05.09.02

9:31:00

S

+

0.05

0.04

-

-1150

-1150

*

-1150

*

*

05.09.02

12:34:00

L

+

0.08

0.06

-

-1800

-1800

*

-1800

*

*

05.09.02

14:36:00

S

-

0.06

0.08

+

5950

*

5950

*

*

*

05.13.02

9:31:00

L

-

0

0

+

2300

*

2300

*

*

*

05.13.02

13:35:00

S

+

0.03

0.02

-

-1850

-1850

*

-1850

*

*

05.13.02

14:37:00

L

+

0.41

0.38

+

9850

*

*

*