WahLau Backtesting

Backtesting KLSE Buying Point - Low Volume Monthly

Wah Lau
Publish date: Sun, 25 Oct 2015, 10:38 AM
Wah Lau
0 41
Backtesting study.
Following Message

I try to use backtesting to study buying point for KLSE (FTSE Bursa Malaysia KLCI).  1st backtesting is volume. The reason is my 1st ebook about investment is KLSE8k ebook http://cn.cari.com.my/forum.php?mod=viewthread&tid=2052344 . 1 of his buy point is low volume (RM).

 

Data I take from YAHOO Finance. https://finance.yahoo.com/q/hp?s=%5EKLSE&a=11&b=3&c=1993&d=9&e=24&f=2015&g=d&z=66&y=0

 

Data selection Method 1 (Low Volume - Monthly)

I collect take data from low volume to higher volume, Monthly I will select early and only 1 data for same month data.

For example I select 2/9/1998, but dont select lower volume like 22/9/1998. Detail as below:

Date Open High Low Close Volume Adj Close Use/Not use
22/9/1998 380.12 389.02 380.12 385.45 4734500 385.45 Not use
17/8/1999 766.09 768.78 749.35 751.47 6115300 751.47 Not use
18/9/1998 384.9 394.65 381.72 393.3 6117800 393.3 Not use
21/9/1998 392.65 394.79 375.49 378.32 7186700 378.32 Not use
17/9/1998 395.08 399.05 385.16 386.55 7273200 386.55 Not use
15/9/1998 402.32 404.4 387.23 389.08 8839200 389.08 Not use
11/9/1998 376.94 379.27 360.69 368.53 8839200 368.53 Not use
16/9/1998 389.12 398.59 382.81 394.04 9082900 394.04 Not use
16/10/1998 396.69 404.22 394.83 396.26 9107600 396.26 Use
24/9/1998 380.82 388.48 380.82 387.46 9435500 387.46 Not use
25/9/1998 385.97 388.66 382.5 387.27 9435500 387.27 Not use
23/9/1998 385.82 386.2 372.56 376.26 9435500 376.26 Not use
8/12/1998 514.55 521.68 508.73 510.85 9456900 510.85 Use
10/9/1998 396.34 397.38 373 380.2 9786300 380.2 Not use
25/8/1999 775.94 777.71 765.23 768.43 9850800 768.43 Not use
5/11/1998 433.71 442.87 433.71 438.66 10145400 438.66 Use
16/8/1999 776.69 780.83 756.61 766.41 10254800 766.41 Not use
11/12/1998 525.71 536.94 520.69 533.88 10313000 533.88 Not use
6/8/1999 706.44 713.89 692.7 703.09 10473500 703.09 Not use
14/9/1998 370.85 393.24 352.5 393.24 10533200 393.24 Not use
14/12/1998 537.02 546.28 537.02 541.01 10723100 541.01 Not use
9/12/1998 510.91 522.18 502.38 522.18 10842800 522.18 Not use
29/7/1999 780.75 781.07 762.08 774.52 10921300 774.52 Not use
6/11/1998 440.18 453.29 435.91 453.29 10984700 453.29 Not use
10/12/1998 525.22 533.08 521.89 525.58 11109400 525.58 Not use
22/4/1999 618.01 637.19 618.01 636.43 11414100 636.43 Not use
7/1/1999 589.86 599.71 585.89 585.89 11628700 585.89 Use
20/4/1999 614.73 626.83 609.88 621.53 11663000 621.53 Use
21/10/1998 425.55 428.45 415.23 424.37 12287200 424.37 Not use
2/9/1998 269.42 295.2 269.42 294.59 12372800 294.59 Use
11/10/1999 747.14 753.72 743.31 747.39 12612700 747.39 Not use
8/10/1999 736.19 748.36 736.19 743.84 12949500 743.84 Use
22/1/1999 615.7 621.57 612.38 618.54 12974300 618.54 Not use
22/7/1999 839.02 840.36 827.29 829.77 13082600 829.77 Use
30/7/1999 774 779.89 765.38 768.69 13090000 768.69 Not use
23/4/1999 640.26 648.71 640.26 646.92 13110500 646.92 Not use
2/8/1999 768.92 769.06 732.06 734.94 13682000 734.94 Use
24/11/1998 480.44 491.23 480.44 489.66 13898700 489.66 Not use
3/8/1999 734.98 748.34 723.17 748.34 14220400 748.34 Not use
2/1/2003 646.99 647.22 632.34 632.43 14224200 632.43 Use
 

 

After I take those data method 1, sort descending, select data and result as below:

Buying Point Compare Point Results
Date Close Next Day Open Volume Date Close Compare Year Compare KLSE KLSE/year
16/10/1998 396.26 397.95 9107600 1/10/2015 1633.93 17.00 1235.98 72.70
8/12/1998 510.85 510.91 9456900 1/10/2015 1633.93 16.83 1123.02 66.71
5/11/1998 438.66 440.18 10145400 1/10/2015 1633.93 16.92 1193.75 70.57
7/1/1999 585.89 587.88 11628700 1/10/2015 1633.93 16.75 1046.05 62.45
20/4/1999 621.53 621.78 11663000 1/10/2015 1633.93 16.50 1012.15 61.34
2/9/1998 294.59 284.60 12372800 1/10/2015 1633.93 17.08 1349.33 78.99
8/10/1999 743.84 747.14 12949500 1/10/2015 1633.93 16.00 886.79 55.42
22/7/1999 829.77 826.30 13082600 1/10/2015 1633.93 16.50 807.63 48.95
2/8/1999 734.94 734.98 13682000 1/10/2015 1633.93 16.17 898.95 55.61
2/1/2003 632.43 633.99 14224200 1/10/2015 1633.93 12.75 999.94 78.43
  Totals 162.50 10553.59 64.95

The resuld for volume mathod 1 volume is average +64.95 KLSE point/ year.

 

 

For your infro:-

 

Problem Facing (data)

Problem facing YAHOO finance volume(RM) do not same with Bursa report (Any senior know the reason, please let me know) and data do not complete . Print screen as below:

Beside YAHOO finance, any senior here got any ideas to find more than 10 years KLSE Volume(RM)’s data.

 

Copy from KLSE ebook (page 118)

 

What is backtesting?

Backtesting is the process of applying a trading strategy or analytical method to historical data to see how accurately the strategy or method would have predicted actual results.

For more can refer link as below:

http://www.investinganswers.com/financial-dictionary/stock-market/backtesting-865

https://en.wikipedia.org/wiki/Backtesting

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