WahLau Backtesting
"Buy when everyone is fearful" backtesting in FKLI/ DOW 30/ HSI or SE001
Base on “Ooi Teik Bee ” suggestion "Buy when everyone is fearful" , I backtesting it. If today KLSE was down (fearful) or up (happy), how about tomorrow market? I compare between KLSE/ KLCI, DOW 30, HSI and SSE001.
The results as below:
KLSE/ KLCI
| FROM 1999 TO 20/10/2015 | ||||||
| Next Day Average | Totals Count | sum | Down (Qty) | Don’t Change (Qty) | Up (Qty) | |
| Today Down | -0.09% | 1930 | -168.24% | 994 | 7 | 929 |
| No change | 0.25% | 44 | 10.85% | 16 | 1 | 27 |
| Today Up | 0.13% | 2177 | 290.68% | 926 | 22 | 1229 |
| Today Down > 1% | -0.13% | 362 | -47.79% | 199 | 4 | 159 |
| Today Up > 1% | 0.32% | 409 | 132.61% | 166 | 7 | 236 |
Explain:
Today up =(Today close – Last day close)% > 0%
Today down=(Today close – Last day close)% < 0%
Next day average = Average % (Next day close – Today close)
HSI
| FROM 1999 TO 20/10/2015 | ||||||
| Next Day Average | Totals Count | sum | Down (Qty) | Don’t Change (Qty) | Up (Qty) | |
| Today Down | -0.01% | 1999 | -25.99% | 949 | 26 | 1024 |
| No change | 0.37% | 65 | 24.24% | 24 | 3 | 38 |
| Today Up | 0.06% | 2127 | 136.31% | 1026 | 36 | 1065 |
| Today Down > 1% | 0.04% | 807 | 28.47% | 383 | 7 | 417 |
| Today Up > 1% | 0.10% | 870 | 85.27% | 393 | 15 | 462 |
SSE001 (China)
| FROM 1999 TO 20/10/2015 | ||||||
| Next Day Average | Totals Count | sum | Down (Qty) | Don’t Change (Qty) | Up (Qty) | |
| Today Down | -0.01% | 1907 | -17.79% | 949 | 22 | 936 |
| No change | 0.11% | 226 | 24.39% | 27 | 160 | 39 |
| Today Up | 0.07% | 2123 | 155.15% | 977 | 43 | 1103 |
| Today Down > 1% | 0.07% | 789 | 57.90% | 335 | 7 | 447 |
| Today Up > 1% | 0.18% | 877 | 156.29% | 366 | 16 | 495 |
DOW30
| FROM 1999 TO 20/10/2015 | ||||||
| Next Day Average | Totals Count | sum | Down (Qty) | Don’t Change (Qty) | Up (Qty) | |
| Today Down | 0.08% | 1996 | 151.04% | 885 | 11 | 1100 |
| No change | -0.41% | 25 | -10.36% | 15 | 0 | 10 |
| Today Up | -0.02% | 2206 | -52.92% | 1097 | 14 | 1095 |
| Today Down > 1% | 0.13% | 593 | 74.88% | 262 | 4 | 327 |
| Today Up > 1% | -0.09% | 604 | -51.84% | 316 | 4 | 284 |
Base on today backtesting, KLSE, HSI and HSI if market down (fearful) next day average down (Sell/ run when fear), only DOW 30/ DJI can do it "Buy when everyone is fearful".
If we consider trand follow KLSE/ KLCI > SSE001 > HIS > DOW30. Can we consider KLSE more emotion than HSI or SSE001 market? When change > 1%, KLSE trend more significant.
How about today KLSE stock market compare last time?
“Last time” from 1999 to 2003
| FROM 1999 TO 2003 | ||||||
| Next Day Average | Totals Count | sum | Down (Qty) | Don’t Change (Qty) | Up (Qty) | |
| Today Down | 0.16% | 613 | -98.94% | 329 | 5 | 279 |
| No change | 0.32% | 9 | 2.90% | 5 | 0 | 4 |
| Today Up | 0.23% | 608 | 139.37% | 279 | 4 | 325 |
| Today Down > 1% | -0.26% | 171 | -43.76% | 95 | 0 | 76 |
| Today Up > 1% | 0.39% | 202 | 77.87% | 89 | 1 | 112 |
“Now” from 2011 to 2015.
| FROM 2011 TO 20/10/2015 | ||||||
| Next Day Average | Totals Count | sum | Down (Qty) | Don’t Change (Qty) | Up (Qty) | |
| Today Down | -0.07% | 546 | -35.60% | 276 | 9 | 261 |
| No change | 0.22% | 15 | 3.29% | 3 | 1 | 11 |
| Today Up | 0.07% | 624 | 45.36% | 267 | 5 | 352 |
| Today Down > 1% | -0.03% | 62 | -1.67% | 31 | 1 | 30 |
| Today Up > 1% | 0.30% | 52 | 15.53% | 14 | 2 | 36 |
We try to compare it by Today Up (Next day average) – Today Down (Next day average).
From 1999 to 2003
Today Up (Next day average) – Today Down (Next day average) = 0.23% - 0.16%
=0.07%
From 2011 to 20/10/2015
Today Up (Next day average) – Today Down (Next day average) = 0.07% - (-0.07%)
=0.14%
Look like the trend 2011 to 20/10/2015 strong than 1999 to 2003.
But for Up/Down >1%
From 1999 to 2003
Today Up (Next day average) – Today Down (Next day average) =0.39% - (-0.26%)
=0.65%
From 2011 to 20/10/2015
Today Up (Next day average) – Today Down (Next day average) = 0.30% - (-0.03%)
= 0.33%
1999 to 2003 have strong trend compare 2011 to 20/10/2015.
In KLSE "Buy when everyone is fearful" not suitable for day trade FKLI.
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4.9 / 5.0
This book is the result of the author's many years of experience and observation throughout his 26 years in the stockbroking industry. It was written for general public to learn to invest based on facts and not on fantasies or hearsay....
apanama
FKLI is derivative...if u 'play' derivative like you 'play' stocks...u are digging your own graveyard..
2015-11-12 22:31