Buy and Hold Testing Period Simulated Return: 47.29542302357836
MODEL for IMCL Total days=70
MODEL for IMCL Ambient Vector=
MODEL for IMCL At t-2: mean=0.23678482874374082 sd=10.290721223119373
MODEL for IMCL At t-1: mean=0.03951909829359913 sd=6.973211369423214
MODEL for IMCL At t+1: mean=0.11718272175608609 sd=6.882633633318995
MODEL for IMCL At t+2: mean=0.343018255303424 sd=10.169007434454809
Training Results:
MODEL for IMCL Total=128 Good=4 Bad=30 Mixed=4 Mention=90
MODEL for IMCL Good Vector=
MODEL for IMCL At t-2: mean=11.345439438783522 sd=28.363877561865646 t=-0.7803665214766591 v=3.0452931033270283 c=4 s=0.5
MODEL for IMCL At t-1: mean=1.241741521446849 sd=12.835786013183869 t=-0.18576364839839093 v=3.1020040546426437 c=4 s=0.5
MODEL for IMCL At t+1: mean=8.674073124557282 sd=16.099375607316414 t=-1.057501223087522 v=3.062974712823231 c=4 s=0.5
MODEL for IMCL At t+2: mean=8.779350978467715 sd=26.68716971649326 t=-0.6296322567301499 v=3.0499785780335182 c=4 s=0.5
MODEL for IMCL Bad Vector=
MODEL for IMCL At t-2: mean=-2.5626742091904284 sd=8.051883239147331 t=1.3052375719030416 v=41.514042672949365 c=21 s=0.9
MODEL for IMCL At t-1: mean=-1.5512771044790472 sd=6.5496236765289835 t=0.9614924816198277 v=34.750367224059865 c=21 s=0.5
MODEL for IMCL At t+1: mean=3.0491958871538296 sd=8.920855153125071 t=-1.3873648792006814 v=27.52629364726504 c=21 s=0.9
MODEL for IMCL At t+2: mean=6.2366573970093775 sd=11.964151697933362 t=-2.0465132810930764 v=29.210830839799293 c=21 s=0.97
MODEL for IMCL Mixed Vector=
MODEL for IMCL At t-2: mean=-1.7193480679656985 sd=2.4736264354042072 t=1.1214491016984505 v=11.383964215523632 c=4 s=0.5
MODEL for IMCL At t-1: mean=2.6197535416713302 sd=4.696467914388227 t=-1.0355078630106018 v=3.8008375942468864 c=4 s=0.5
MODEL for IMCL At t+1: mean=4.105995507521417 sd=7.632320050606123 t=-1.0217720235171028 v=3.2849801936801715 c=4 s=0.5
MODEL for IMCL At t+2: mean=5.2184124266283325 sd=8.544663775241506 t=-1.0976028671180698 v=3.5042546743045397 c=4 s=0.5
MODEL for IMCL Mention Vector=
MODEL for IMCL At t-2: mean=-0.17143076471821173 sd=8.604776585378476 t=0.2414224703537501 v=122.49587059648117 c=55 s=0.5
MODEL for IMCL At t-1: mean=-0.34573304022673634 sd=5.783822068724048 t=0.3375146177688978 v=122.61497241164709 c=55 s=0.5
MODEL for IMCL At t+1: mean=0.8650734228435808 sd=6.958114552192804 t=-0.5993678500409234 v=115.51306999738397 c=55 s=0.5
MODEL for IMCL At t+2: mean=1.3811809164448603 sd=10.586534478220342 t=-0.5537368139999231 v=113.84878690913075 c=55 s=0.5
One Day Trade Strategy
On GOOD news NOTRADE
On BAD news BUY
On MIXED news NOTRADE
On MENTION news NOTRADE
Two Day Trade Strategy
On GOOD news NOTRADE
On BAD news BUY
On MIXED news NOTRADE
On MENTION news NOTRADE
Hindsight: One Day Ago Trade Strategy
On GOOD news NOTRADE
On BAD news SELL
On MIXED news NOTRADE
On MENTION news NOTRADE
Hindsight: Two Days Ago Trade Strategy
On GOOD news NOTRADE
On BAD news NOTRADE
On MIXED news NOTRADE
On MENTION news NOTRADE
Prediction Model Testing Period Simulated Return: 22.821231482540444 Round Trip Trades: 18.0
MODELS Found
IMCL Training: from 7/1/2002 to 10/2/2002 using 128 news stories.
Certainty is 0.97 for the following: BUY-BAD-2
IMCL Training: from 7/1/2002 to 10/2/2002 using 128 news stories.
Certainty is 0.9 for the following: BUY-BAD-1
Simulated Trades
ticker = IMCL open order= 10/5/2002 close = 10/7/2002 purchase = 7.19 sell = 7.19 return = 0.0 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/5/2002 close = 10/8/2002 purchase = 7.19 sell = 7.14 return = -0.6954102920723325 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/9/2002 close = 10/10/2002 purchase = 7.02 sell = 6.86 return = -2.2792022792022686 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/9/2002 close = 10/11/2002 purchase = 7.02 sell = 7.04 return = 0.2849002849002915 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/11/2002 close = 10/14/2002 purchase = 7.04 sell = 7.36 return = 4.545454545454549 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/11/2002 close = 10/15/2002 purchase = 7.04 sell = 7.7 return = 9.375000000000002 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/14/2002 close = 10/15/2002 purchase = 7.36 sell = 7.7 return = 4.619565217391302 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/14/2002 close = 10/16/2002 purchase = 7.36 sell = 7.74 return = 5.163043478260867 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/15/2002 close = 10/16/2002 purchase = 7.7 sell = 7.74 return = 0.5194805194805199 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/15/2002 close = 10/17/2002 purchase = 7.7 sell = 7.88 return = 2.337662337662334 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/16/2002 close = 10/17/2002 purchase = 7.74 sell = 7.88 return = 1.808785529715758 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/16/2002 close = 10/18/2002 purchase = 7.74 sell = 7.82 return = 1.0335917312661507 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/18/2002 close = 10/20/2002 purchase = 7.82 sell = 7.78 return = -0.5115089514066501 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/18/2002 close = 10/21/2002 purchase = 7.82 sell = 7.78 return = -0.5115089514066501 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/20/2002 close = 10/21/2002 purchase = 7.78 sell = 7.78 return = 0.0 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 10/20/2002 close = 10/22/2002 purchase = 7.78 sell = 7.39 return = -5.012853470437025 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 12/13/2002 close = 12/16/2002 purchase = 11.55 sell = 11.68 return = 1.125541125541117 trade = BUY 1 day T1 Signals buy=1.0 sell=0.0 non=0.0
ticker = IMCL open order= 12/13/2002 close = 12/17/2002 purchase = 11.55 sell = 11.59 return = 0.3463203463203389 trade = BUY 2 days T2 Signals buy=1.0 sell=0.0 non=0.0