Home How it works

How it works

How can we use TIME in a better (more efficient) way?

Classical concepts

  • The predominant concept of profit factor for the financial community is related to parameters such as relative/absolute value in price variation
  • On these two concepts, almost all trading and asset allocation models are constructed, but also machine learning algorithms
  • Research must then go through other ways to look for a profit-making methodology (i.e.: analyse the profit curve of a model as an asset itself…)

Vertical pattern

  • The concept of vertical pattern is only tied to time, in the sense that time is the dominant trigger of entry and exit signals

The Pathfinder is a statistical model that is based on the hypothesis of market non-randomness and thus on the behavioural repetition of inefficiency. It works in a very simple way, following these 8 key points:

girltrex-black
  • 1.
    We analyse a market/asset to scan its ability to create what we call vertical profit on a monthly basis
  • 2.
    The model looks at each month of the year as a trading system, and in this sense analyses the historical data to scan performance, frequency and so on
  • 3.
    An analytical statistic linked to Jan, Feb and so on is created
  • 4.
    These statistics are analysed by an algorithm that generates a coefficient / rank for each month
  • 5.
    There will be months with a ranking ranging from +2 to -2 (+2, +1, 0, -1, -2)
  • 6.
    Positive/negative numbers mean LONG/SHORT positions are favoured
  • 7.
    +2/-2 mean that statistics are strong and leverage positions are allowed
  • 8.
    Score depends on certain rules and their degree of reliability and profitability
  • 1.
    We analyse a market/asset to scan its ability to create what we call vertical profit on a monthly basis
  • 2.
    The model looks at each month of the year as a trading system, and in this sense analyses the historical data to scan performance, frequency and so on
  • 3.
    An analytical statistic linked to Jan, Feb and so on is created
  • 4.
    These statistics are analysed by an algorithm that generates a coefficient / rank for each month
  • 5.
    There will be months with a ranking ranging from +2 to -2 (+2, +1, 0, -1, -2)
  • 6.
    Positive/negative numbers mean LONG/SHORT positions are favoured
  • 7.
    +2/-2 mean that statistics are strong and leverage positions are allowed
  • 8.
    Score depends on certain rules and their degree of reliability and profitability

The following table shows the Pathfinder screener on Eurostoxx50 from 1995 to 2019. The underlying logic is that past can be a better guide for the present if it worked in an efficient way. Otherwise, it is not useful.

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC
tot ret 6.89% 8.37% 27.56% 58.75% -22.97% -15.25% 24.62% -48.14% -30.32% 46.87% 38.83% 42.21%
avg ret 0.28% 0.33% 1.10% 2.35% -0.92% -0.61% 0.98% -1.93% -1.26% 1.95% 1.62% 1.76%
worst month -13.79% -11.66% -4.85% -6.90% -8.13% -11.25% -14.28% -14.44% -18.64% -14.66% -6.82% -10.18%
best month 8.38% 10.63% 9.56% 14.69% 7.59% 7.99% 11.53% 5.19% 7.22% 14.27% 10.11% 13.68%
neg months 10 12 10 8 14 16 10 15 11 7 9 7
pos months 15 13 15 17 11 9 15 10 13 17 15 17
ratio pos:neg 1.50 1.08 1.50 2.13 0.79 0.56 1.50 0.67 1.18 2.43 1.67 2.43
STD 1.63% 1.46% 1.06% 1.62% 1.15% 1.34% 1.63% 1.62% 1.89% 1.91% 1.33% 1.48%
YSTD 19.55% 17.48% 12.67% 19.46% 13.80% 16.10% 19.53% 19.44% 22.65% 22.86% 15.98% 17.72%
avg ret 0.17 0.23 1.04 1.45 -0.80 -0.45 0.60 -1.19 -0.67 1.03 1.22 1.19
0 0 0 0 0 0 0 0 0 0 0 0
screener 0 0 2 2 -1 0 1 -2 0 2 2 2

The following table shows the Pathfinder screener on Eurostoxx50 from 1995 to 2019. The underlying logic is that past can be a better guide for the present if it worked in an efficient way. Otherwise, it is not useful.

Quarter #1: January/February/March

JAN FEB MAR
tot ret 6.89% 8.37% 27.56%
avg ret 0.28% 0.33% 1.10%
worst month -13.79% -11.66% -4.85%
best month 8.38% 10.63% 9.56%
neg months 10 12 10
pos months 15 13 15
ratio pos:neg 1.50 1.08 1.50
STD 1.63% 1.46% 1.06%
YSTD 19.55% 17.48% 12.67%
avg ret 0.17 0.23 1.04
0 0 0
screener 0 0 2

Quarter #2: April/May/June
Pathfinder screener on Eurostoxx50 from 1995 to 2019

APR MAY JUN
tot ret 58.75% -22.97% -15.25%
avg ret 2.35% -0.92% -0.61%
worst month -6.90% -8.13% -11.25%
best month 14.69% 7.59% 7.99%
neg months 8 14 16
pos months 17 11 9
ratio pos:neg 2.13 0.79 0.56
STD 1.62% 1.15% 1.34%
YSTD 19.46% 13.80% 16.10%
avg ret 1.45 -0.80 -0.45
0 0 0
screener 2 -1 0

Quarter #3: July/August/September
Pathfinder screener on Eurostoxx50 from 1995 to 2019

JUL AUG SEP
tot ret 24.62% -48.14% -30.32%
avg ret 0.98% -1.93% -1.26%
worst month -14.28% -14.44% -18.64%
best month 11.53% 5.19% 7.22%
neg months 10 15 11
pos months 15 10 13
ratio pos:neg 1.50 0.67 1.18
STD 1.63% 1.62% 1.89%
YSTD 19.53% 19.44% 22.65%
avg ret 0.60 -1.19 -0.67
0 0 0
screener 1 -2 0

Quarter #4: October/November/December
Pathfinder screener on Eurostoxx50 from 1995 to 2019

OCT NOV DEC
tot ret 46.87% 38.83% 42.21%
avg ret 1.95% 1.62% 1.76%
worst month -14.66% -6.82% -10.18%
best month 14.27% 10.11% 13.68%
neg months 7 9 7
pos months 17 15 17
ratio pos:neg 2.43 1.67 2.43
STD 1.91% 1.33% 1.48%
YSTD 22.86% 15.98% 17.72%
avg ret 1.03 1.22 1.19
0 0 0
screener 2 2 2
How it works ultima modifica: 2019-09-17T13:03:06+00:00 da Chiara