CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
http://www.cisco-futures.com
dljones@cisco-futures.com
Advice Engine AE History Sample Data
CISCO Futures© 2001, 2006
Advice Engine (AE) History (Item 2 on the Advice Engine page) is available free to
non-subscribers. Non-subscribers are limited to searches covering the last six months.
The same job is available to subscribers as Item 4 (Drawdown (AE). Subscribers are permitted
to search the entire database, from 2001 forward.
This sample illustrates one of the types of searches/drawdowns that one might
do. The task is to pick a future (SP in this case) and search for all breakouts
for the first six months of each year from 2001 through 2006. Consider that we are
doing our search as of July 3, 2006 (the non-subscriber will have access to the
first six months of 2006, only).
You will be asked to input the symbol (SP), the Delivery specification of "0000"
to get all deliveries, the number of days in the Overlay (non-subscribers automatically
get 10 days) and the date range (e.g. 020102,020630 for Jan - Jun 2002).
In the example we have collected six separate runs for the first six months of 2001
through 2006.
Part 1 of the Advice Engine Report contains all the balances, whether they subsequently
broke out (the next day) or not. This count is identified as NPT1. Part 2 of the report
lists the (next day) breakouts. For 2001 there were 56 balances of which 22 broke out.
The data columns show symbol, delivery month and year (Mo Yr), number of days in the
Overlay, the Overlay Octant Risk, breakout direction, Potential and date. The Potential
is based on the extreme price reached after breakout. This is NOT a gain value, but
it would be the gain obtained by a perfect trader. So the Potential is an unrechable
ideal. Potential divided by Risk gives a 'Figure of Merit', the ideal reward to risk ratio.
The raw data (Raw Output Data) is the sort of display you will obtain. Note that for the time-frame
listed there can be more than one balance for a day, when data is available for both
the front month and deliveries further out.
The second data set (Modified Output Data), is
the 'Raw' data from the program cleaned up by hand. Duplicate trading days are excised
and totals of the Risks and Potentials are tallied.
Date # Balances # Breakouts Risk$ Potential$ Reward/Risk
2001 Jan-Jun 56 22 1297 2419 1.86
2002 Jan-Jun 58 23 1292 1892 1.46
2003 Jan-Jun 42 20 1140 1638 1.44
2004 Jan-Jun 66 26 673 1554 2.31
2005 Jan-Jun 74 41 584 1012 1.73
2006 Jan-Jun 16 7 504 1539 3.05
Commentary
1) A view of the data shows that 2001 and 2002 had mostly short trades (35 to 10). This followed the market's steep fall to bottom in mid - 2002.
2) Longs predominated in 2003 and 2004 as the market trended up (32 to 14).
3) The next two half years were more balanced.
4) Even in strong trend periods such as 2002 the market continued to run and pause.
5) From 2001 through the present, Octant risk fell by more than a factor of two.
6) Potential was not nearly so strongly affected.
7) Approximately half the balances (312) ended in breakouts (147). These are end of day results and do not account for an intra-day breakout that ended the day back in balance.
Conclusions
1) Breakouts from balance closely follows trends, as would be expected.
2) Risks may drop as a market grows quieter, but the figure of merit (FOM = R/R) remains fairly constant. We ignore the outlier of 2006 because of the small amount of data.
3) FOM can be misleading, since it does not come from a trading model. If the risk is small (implying a small trading stop), the volatility of the market may cause quick stop outs, causing an exit before the Potential is reached. This would apply to those very small risks seen in 2005 and 2006. A good FOM (1.0 or better) is seen as a necessary but not sufficient condition for successful model development. On the other hand, a small FOM (0.5 or less) simply means that there is inadequate Potential. So, FOM is strongly coupled to bad drawdown if FOM is small and implicitly coupled to positive drawdown (gain) if FOM is good and the Octant risk is not small. Small risk comes from markets balanced in a narrow trading range. Such markets generally do not have much trading movement.
*-------------------------- Data ------------------------------------------------
Raw Output Data
NPT1 = 56 2001 JAN-JUN
NPT2 = 22
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 01 10 2282 LONG 1950. 010119
2 SP 3 01 10 2250 LONG 300. 010122
3 SP 3 01 10 2282 LONG 2250. 010123
4 SP 3 01 10 1063 SHORT 3000. 010207
5 SP 3 01 10 1344 SHORT 2250. 010208
6 SP 3 01 10 2063 SHORT 2875. 010214
7 SP 3 01 10 1813 SHORT 3625. 010216
8 SP 3 01 10 2032 SHORT 4750. 010220
9 SP 3 01 10 2000 SHORT 1500. 010301
10 SP 6 01 10 1344 SHORT 2000. 010320
11 SP 6 01 10 1344 LONG 625. 010427
12 SP 6 01 10 1469 LONG 3000. 010501
13 SP 6 01 10 1844 LONG 1250. 010502
14 SP 6 01 10 1000 SHORT 300. 010511
15 SP 6 01 10 1032 LONG 3425. 010516
16 SP 6 01 10 1032 SHORT 500. 010516
17 SP 6 01 10 1063 SHORT 3375. 010612
18 SP 9 01 10 1032 SHORT 3450. 010612
19 SP 6 01 10 1094 SHORT 1625. 010613
20 SP 9 01 10 1063 SHORT 1800. 010613
21 SP 9 01 10 1407 SHORT 6250. 010614
22 SP 9 01 10 1688 SHORT 3125. 010626
NPT1 = 58 2002 JAN-JUN
NPT2 = 24
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 02 10 813 LONG 725. 020103
2 SP 3 02 10 1063 LONG 875. 020107
3 SP 3 02 10 1125 SHORT 875. 020114
4 SP 3 02 10 1188 SHORT 500. 020115
5 SP 3 02 10 1219 SHORT 3325. 020116
6 SP 3 02 10 1407 SHORT 1875. 020118
7 SP 3 02 10 1594 SHORT 1800. 020122
8 SP 3 02 10 1282 SHORT 625. 020123
9 SP 3 02 10 969 SHORT 5075. 020129
10 SP 3 02 10 1594 SHORT 1250. 020205
11 SP 6 02 10 875 LONG 125. 020318
12 SP 6 02 10 938 SHORT 3300. 020403
13 SP 6 02 10 1250 SHORT 925. 020415
14 SP 6 02 10 969 SHORT 675. 020423
15 SP 6 02 10 938 SHORT 3475. 020506
16 SP 6 02 10 938 SHORT 1725. 020528
17 SP 6 02 10 1125 SHORT 1075. 020529
18 SP 6 02 10 2032 SHORT 1375. 020606
19 SP 6 02 10 2000 SHORT 975. 020611
20 SP 9 02 10 750 SHORT 3500. 020611
21 SP 6 02 10 2063 SHORT 2625. 020612
22 SP 6 02 10 1938 SHORT 325. 020613
23 SP 6 02 10 1657 SHORT 6500. 020614
24 SP 9 02 10 1407 SHORT 6500. 020614
NPT1 = 42 2003 JAN-JUN
NPT2 = 20
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 03 10 1157 LONG 500. 030110
2 SP 3 03 10 1032 LONG 1375. 030113
3 SP 3 03 10 875 SHORT 875. 030204
4 SP 3 03 10 938 SHORT 2000. 030206
5 SP 3 03 10 1157 SHORT 1925. 030207
6 SP 3 03 10 1157 SHORT 1250. 030210
7 SP 3 03 10 1250 SHORT 1925. 030212
8 SP 6 03 10 1344 SHORT 2050. 030331
9 SP 6 03 10 1282 LONG 75. 030414
10 SP 6 03 10 719 LONG 1950. 030415
11 SP 6 03 10 1094 LONG 3425. 030422
12 SP 6 03 10 1282 LONG 1175. 030429
13 SP 6 03 10 1282 LONG 625. 030430
14 SP 6 03 10 1063 LONG 2250. 030502
15 SP 6 03 10 1157 LONG 1875. 030506
16 SP 6 03 10 1094 LONG 2425. 030512
17 SP 6 03 10 1032 LONG 1250. 030527
18 SP 6 03 10 1063 LONG 2500. 030604
19 SP 6 03 10 1594 LONG 1325. 030612
20 SP 6 03 10 1219 LONG 2000. 030616
NPT1 = 66 2004 JAN-JUN
NPT2 = 26
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 04 10 719 LONG 1125. 040107
2 SP 3 04 10 782 LONG 575. 040114
3 SP 3 04 10 688 LONG 1200. 040116
4 SP 3 04 10 782 LONG 2125. 040121
5 SP 3 04 10 1000 LONG 250. 040123
6 SP 3 04 10 1032 LONG 1500. 040126
7 SP 3 04 10 844 SHORT 175. 040205
8 SP 3 04 10 688 LONG 75. 040219
9 SP 3 04 10 672 SHORT 950. 040224
10 SP 6 04 10 375 LONG 700. 040304
11 SP 3 04 10 672 LONG 1750. 040305
12 SP 6 04 10 391 LONG 125. 040308
13 SP 6 04 10 391 SHORT 750. 040308
14 SP 3 04 10 704 SHORT 4500. 040310
15 SP 6 04 10 719 LONG 550. 040319
16 SP 6 04 10 719 SHORT 3625. 040322
17 SP 6 04 10 938 LONG 125. 040413
18 SP 6 04 10 844 SHORT 2125. 040420
19 SP 6 04 10 750 SHORT 300. 040506
20 SP 6 04 10 719 SHORT 2750. 040507
21 SP 6 04 10 844 LONG 400. 040519
22 SP 6 04 10 875 LONG 2175. 040525
23 SP 6 04 10 532 LONG 625. 040604
24 SP 6 04 10 563 LONG 3425. 040607
25 SP 9 04 10 235 LONG 4050. 040607
26 SP 9 04 10 547 LONG 1050. 040623
NPT1 = 74 2005 JAN-JUN
NPT2 = 41
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 05 10 719 LONG 675. 050103
2 SP 3 05 10 719 SHORT 2250. 050104
3 SP 3 05 10 407 SHORT 1550. 050112
4 SP 3 05 10 469 SHORT 1125. 050113
5 SP 6 05 10 188 SHORT 1750. 050113
6 SP 3 05 10 563 LONG 375. 050118
7 SP 3 05 10 594 SHORT 875. 050120
8 SP 3 05 10 657 SHORT 2000. 050121
9 SP 3 05 10 594 SHORT 450. 050128
10 SP 3 05 10 469 LONG 175. 050131
11 SP 6 05 10 63 LONG 1250. 050131
12 SP 3 05 10 469 LONG 2250. 050201
13 SP 3 05 10 594 LONG 1200. 050211
14 SP 3 05 10 625 SHORT 2125. 050222
15 SP 3 05 10 594 LONG 2375. 050304
16 SP 3 05 10 907 SHORT 500. 050311
17 SP 3 05 10 922 SHORT 425. 050315
18 SP 3 05 10 969 SHORT 3100. 050316
19 SP 6 05 10 938 SHORT 3250. 050316
20 SP 6 05 10 782 SHORT 1550. 050329
21 SP 6 05 10 907 SHORT 25. 050330
22 SP 6 05 10 750 LONG 800. 050407
23 SP 6 05 10 719 SHORT 2825. 050414
24 SP 6 05 10 657 LONG 750. 050425
25 SP 9 05 10 219 LONG 600. 050502
26 SP 6 05 10 844 LONG 625. 050503
27 SP 6 05 10 375 LONG 550. 050526
28 SP 6 05 10 469 LONG 1575. 050601
29 SP 6 05 10 594 LONG 200. 050603
30 SP 6 05 10 563 LONG 925. 050607
31 SP 6 05 10 438 SHORT 175. 050609
32 SP 9 05 10 375 SHORT 675. 050609
33 SP 9 05 10 407 SHORT 125. 050610
34 SP 6 05 10 454 LONG 125. 050613
35 SP 9 05 10 407 LONG 325. 050613
36 SP 9 05 10 438 LONG 500. 050614
37 SP 6 05 10 547 LONG 700. 050616
38 SP 9 05 10 532 LONG 750. 050616
39 SP 6 05 10 594 LONG 2920. 050617
40 SP 9 05 10 594 LONG 2175. 050617
41 SP 9 05 10 813 LONG 325. 050622
NPT1 = 16 2006 JAN-JUN
NPT2 = 7
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 06 10 688 SHORT 3550. 060120
2 SP 3 06 10 1063 SHORT 875. 060125
3 SP 6 06 10 157 SHORT 1000. 060213
4 SP 3 06 10 625 LONG 1075. 060214
5 SP 6 06 10 157 LONG 2750. 060214
6 SP 6 06 10 157 SHORT 375. 060214
7 SP 3 06 10 719 LONG 1050. 060215
Modified Output Data Duplicates Removed
NPT1 = 56 2001 JAN-JUN
NPT2 = 22
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 01 10 2282 LONG 1950. 010119
2 SP 3 01 10 2250 LONG 300. 010122
3 SP 3 01 10 2282 LONG 2250. 010123 4500
4 SP 3 01 10 1063 SHORT 3000. 010207
5 SP 3 01 10 1344 SHORT 2250. 010208
6 SP 3 01 10 2063 SHORT 2875. 010214
7 SP 3 01 10 1813 SHORT 3625. 010216
8 SP 3 01 10 2032 SHORT 4750. 010220
9 SP 3 01 10 2000 SHORT 1500. 010301
10 SP 6 01 10 1344 SHORT 2000. 010320 20000
11 SP 6 01 10 1344 LONG 625. 010427
12 SP 6 01 10 1469 LONG 3000. 010501
13 SP 6 01 10 1844 LONG 1250. 010502 4875
14 SP 6 01 10 1000 SHORT 300. 010511 300
15 SP 6 01 10 1032 LONG 3425. 010516 3425
16 SP 6 01 10 1032 SHORT 500. 010516
17 SP 6 01 10 1063 SHORT 3375. 010612
18 SP 9 01 10 1032 SHORT 3450. 010612
19 SP 6 01 10 1094 SHORT 1625. 010613
20 SP 9 01 10 1063 SHORT 1800. 010613
21 SP 9 01 10 1407 SHORT 6250. 010614
22 SP 9 01 10 1688 SHORT 3125. 010626 20125
AVE 1297 AVE 2419
NPT1 = 58 2002 JAN-JUN
NPT2 = 23
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 02 10 813 LONG 725. 020103
2 SP 3 02 10 1063 LONG 875. 020107 1600
3 SP 3 02 10 1125 SHORT 875. 020114
4 SP 3 02 10 1188 SHORT 500. 020115
5 SP 3 02 10 1219 SHORT 3325. 020116
6 SP 3 02 10 1407 SHORT 1875. 020118
7 SP 3 02 10 1594 SHORT 1800. 020122
8 SP 3 02 10 1282 SHORT 625. 020123
9 SP 3 02 10 969 SHORT 5075. 020129
10 SP 3 02 10 1594 SHORT 1250. 020205 15325
11 SP 6 02 10 875 LONG 125. 020318 125
12 SP 6 02 10 938 SHORT 3300. 020403
13 SP 6 02 10 1250 SHORT 925. 020415
14 SP 6 02 10 969 SHORT 675. 020423
15 SP 6 02 10 938 SHORT 3475. 020506
16 SP 6 02 10 938 SHORT 1725. 020528
17 SP 6 02 10 1125 SHORT 1075. 020529
18 SP 6 02 10 2032 SHORT 1375. 020606
19 SP 6 02 10 2000 SHORT 975. 020611
20 SP 9 02 10 750 SHORT 3500. 020611
21 SP 6 02 10 2063 SHORT 2625. 020612
22 SP 6 02 10 1938 SHORT 325. 020613
23 SP 6 02 10 1657 SHORT 6500. 020614 26475
AVE 1292 AVE 1892
NPT1 = 42 2003 JAN-JUN
NPT2 = 20
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 03 10 1157 LONG 500. 030110
2 SP 3 03 10 1032 LONG 1375. 030113 1875
3 SP 3 03 10 875 SHORT 875. 030204
4 SP 3 03 10 938 SHORT 2000. 030206
5 SP 3 03 10 1157 SHORT 1925. 030207
6 SP 3 03 10 1157 SHORT 1250. 030210
7 SP 3 03 10 1250 SHORT 1925. 030212
8 SP 6 03 10 1344 SHORT 2050. 030331 10025
9 SP 6 03 10 1282 LONG 75. 030414
10 SP 6 03 10 719 LONG 1950. 030415
11 SP 6 03 10 1094 LONG 3425. 030422
12 SP 6 03 10 1282 LONG 1175. 030429
13 SP 6 03 10 1282 LONG 625. 030430
14 SP 6 03 10 1063 LONG 2250. 030502
15 SP 6 03 10 1157 LONG 1875. 030506
16 SP 6 03 10 1094 LONG 2425. 030512
17 SP 6 03 10 1032 LONG 1250. 030527
18 SP 6 03 10 1063 LONG 2500. 030604
19 SP 6 03 10 1594 LONG 1325. 030612
20 SP 6 03 10 1219 LONG 2000. 030616 20875
AVE 1140 AVE 1638
NPT1 = 66 2004 JAN-JUN
NPT2 = 26
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 04 10 719 LONG 1125. 040107
2 SP 3 04 10 782 LONG 575. 040114
3 SP 3 04 10 688 LONG 1200. 040116
4 SP 3 04 10 782 LONG 2125. 040121
5 SP 3 04 10 1000 LONG 250. 040123
6 SP 3 04 10 1032 LONG 1500. 040126 6775
7 SP 3 04 10 844 SHORT 175. 040205 175
8 SP 3 04 10 688 LONG 75. 040219 75
9 SP 3 04 10 672 SHORT 950. 040224 950
10 SP 6 04 10 375 LONG 700. 040304
11 SP 3 04 10 672 LONG 1750. 040305
12 SP 6 04 10 391 LONG 125. 040308 2575
13 SP 6 04 10 391 SHORT 750. 040308
14 SP 3 04 10 704 SHORT 4500. 040310 5250
15 SP 6 04 10 719 LONG 550. 040319 550
16 SP 6 04 10 719 SHORT 3625. 040322 3625
17 SP 6 04 10 938 LONG 125. 040413 125
18 SP 6 04 10 844 SHORT 2125. 040420
19 SP 6 04 10 750 SHORT 300. 040506
20 SP 6 04 10 719 SHORT 2750. 040507 5175
21 SP 6 04 10 844 LONG 400. 040519
22 SP 6 04 10 875 LONG 2175. 040525
23 SP 6 04 10 532 LONG 625. 040604
24 SP 6 04 10 563 LONG 3425. 040607
25 SP 9 04 10 235 LONG 4050. 040607
26 SP 9 04 10 547 LONG 1050. 040623 15150
AVE 673 AVE 1554
NPT1 = 74 2005 JAN-JUN
NPT2 = 41
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 05 10 719 LONG 675. 050103 675
2 SP 3 05 10 719 SHORT 2250. 050104
3 SP 3 05 10 407 SHORT 1550. 050112
4 SP 3 05 10 469 SHORT 1125. 050113
5 SP 6 05 10 188 SHORT 1750. 050113 4475
6 SP 3 05 10 563 LONG 375. 050118 375
7 SP 3 05 10 594 SHORT 875. 050120
8 SP 3 05 10 657 SHORT 2000. 050121
9 SP 3 05 10 594 SHORT 450. 050128 3325
10 SP 3 05 10 469 LONG 175. 050131
11 SP 6 05 10 63 LONG 1250. 050131
12 SP 3 05 10 469 LONG 2250. 050201
13 SP 3 05 10 594 LONG 1200. 050211 3875
14 SP 3 05 10 625 SHORT 2125. 050222 2125
15 SP 3 05 10 594 LONG 2375. 050304 2375
16 SP 3 05 10 907 SHORT 500. 050311
17 SP 3 05 10 922 SHORT 425. 050315
18 SP 3 05 10 969 SHORT 3100. 050316
19 SP 6 05 10 938 SHORT 3250. 050316
20 SP 6 05 10 782 SHORT 1550. 050329
21 SP 6 05 10 907 SHORT 25. 050330 8850
22 SP 6 05 10 750 LONG 800. 050407 800
23 SP 6 05 10 719 SHORT 2825. 050414 2825
24 SP 6 05 10 657 LONG 750. 050425
25 SP 9 05 10 219 LONG 600. 050502
26 SP 6 05 10 844 LONG 625. 050503
27 SP 6 05 10 375 LONG 550. 050526
28 SP 6 05 10 469 LONG 1575. 050601
29 SP 6 05 10 594 LONG 200. 050603
30 SP 6 05 10 563 LONG 925. 050607 5425
31 SP 6 05 10 438 SHORT 175. 050609
32 SP 9 05 10 375 SHORT 675. 050609
33 SP 9 05 10 407 SHORT 125. 050610 975
34 SP 6 05 10 454 LONG 125. 050613
35 SP 9 05 10 407 LONG 325. 050613
36 SP 9 05 10 438 LONG 500. 050614
37 SP 6 05 10 547 LONG 700. 050616
38 SP 9 05 10 532 LONG 750. 050616
39 SP 6 05 10 594 LONG 2920. 050617
40 SP 9 05 10 594 LONG 2175. 050617
41 SP 9 05 10 813 LONG 325. 050622 5420
AVE 584 AVE 1012
NPT1 = 16 2006 JAN-JUN
NPT2 = 7
Mo Yr ND Risk $ Tde-Dir Potential$ Dte
1 SP 3 06 10 688 SHORT 3550. 060120
2 SP 3 06 10 1063 SHORT 875. 060125
3 SP 6 06 10 157 SHORT 1000. 060213 5425
4 SP 3 06 10 625 LONG 1075. 060214
5 SP 6 06 10 157 LONG 2750. 060214 3925
6 SP 6 06 10 157 SHORT 375. 060214 375
7 SP 3 06 10 719 LONG 1050. 060215 1050
AVE 504 AVE 1539