Results
Results for the Optimal Trader system are presented here for different market states. The results are based on data of hundreds of objects between 1987 and 2009, and are an average of annualized returns obtained for each market state when following Optimal Trader. Note that returns shown are not using settings or parameters set in hindsight. It should be emphasized that individual deviation from the average return values is very large.
Every system or strategy tends to work better some of the time: when the price movement of a market behaves in a particular way or when that market is in a particular state. Optimal Trader can automatically with the Best Models and Settings function decide which model and which settings are best for a particular state. The table below shows the result for the best model and the best settings for each state.
Three returns columns are presented, each for a different trading horizon (one day, one week, or one month).
| Price State | Best Settings | |||||||||
| Volatility | Short Term Volatility | Trend | Hurst Exponent | Best Model | Optim Period | Robust Optim | Robust Param | Limit Curve Fitting | Trading Horizon | Annualized Returns |
| Low | Low | Negative | 0.00 - 0.48 | Stochastic Oscillator 1 | 191 | Off | On | On | 1 day | 47% |
| Low | Low | Negative | 0.00 - 0.48 | Regression Analysis 2 | 330 | On | On | Off | 1 week | 15% |
| Low | Low | Negative | 0.00 - 0.48 | MACD Osc., Adaptive | 330 | On | On | On | 1 month | 7% |
| Low | Low | Negative | 0.48 - 0.53 | MACD Osc., Modified | 488 | On | On | Off | 1 day | 24% |
| Low | Low | Negative | 0.48 - 0.53 | Momentum, Adaptive | 29 | On | On | On | 1 week | 9% |
| Low | Low | Negative | 0.48 - 0.53 | Stochastic Oscillator 2 | 400 | On | Off | On | 1 month | 9% |
| Low | Low | Negative | 0.53 - 0.57 | Stochastics Inverted | 1750 | On | On | Off | 1 day | 47% |
| Low | Low | Negative | 0.53 - 0.57 | RSI 2 | 1404 | Off | Off | On | 1 week | 27% |
| Low | Low | Negative | 0.53 - 0.57 | Stochastic Oscillator 2 | 1129 | On | Off | On | 1 month | 9% |
| Low | Low | Negative | 0.57 - 1.01 | Stochastics Inverted | 1129 | Off | On | On | 1 day | 56% |
| Low | Low | Negative | 0.57 - 1.01 | Trailing Stop-Loss | 2 | On | Off | On | 1 week | 30% |
| Low | Low | Negative | 0.57 - 1.01 | Stochastic Oscillator 1 | 64 | On | Off | On | 1 month | 8% |
| Low | Low | Neutral | 0.00 - 0.48 | Regression Analysis 1 | 86 | Off | Off | On | 1 day | 38% |
| Low | Low | Neutral | 0.00 - 0.48 | Regression Analysis 1 | 86 | Off | Off | On | 1 week | 16% |
| Low | Low | Neutral | 0.00 - 0.48 | Stochastic Oscillator 2 | 161 | On | On | Off | 1 month | 7% |
| Low | Low | Neutral | 0.48 - 0.53 | RSI 1 | 48 | Off | On | Off | 1 day | 21% |
| Low | Low | Neutral | 0.48 - 0.53 | Regression Analysis 1 | 228 | Off | Off | On | 1 week | 12% |
| Low | Low | Neutral | 0.48 - 0.53 | RSI 1 | 330 | On | Off | Off | 1 month | 11% |
| Low | Low | Neutral | 0.53 - 0.57 | ANN (local) | 117 | On | On | Off | 1 day | 27% |
| Low | Low | Neutral | 0.53 - 0.57 | Stochastics Inverted | 10 | On | On | On | 1 week | 14% |
| Low | Low | Neutral | 0.53 - 0.57 | Stochastics Inverted | 6 | On | Off | Off | 1 month | 5% |
| Low | Low | Neutral | 0.57 - 1.01 | MACD Osc., Adaptive | 10 | Off | Off | Off | 1 day | 10% |
| Low | Low | Neutral | 0.57 - 1.01 | Parabolic SAR | 910 | Off | Off | On | 1 week | 16% |
| Low | Low | Neutral | 0.57 - 1.01 | Stochastic RSI | 737 | On | On | Off | 1 month | 13% |
| Low | Low | Positive | 0.00 - 0.48 | RSI 1 | 330 | On | On | Off | 1 day | 29% |
| Low | Low | Positive | 0.00 - 0.48 | RSI 1 | 117 | On | Off | On | 1 week | 16% |
| Low | Low | Positive | 0.00 - 0.48 | Regression Analysis 2 | 6 | On | Off | On | 1 month | 8% |
| Low | Low | Positive | 0.48 - 0.53 | Momentum, Classic | 1750 | On | Off | Off | 1 day | 54% |
| Low | Low | Positive | 0.48 - 0.53 | Stochastic Oscillator 1 | 1129 | Off | Off | On | 1 week | 27% |
| Low | Low | Positive | 0.48 - 0.53 | Momentum, Adaptive | 599 | On | Off | On | 1 month | 14% |
| Low | Low | Positive | 0.53 - 0.57 | RSI 2 | 29 | On | Off | Off | 1 day | 37% |
| Low | Low | Positive | 0.53 - 0.57 | Trailing Stop-Loss | 86 | On | Off | On | 1 week | 25% |
| Low | Low | Positive | 0.53 - 0.57 | RSI 2 | 2 | On | Off | On | 1 month | 20% |
| Low | Low | Positive | 0.57 - 1.01 | Stochastic RSI | 2 | Off | On | On | 1 day | 32% |
| Low | Low | Positive | 0.57 - 1.01 | Stochastics Inverted | 1750 | On | Off | On | 1 week | 48% |
| Low | Low | Positive | 0.57 - 1.01 | Stochastic Oscillator 1 | 1129 | On | Off | On | 1 month | 45% |
| Low | High | Negative | 0.00 - 0.48 | MACD Osc., Adaptive | 161 | On | Off | Off | 1 day | 47% |
| Low | High | Negative | 0.00 - 0.48 | Trailing Stop-Loss | 100 | On | On | Off | 1 week | 4% |
| Low | High | Negative | 0.00 - 0.48 | Stochastic RSI | 161 | On | Off | On | 1 month | 6% |
| Low | High | Negative | 0.48 - 0.53 | MACD Osc., Modified | 1750 | On | Off | On | 1 day | 32% |
| Low | High | Negative | 0.48 - 0.53 | Momentum, Adaptive | 1129 | Off | On | Off | 1 week | 13% |
| Low | High | Negative | 0.48 - 0.53 | Momentum, Classic | 1750 | On | Off | On | 1 month | 4% |
| Low | High | Negative | 0.53 - 0.57 | Stochastics Inverted | 56 | Off | On | Off | 1 day | 98% |
| Low | High | Negative | 0.53 - 0.57 | Regression Analysis 1 | 191 | On | Off | Off | 1 week | 15% |
| Low | High | Negative | 0.53 - 0.57 | Parabolic SAR | 1750 | On | Off | On | 1 month | 5% |
| Low | High | Negative | 0.57 - 1.01 | Stochastics Inverted | 737 | Off | Off | Off | 1 day | 179% |
| Low | High | Negative | 0.57 - 1.01 | RSI 1 | 1129 | Off | On | Off | 1 week | 41% |
| Low | High | Negative | 0.57 - 1.01 | Stochastic RSI | 599 | On | On | On | 1 month | 9% |
| Low | High | Neutral | 0.00 - 0.48 | Regression Analysis 1 | 117 | Off | Off | On | 1 day | 40% |
| Low | High | Neutral | 0.00 - 0.48 | MACD Osc., Adaptive | 1750 | On | Off | On | 1 week | 7% |
| Low | High | Neutral | 0.00 - 0.48 | Stochastics Inverted | 6 | On | On | On | 1 month | 0% |
| Low | High | Neutral | 0.48 - 0.53 | Regression Analysis 1 | 6 | Off | On | On | 1 day | 13% |
| Low | High | Neutral | 0.48 - 0.53 | MACD Osc., Adaptive | 1129 | On | On | On | 1 week | 15% |
| Low | High | Neutral | 0.48 - 0.53 | MACD Osc., Adaptive | 1404 | Off | Off | Off | 1 month | 2% |
| Low | High | Neutral | 0.53 - 0.57 | MACD Osc., Modified | 15 | Off | On | Off | 1 day | 60% |
| Low | High | Neutral | 0.53 - 0.57 | RSI 1 | 330 | On | On | Off | 1 week | 24% |
| Low | High | Neutral | 0.53 - 0.57 | Regression Analysis 2 | 1404 | On | Off | On | 1 month | 6% |
| Low | High | Neutral | 0.57 - 1.01 | Regression Analysis 2 | 29 | On | Off | On | 1 day | 32% |
| Low | High | Neutral | 0.57 - 1.01 | Stochastics Inverted | 488 | On | On | On | 1 week | 59% |
| Low | High | Neutral | 0.57 - 1.01 | Parabolic SAR | 228 | On | Off | Off | 1 month | 35% |
| Low | High | Positive | 0.00 - 0.48 | Momentum, Adaptive | 1750 | On | Off | On | 1 day | 88% |
| Low | High | Positive | 0.00 - 0.48 | Stochastics Inverted | 1750 | On | On | On | 1 week | 37% |
| Low | High | Positive | 0.00 - 0.48 | Stochastics Inverted | 48 | Off | On | Off | 1 month | 4% |
| Low | High | Positive | 0.48 - 0.53 | ANN (local) | 1129 | On | On | Off | 1 day | 48% |
| Low | High | Positive | 0.48 - 0.53 | Momentum, Classic | 1129 | On | On | Off | 1 week | 33% |
| Low | High | Positive | 0.48 - 0.53 | ANN (local) | 400 | Off | On | On | 1 month | 2% |
| Low | High | Positive | 0.53 - 0.57 | Regression Analysis 1 | 1750 | Off | Off | On | 1 day | 32% |
| Low | High | Positive | 0.53 - 0.57 | Stochastics Inverted | 29 | On | Off | On | 1 week | 26% |
| Low | High | Positive | 0.53 - 0.57 | Stochastics Inverted | 35 | Off | Off | On | 1 month | 6% |
| Low | High | Positive | 0.57 - 1.01 | Stochastics Inverted | 228 | Off | On | On | 1 day | 132% |
| Low | High | Positive | 0.57 - 1.01 | Stochastics Inverted | 2 | On | Off | On | 1 week | 38% |
| Low | High | Positive | 0.57 - 1.01 | Momentum, Classic | 1404 | On | Off | On | 1 month | 21% |
| High | Low | Negative | 0.00 - 0.48 | Parabolic SAR | 191 | Off | Off | Off | 1 day | 48% |
| High | Low | Negative | 0.00 - 0.48 | Trailing Stop-Loss | 86 | On | Off | On | 1 week | 51% |
| High | Low | Negative | 0.00 - 0.48 | RSI 2 | 2 | Off | On | On | 1 month | 14% |
| High | Low | Negative | 0.48 - 0.53 | Stochastic RSI | 1750 | On | On | On | 1 day | 108% |
| High | Low | Negative | 0.48 - 0.53 | Regression Analysis 1 | 488 | On | On | Off | 1 week | 46% |
| High | Low | Negative | 0.48 - 0.53 | Regression Analysis 1 | 56 | On | On | Off | 1 month | 8% |
| High | Low | Negative | 0.53 - 0.57 | Stochastics Inverted | 1750 | Off | Off | Off | 1 day | 118% |
| High | Low | Negative | 0.53 - 0.57 | Trailing Stop-Loss | 910 | On | On | On | 1 week | 58% |
| High | Low | Negative | 0.53 - 0.57 | Regression Analysis 1 | 599 | On | On | On | 1 month | 30% |
| High | Low | Negative | 0.57 - 1.01 | Stochastic Oscillator 2 | 2 | Off | On | Off | 1 day | 174% |
| High | Low | Negative | 0.57 - 1.01 | MACD Osc., Adaptive | 161 | On | Off | On | 1 week | 40% |
| High | Low | Negative | 0.57 - 1.01 | MACD Osc., Adaptive | 161 | On | Off | On | 1 month | 21% |
| High | Low | Neutral | 0.00 - 0.48 | MACD Osc., Adaptive | 137 | Off | Off | Off | 1 day | 5% |
| High | Low | Neutral | 0.00 - 0.48 | ANN (local) | 1129 | Off | On | On | 1 week | 18% |
| High | Low | Neutral | 0.00 - 0.48 | Trailing Stop-Loss | 273 | Off | Off | Off | 1 month | 6% |
| High | Low | Neutral | 0.48 - 0.53 | Regression Analysis 1 | 488 | Off | On | On | 1 day | 34% |
| High | Low | Neutral | 0.48 - 0.53 | Stochastic RSI | 1404 | On | Off | On | 1 week | 25% |
| High | Low | Neutral | 0.48 - 0.53 | ANN (local) | 2 | On | Off | Off | 1 month | 11% |
| High | Low | Neutral | 0.53 - 0.57 | RSI 2 | 1129 | On | Off | On | 1 day | 72% |
| High | Low | Neutral | 0.53 - 0.57 | RSI 2 | 1129 | On | Off | On | 1 week | 49% |
| High | Low | Neutral | 0.53 - 0.57 | Momentum, Adaptive | 1404 | On | Off | On | 1 month | 16% |
| High | Low | Neutral | 0.57 - 1.01 | Regression Analysis 1 | 24 | On | Off | On | 1 day | 68% |
| High | Low | Neutral | 0.57 - 1.01 | Trailing Stop-Loss | 161 | On | Off | On | 1 week | 26% |
| High | Low | Neutral | 0.57 - 1.01 | Stochastic Oscillator 2 | 488 | On | Off | On | 1 month | 22% |
| High | Low | Positive | 0.00 - 0.48 | MACD Osc., Adaptive | 737 | On | On | On | 1 day | 113% |
| High | Low | Positive | 0.00 - 0.48 | Momentum, Classic | 75 | On | Off | On | 1 week | 27% |
| High | Low | Positive | 0.00 - 0.48 | Regression Analysis 2 | 191 | On | On | Off | 1 month | 15% |
| High | Low | Positive | 0.48 - 0.53 | Regression Analysis 1 | 1404 | On | On | On | 1 day | 91% |
| High | Low | Positive | 0.48 - 0.53 | Momentum, Adaptive | 1404 | On | Off | On | 1 week | 67% |
| High | Low | Positive | 0.48 - 0.53 | Parabolic SAR | 1404 | On | Off | On | 1 month | 35% |
| High | Low | Positive | 0.53 - 0.57 | Stochastic Oscillator 2 | 400 | Off | Off | Off | 1 day | 28% |
| High | Low | Positive | 0.53 - 0.57 | Stochastics Inverted | 400 | On | Off | On | 1 week | 61% |
| High | Low | Positive | 0.53 - 0.57 | Stochastics Inverted | 1404 | On | Off | On | 1 month | 26% |
| High | Low | Positive | 0.57 - 1.01 | Stochastics Inverted | 330 | On | Off | Off | 1 day | 40% |
| High | Low | Positive | 0.57 - 1.01 | MACD Osc., Adaptive | 15 | On | Off | On | 1 week | 61% |
| High | Low | Positive | 0.57 - 1.01 | Momentum, Classic | 35 | On | Off | On | 1 month | 26% |
| High | High | Negative | 0.00 - 0.48 | Regression Analysis 1 | 400 | On | Off | Off | 1 day | 47% |
| High | High | Negative | 0.00 - 0.48 | Momentum, Classic | 1404 | On | On | Off | 1 week | 24% |
| High | High | Negative | 0.00 - 0.48 | Trailing Stop-Loss | 1750 | Off | Off | On | 1 month | 19% |
| High | High | Negative | 0.48 - 0.53 | MACD Osc., Adaptive | 1404 | Off | On | On | 1 day | 68% |
| High | High | Negative | 0.48 - 0.53 | Stochastic RSI | 191 | On | Off | On | 1 week | 13% |
| High | High | Negative | 0.48 - 0.53 | Stochastic RSI | 330 | On | Off | Off | 1 month | 12% |
| High | High | Negative | 0.53 - 0.57 | RSI 1 | 599 | On | Off | On | 1 day | 49% |
| High | High | Negative | 0.53 - 0.57 | Stochastic Oscillator 1 | 1404 | Off | Off | Off | 1 week | 22% |
| High | High | Negative | 0.53 - 0.57 | MACD Osc., Adaptive | 1129 | Off | Off | On | 1 month | 7% |
| High | High | Negative | 0.57 - 1.01 | Stochastics Inverted | 2 | Off | Off | On | 1 day | 295% |
| High | High | Negative | 0.57 - 1.01 | Stochastics Inverted | 910 | On | Off | On | 1 week | 41% |
| High | High | Negative | 0.57 - 1.01 | MACD Osc., Adaptive | 737 | On | Off | On | 1 month | 11% |
| High | High | Neutral | 0.00 - 0.48 | MACD Osc., Adaptive | 910 | Off | On | On | 1 day | 251% |
| High | High | Neutral | 0.00 - 0.48 | Stochastic Oscillator 2 | 1129 | Off | On | On | 1 week | 23% |
| High | High | Neutral | 0.00 - 0.48 | Stochastic Oscillator 2 | 737 | Off | Off | Off | 1 month | 11% |
| High | High | Neutral | 0.48 - 0.53 | RSI 1 | 29 | Off | Off | Off | 1 day | 172% |
| High | High | Neutral | 0.48 - 0.53 | MACD Osc., Adaptive | 56 | Off | Off | On | 1 week | 13% |
| High | High | Neutral | 0.48 - 0.53 | RSI 2 | 48 | Off | On | Off | 1 month | 3% |
| High | High | Neutral | 0.53 - 0.57 | MACD Osc., Adaptive | 1129 | Off | Off | On | 1 day | 57% |
| High | High | Neutral | 0.53 - 0.57 | MACD Osc., Modified | 2 | On | Off | On | 1 week | 38% |
| High | High | Neutral | 0.53 - 0.57 | Regression Analysis 1 | 117 | Off | On | Off | 1 month | 6% |
| High | High | Neutral | 0.57 - 1.01 | Stochastic Oscillator 2 | 228 | Off | On | On | 1 day | 44% |
| High | High | Neutral | 0.57 - 1.01 | MACD Osc., Adaptive | 273 | On | Off | Off | 1 week | 29% |
| High | High | Neutral | 0.57 - 1.01 | RSI 1 | 1750 | Off | Off | Off | 1 month | 12% |
| High | High | Positive | 0.00 - 0.48 | RSI 1 | 737 | Off | On | On | 1 day | 13% |
| High | High | Positive | 0.00 - 0.48 | MACD Osc., Adaptive | 910 | On | On | Off | 1 week | 19% |
| High | High | Positive | 0.00 - 0.48 | Momentum, Adaptive | 137 | On | Off | On | 1 month | 11% |
| High | High | Positive | 0.48 - 0.53 | MACD Osc., Adaptive | 1129 | On | Off | On | 1 day | 90% |
| High | High | Positive | 0.48 - 0.53 | MACD Osc., Modified | 737 | On | Off | Off | 1 week | 49% |
| High | High | Positive | 0.48 - 0.53 | Stochastics Inverted | 161 | Off | On | On | 1 month | 6% |
| High | High | Positive | 0.53 - 0.57 | Regression Analysis 2 | 488 | On | Off | On | 1 day | 41% |
| High | High | Positive | 0.53 - 0.57 | ANN (local) | 400 | Off | Off | On | 1 week | 18% |
| High | High | Positive | 0.53 - 0.57 | ANN (local) | 400 | On | Off | On | 1 month | 4% |
| High | High | Positive | 0.57 - 1.01 | Regression Analysis 2 | 161 | On | On | Off | 1 day | 144% |
| High | High | Positive | 0.57 - 1.01 | Stochastics Inverted | 737 | On | Off | On | 1 week | 13% |
| High | High | Positive | 0.57 - 1.01 | MACD Osc., Modified | 10 | On | Off | On | 1 month | -1% |
The values for the table above are only valid when orders are carried out the same day with no delay. When trading mutual funds, your orders are carried out with a delay of (at least) one day.
This table carries average results when delay is one day.