StockFetcher Forums · Filter Exchange · 4 years of ROC(3)<< >>Post Follow-up
__fetcheruser123
msg #46799
Ignore __fetcheruser123
9/8/2006 9:59:15 PM

I just thought this was kind of an interesting short filter, given that the components are so simple.

 
Approach Information
Approach Name: roc3
Test started on 09/06/2002 ended on 09/08/2004, covering 504 days
Filter used:
roc(3) < -20%

close > 20
average volume (90) > 1000000
volume > 1000000

Trade Statistics
There were 137 total stocks entered. Of those, 137 or 100.00% were complete and or 0.00% were open.
Of the 137 completed trades, 74 trades or 54.01%resulted in a net gain.
Your average net change for completed trades was: 0.38%.
The average draw down of your approach was: -4.92%.
The average max profit of your approach was: 5.27%
The Reward/Risk ratio for this approach is: 1.13
Annualized Return on Investment (ROI): 94.56%, the ROI of ^SPX was: 13.22%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 137 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:746057576563
Losers:607479797173
Win/Loss Ratio:1.23:10.81:10.72:10.72:10.92:10.86:1
Net Change:0.38%-0.38%-2.05%-2.58%1.10%3.39%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed7:339:3616:125:54:43:0----
2 day chg3:736:3912:165:54:40:3----
5 day chg3:731:4517:113:72:71:2----
10 day chg3:731:4516:125:52:70:3----
25 day chg4:638:3817:112:82:72:1----
40 day chg3:739:3715:132:84:50:3----

Statistics By Variable: Average Volume
 <5.0M<10.0M<15.0M<20.0M<25.0M<30.0M<35.0M<40.0M<45.0M<50.0M
Completed61:4311:81:40:2--1:00:20:1-
2 day chg43:618:114:12:0--0:12:01:0-
5 day chg42:638:123:21:1--0:12:01:0-
10 day chg43:628:122:31:1--0:12:01:0-
25 day chg53:529:110:51:1--0:11:11:0-
40 day chg53:527:132:31:1--0:10:20:1-



__fetcheruser123
msg #46800
Ignore __fetcheruser123
9/8/2006 10:00:35 PM

2004 - 2006

 
Approach Information
Approach Name: roc3
Test started on 09/08/2004 ended on 09/08/2006, covering 505 days
Filter used:
roc(3) < -20%

close > 20
average volume (90) > 1000000
volume > 1000000

Trade Statistics
There were 126 total stocks entered. Of those, 126 or 100.00% were complete and or 0.00% were open.
Of the 126 completed trades, 64 trades or 50.79%resulted in a net gain.
Your average net change for completed trades was: 0.77%.
The average draw down of your approach was: -3.06%.
The average max profit of your approach was: 3.17%
The Reward/Risk ratio for this approach is: 1.37
Annualized Return on Investment (ROI): 191.09%, the ROI of ^SPX was: 7.75%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 126 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:646253546352
Losers:626473715550
Win/Loss Ratio:1.03:10.97:10.73:10.76:11.15:11.04:1
Net Change:0.77%-0.77%-0.71%-1.33%-0.31%-0.56%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed1:435:3615:117:75:31:0--0:1-
2 day chg4:136:3511:157:73:50:1--1:0-
5 day chg1:427:4411:157:76:20:1--1:0-
10 day chg2:329:4110:169:54:40:1--0:1-
25 day chg3:232:3114:129:55:30:1--0:1-
40 day chg1:426:2513:117:64:30:1--1:0-

Statistics By Variable: Average Volume
 <2.5M<5.0M<7.5M<10.0M<12.5M<15.0M<17.5M<20.0M<22.5M<25.0M
Completed35:3211:146:65:54:33:0--0:10:1
2 day chg32:3514:116:65:53:40:3--1:01:0
5 day chg33:349:165:72:82:50:3--1:01:0
10 day chg29:3812:136:63:62:50:3--1:01:0
25 day chg37:2511:145:46:41:61:2--1:01:0
40 day chg34:2412:102:54:30:50:3----



luc1grunt
622 posts
msg #46802
Ignore luc1grunt
9/8/2006 10:36:09 PM

wow. gonna have to stay up all night with this one.


StockFetcher Forums · Filter Exchange · 4 years of ROC(3)<< >>Post Follow-up

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