MARY4MONEY
806 posts
msg #46804
- Ignore MARY4MONEY |
9/9/2006 10:33:29 AM
"market is nasdaq 100 and weekly rsi(2) below 3 and weekly +di(2) below 3"----here are somw results---------------------------------------------------------3 Days +2.92% 8 (+2.92%) 0 (n/a)
4 Days +4.75% 8 (+4.75%) 0 (n/a)
1 Week +6.73% 8 (+6.73%) 0 (n/a)
Current +5.25% 6 (+8.40%)
Change Offset
<< Week · Day Previous Next Day · Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +3.37% 14 (+3.62%) 1 (-0.11%)
0 +1.93% +1.07%
2 Days +2.48% 14 (+2.69%) 1 (-0.50%)
0 +1.80% +0.77%
3 Days +0.92% 5 (+4.77%) 10 (-1.00%)
0 +0.37% +0.23%
4 Days +2.70% 7 (+7.72%) 8 (-1.70%)
0 +1.18% +0.90%
1 Week +3.69% 10 (+6.44%) 5 (-1.81%)
0 +1.84% +1.28%
1 Month +12.33% 15 (+12.33%) 0 (n/a)
0 +5.74% +2.43%
Current +11.22% 15 (+11.22%) 0 (n/a)
0 +5.42% +2.63%
15 matching stocks Previous Next Day · Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +2.38% 15 (+2.56%) 1 (-0.33%)
0 +1.83% +1.96%
2 Days +0.69% 10 (+1.58%) 5 (-0.95%)
1 -0.19% +1.19%
3 Days -1.67% 3 (+1.64%) 13 (-2.44%)
0 -1.12% +0.64%
4 Days +1.10% 14 (+1.76%) 2 (-3.54%)
0 +0.91% +2.33%
1 Week +3.07% 14 (+4.02%) 2 (-3.61%)
0 +1.50% +2.82%
1 Month +11.09% 15 (+12.55%) 1 (-10.67%)
0 +5.91% +5.39%
Current +11.67% 14 (+14.61%) 2 (-
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__fetcheruser123
msg #46822
- Ignore __fetcheruser123 |
9/9/2006 11:53:15 PM
M4M, Thanks for the filter. I was surprised at how well it backtested with SF's default settings...
| Approach Information | | Approach Name: ndaq 100 | | Test started on 09/08/2004 ended on 09/08/2006, covering 505 days | | Filter used: | market is nasdaq 100
weekly rsi(2) below 3
weekly +di(2) below 3 |
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| Trade Statistics | | There were 242 total stocks entered. Of those, 239 or 98.76% were complete and 3 or 1.24% were open. | | Of the 239 completed trades, 145 trades or 60.67%resulted in a net gain. | | Your average net change for completed trades was: 2.07%. | | The average draw down of your approach was: -5.79%. | | The average max profit of your approach was: 8.01% | | The Reward/Risk ratio for this approach is: 1.66 | | Annualized Return on Investment (ROI): 33.65%, the ROI of ^SPX was: 7.75%. |
| Exit Statistics | | Stop Loss was triggered 61 times or 25.52% of the time. | | Stop Profit was triggered 106 times or 44.35% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (25 days) 72 times or 30.13% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 145 | 140 | 147 | 136 | 140 | 125 | | Losers: | 94 | 100 | 94 | 106 | 97 | 91 | | Win/Loss Ratio: | 1.54:1 | 1.40:1 | 1.56:1 | 1.28:1 | 1.44:1 | 1.37:1 | | Net Change: | 2.07% | 0.84% | 1.32% | 1.78% | 2.34% | 1.96% |
| Statistics By Variable: Match Price | | | <40 | <80 | <120 | <160 | <200 | <240 | <280 | <320 | <360 | <400 | | Completed | 113:70 | 29:22 | 2:1 | 0:1 | - | - | - | - | - | 1:0 | | 2 day chg | 101:81 | 35:17 | 2:2 | 1:0 | - | - | - | - | - | 1:0 | | 5 day chg | 111:72 | 32:20 | 3:1 | 0:1 | - | - | - | - | - | 1:0 | | 10 day chg | 107:77 | 25:27 | 3:1 | 0:1 | - | - | - | - | - | 1:0 | | 25 day chg | 107:75 | 29:21 | 3:0 | 0:1 | - | - | - | - | - | 1:0 | | 40 day chg | 96:69 | 26:21 | 3:0 | 0:1 | - | - | - | - | - | - |
| Statistics By Variable: Average Volume | | | <15.0M | <30.0M | <45.0M | <60.0M | <75.0M | <90.0M | <105.0M | <120.0M | <135.0M | <150.0M | | Completed | 120:73 | 11:10 | 4:4 | 6:4 | 2:0 | 1:3 | - | 1:0 | - | - | | 2 day chg | 116:79 | 11:10 | 3:5 | 8:2 | 1:1 | 0:3 | - | 1:0 | - | - | | 5 day chg | 123:73 | 13:8 | 2:6 | 5:4 | 1:1 | 2:2 | - | 1:0 | - | - | | 10 day chg | 107:89 | 13:8 | 4:4 | 6:4 | 2:0 | 3:1 | - | 1:0 | - | - | | 25 day chg | 119:72 | 10:11 | 4:4 | 4:6 | 2:0 | 1:3 | - | 0:1 | - | - | | 40 day chg | 108:66 | 7:10 | 3:5 | 5:5 | 1:1 | 1:3 | - | 0:1 | - | - |
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radovan.arendas
41 posts
msg #46842
- Ignore radovan.arendas |
9/11/2006 7:50:50 AM
Dear Tomb,
could you please explain how is calculated and reflected in chart weekly rsi(2)? I wrote below attached filter but when I looked at the chart of e.g. CELG, the numbers in columns are not reflected in the chart.
Look at 7-Sep. The column is saying 26.35 but on the chart it is around 11.5
The other thing is that results shown as 1,2,3 days ago for today run of the filter are the same as if I run filter with date offset 1.
It seems that your week is fixed Monday-Friday and not floating 5 trading days e.g. Thu-Wed if I run filter on Thursday.
Thanks for clarification
r.
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tomb
267 posts
msg #46843
- Ignore tomb |
9/11/2006 8:13:03 AM
Hi,
First, yes the "weekly" data on StockFetcher represents Monday-Friday.
Next, when you print columns values using "days ago" StockFetcher will compute those values assuming that is the end-point for the week. So, while the chart will display the measure based on the entire week, the displayed value in the column will not include that additional date.
Thank you,
Tom
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radovan.arendas
41 posts
msg #46847
- Ignore radovan.arendas |
9/11/2006 12:57:28 PM
Hi Tomb,
I tried a lot but I don't understand your 2nd explanation (after the Next...)
Talking about CELG:
1. If I run filter now I get weekly rsi(2) = 7.43 that is also plot on chart
2. If I run filter with date offset 1 I get weekly rsi(2) = 6.99 but on the chart is value around 12.1
3. date offset 2, weekly rsi(2) = 6.23, on the chart value around 16.6
Could you be please also more specific.
Thank you in advance
r.
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tomb
267 posts
msg #46848
- Ignore tomb |
9/11/2006 1:07:04 PM
Hi,
What you are describing is directly related to "date offset" and weekly measures. Please review the help topic below for more details:
http://www.stockfetcher.com/?topicid=100297
Tom
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