StockFetcher Forums · Filter Exchange · 70% win rate on nasdaq 100 on back testing<< >>Post Follow-up
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 (-



__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

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
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:145140147136140125
Losers:94100941069791
Win/Loss Ratio:1.54:11.40:11.56:11.28:11.44:11.37:1
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
Completed113:7029:222:10:1-----1:0
2 day chg101:8135:172:21:0-----1:0
5 day chg111:7232:203:10:1-----1:0
10 day chg107:7725:273:10:1-----1:0
25 day chg107:7529:213:00:1-----1:0
40 day chg96:6926:213:00:1------

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
Completed120:7311:104:46:42:01:3-1:0--
2 day chg116:7911:103:58:21:10:3-1:0--
5 day chg123:7313:82:65:41:12:2-1:0--
10 day chg107:8913:84:46:42:03:1-1:0--
25 day chg119:7210:114:44:62:01:3-0:1--
40 day chg108:667:103:55:51:11:3-0:1--



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.

Fetcher[market is nasdaq 100

add column weekly rsi(2) 4 days ago
add column weekly rsi(2) 3 days ago
add column weekly rsi(2) 2 days ago
add column weekly rsi(2) 1 day ago
add column weekly rsi(2)

add column rsi(2) 4 days ago
add column rsi(2) 3 days ago
add column rsi(2) 2 days ago
add column rsi(2) 1 day ago
add column rsi(2)

draw weekly rsi(2)
draw rsi(2)
]




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


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.



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


StockFetcher Forums · Filter Exchange · 70% win rate on nasdaq 100 on back testing<< >>Post Follow-up

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