StockFetcher Forums · Filter Exchange · A filter that looks great on paper, but has some problems with practical execution<< >>Post Follow-up
dccolt
19 posts
msg #55270
Ignore dccolt
9/26/2007 11:07:56 PM

Here is a penny stock short filter that looks great on paper. I originally found it posted by (I think) holygrail a while back, so I am giving him (or her) the credit for it... I just tweeked it a little.

I ran it for the last 64 days of trading. The ROI turned out to be a whopping 45,201% for 64 days of trading. In that time, the filter snagged 106 stocks for trading, with a 30% success rate. I used a stop of 1% and a limit of 8% for these results.

(Just in case some may not know, this filter requires day trading - which requires a $25k minimum in the account - and requires plenty of margin since $1.50 per share is required for each trade.)

Here's the problem with the filter: The data for penny stocks is not detailed on the IB workstation; therefore, it is hard to get in and out of the penny stocks. Entering “at market” is way too risky because there is no way to see what the current bid/ask is and exiting presents the same problem.

If anyone can tweek this filter further to get either similar results from any stocks other than penny stocks or to get more detailed data on the penny stocks, please let me know. Thanks.

Also, if you do this filter as a long filter, it still comes up with great results (30% success at 9000+ ROI for 64 days of trading).

Fetcher[close 1 day ago is more than 14% below the open 1 day ago
and close is more than 3% below the open
and average volume is above 100000
and close is between .05 and 1.50
and close is below lower bollinger band
]




Approach Name: E01 (45201.00/1/8/10) Short - Penny Stocks (Best)
Test started on 06/21/2007 ended on 09/21/2007, covering 64 days
Filter used:
E01 (45201.00/1/8/10) Short - Penny Stocks (Best) (saved filter)



Trade Statistics
There were 106 total stocks entered. Of those, 105 or 99.06% were complete and 1 or 0.94% were open.
Of the 105 completed trades, 32 trades or 30.48%resulted in a net gain.
Your average net change for completed trades was: 1.74%.
The average draw down of your approach was: -9.90%.
The average max profit of your approach was: 14.74%
The Reward/Risk ratio for this approach is: 3.51
Annualized Return on Investment (ROI): 45201.00%, the ROI of ^SPX was: 3.39%.

Exit Statistics
Stop Loss was triggered 73 times or 69.52% of the time.
Stop Profit was triggered 32 times or 30.48% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (10 days) 0 times or 0.00% 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: 32 44 41 39 24 1
Losers: 73 59 53 43 43 18
Win/Loss Ratio: 0.44:1 0.75:1 0.77:1 0.91:1 0.56:1 0.06:1
Net Change: 1.74% -2.36% -8.06% -4.17% -6.04% -5.30%

Statistics By Variable: Match Price
<0.15 <0.3 <0.45 <0.6 <0.75 <0.9 <1.05 <1.2 <1.35 <1.5
Completed 17:32 3:12 3:2 4:9 0:8 0:5 1:3 2:2 2:0 -
2 day chg 19:29 10:5 2:3 5:8 4:4 1:4 2:2 1:3 0:1 -
5 day chg 17:25 8:7 2:3 4:7 3:4 3:2 1:2 2:2 1:1 -
10 day chg 18:18 6:7 2:2 5:5 5:3 3:1 0:2 0:4 0:1 -
25 day chg 5:18 4:10 2:2 3:5 4:3 2:2 0:2 2:1 2:0 -
40 day chg 1:9 0:3 0:3 0:1 0:1 - 0:1 - - -

Statistics By Variable: Average Volume
<1000000 <2.0M <3.0M <4.0M <5.0M <6.0M <7.0M <8.0M <9.0M <10.0M
Completed 30:64 2:3 0:3 0:1 - - 0:1 - 0:1 -
2 day chg 35:57 4:1 2:1 1:0 - - 1:0 - 1:0 -
5 day chg 35:48 2:3 2:1 1:0 - - 1:0 - 0:1 -
10 day chg 36:36 1:3 2:1 0:1 - - 0:1 - 0:1 -
25 day chg 20:38 1:2 2:1 1:0 - - 0:1 - 0:1 -
40 day chg 1:14 0:2 0:1 - - - 0:1 - - -



StockFetcher Forums · Filter Exchange · A filter that looks great on paper, but has some problems with practical execution<< >>Post Follow-up

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