StockFetcher Forums · Filter Exchange · Anyone who can fine tune this or tell me how to do it?<< >>Post Follow-up
mrmenstig
20 posts
msg #103717
Ignore mrmenstig
12/11/2011 1:34:58 PM

show stocks where the MFI(14) has been increasing for 4 days
and rsi(14) is between 30 and 50
and obv is 500000
and price is between 0.75 and 3.5

currently i have tested this over several 6 month periods during which the market has been fairly volatile
but in nearly every test i did this screen was around 45+ to86% roi
even when it made less winning trades than losing ones it still made money anywhere form 5-8k over a 6 month period.
I have my stop loss set to 17% and profits to 22% in the last 6 month period i tested it made nearly 8.2 k. 3k of that though can be attributed to one stock as i checked the equity summary.
Im wondering if this filter is a general one or works better in bear markets as im assuming most of the last 2 years has been pretty rough

duke56468
683 posts
msg #103719
Ignore duke56468
12/11/2011 4:40:27 PM

I must be missing something, I didn't come close to your results and had way too many trades


Test started on 07/29/2011 ended on 12/01/2011, covering 87 days
Filter used:
show stocks where the MFI(14) has been increasing for 4 days
and rsi(14) is between 30 and 50
and obv is 500000
and price is between 0.75 and 3.5



Trade Statistics
There were 1215 total stocks entered. Of those, 1041 or 85.68% were complete and 174 or 14.32% were open.
Of the 1041 completed trades, 375 trades or 36.02%resulted in a net gain.
Your average net change for completed trades was: -2.19%.
The average draw down of your approach was: -14.77%.
The average max profit of your approach was: 14.31%
The Reward/Risk ratio for this approach is: 0.77
Annualized Return on Investment (ROI): -40.49%, the ROI of ^SPX was: -10.92%.

Exit Statistics
Stop Loss was triggered 494 times or 47.45% of the time.
Stop Profit was triggered 275 times or 26.42% 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) 272 times or 26.13% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


mrmenstig
20 posts
msg #103733
Ignore mrmenstig
12/12/2011 3:50:17 PM

here are the trade detail foe the last test
Approach Name: mfi filter
Test started on 01/06/2011 ended on 12/09/2011, covering 234 days
Filter used:
mfi filter (saved filter)

Trade Statistics
There were 2293 total stocks entered. Of those, 2169 or 94.59% were complete and 124 or 5.41% were open.
Of the 2169 completed trades, 842 trades or 38.82%resulted in a net gain.
Your average net change for completed trades was: 2.31%.
The average draw down of your approach was: -11.99%.
The average max profit of your approach was: 86.71%
The Reward/Risk ratio for this approach is: 1.32
Annualized Return on Investment (ROI): 49.78%, the ROI of ^SPX was: -1.75%.

Exit Statistics
Stop Loss was triggered 599 times or 27.62% of the time.
Stop Profit was triggered 341 times or 15.72% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (15 days) 1229 times or 56.66% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

mrmenstig
20 posts
msg #103734
Ignore mrmenstig
12/12/2011 3:52:53 PM

or even more outrageous
Approach Name: mfi filter
Test started on 06/06/2011 ended on 12/09/2011, covering 131 days
Filter used:
mfi filter (saved filter)

Trade Statistics
There were 1288 total stocks entered. Of those, 1164 or 90.37% were complete and 124 or 9.63% were open.
Of the 1164 completed trades, 452 trades or 38.83%resulted in a net gain.
Your average net change for completed trades was: 4.65%.
The average draw down of your approach was: -12.93%.
The average max profit of your approach was: 151.94%
The Reward/Risk ratio for this approach is: 1.59
Annualized Return on Investment (ROI): 105.20%, the ROI of ^SPX was: -6.54%.

Exit Statistics
Stop Loss was triggered 370 times or 31.79% of the time.
Stop Profit was triggered 192 times or 16.49% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (15 days) 602 times or 51.72% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

mrmenstig
20 posts
msg #103735
Ignore mrmenstig
12/12/2011 3:58:36 PM

ok after tinkering around a bit more and lowering the amount of open positions allowable it was showing 155% over a 3 month period this year Approach Name: mfi filter
Test started on 06/06/2011 ended on 12/09/2011, covering 131 days
Filter used:
mfi filter (saved filter)

Trade Statistics
There were 339 total stocks entered. Of those, 309 or 91.15% were complete and 30 or 8.85% were open.
Of the 309 completed trades, 120 trades or 38.83%resulted in a net gain.
Your average net change for completed trades was: 7.13%.
The average draw down of your approach was: -13.46%.
The average max profit of your approach was: 37.84%
The Reward/Risk ratio for this approach is: 1.90
Annualized Return on Investment (ROI): 155.15%, the ROI of ^SPX was: -6.54%.

Exit Statistics
Stop Loss was triggered 89 times or 28.80% of the time.
Stop Profit was triggered 50 times or 16.18% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (15 days) 170 times or 55.02% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

And yet after thinking id found a holy grail filter it actually lost 10k
How can something be 155% and yet loose 10k?

mrmenstig
20 posts
msg #103736
Ignore mrmenstig
12/12/2011 4:01:30 PM

looking back throught the equity summary it was investing roughly 4k a pop is there any way to set this to a smaller amount
on most if not all of the other tests ive done it was only investing 400 a time

duke56468
683 posts
msg #103737
Ignore duke56468
modified
12/12/2011 5:16:14 PM

you set that by setting "maximum open positions" 25 will give you 4K and 250 will give 400
I don't know how they figure ROI but the only thing I care about is the bottom line from "equity summary"

StockFetcher Forums · Filter Exchange · Anyone who can fine tune this or tell me how to do it?<< >>Post Follow-up

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