StockFetcher Forums · Filter Exchange · Average Volume Rebounder ... 81% Win Rate, 133% ROI<< >>Post Follow-up
__fetcheruser123
msg #43244
Ignore __fetcheruser123
4/27/2006 4:41:51 PM

Another simple idea... This filter looks for largely above average volumes and unusually low %R's as an indication of a rebound. Backtesting was done from 4/25/04 to yesterday (4/25/06). I'll show the results of a back test from the two years before last, shortly.

Backtest Setup:

Stop Loss: N/A
Profit Stop: 2%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 5

Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: close
Maximum Trades Per Day: 25
Maximum Open Positions: 250

Fetcher[
set{vdif, Volume / Average Volume(90)}
show stocks where vdif > 3
and vdif 1 day ago is < 3 for the last 5 days
and volume has increased in the last 1 day
and Williams %R(14) < -95
and close has increased in the last 1 day
and Average Volume(90) is above 20000
and close is between 2 and 250
]



Approach Information
Approach Name: Chris -- Average Volume Rebounder
Test started on 04/23/2004 ended on 04/25/2006, covering 504 days
Filter used:
Chris -- Average Volume Rebound (saved filter)

Trade Statistics
There were 27 total stocks entered. Of those, 27 or 100.00% were complete and or 0.00% were open.
Of the 27 completed trades, 22 trades or 81.48%resulted in a net gain.
Your average net change for completed trades was: 1.18%.
The average draw down of your approach was: -1.54%.
The average max profit of your approach was: 3.94%
The Reward/Risk ratio for this approach is: 4.64
Annualized Return on Investment (ROI): 132.84%, the ROI of ^SPX was: 6.96%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 18 times or 66.67% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (5 days) 9 times or 33.33% 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:221317211411
Losers:511961313
Win/Loss Ratio:4.40:11.18:11.89:13.50:11.08:10.85:1
Net Change:1.18%1.28%3.31%2.18%1.79%-0.51%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed2:07:03:12:03:23:02:0-0:10:1
2 day chg1:14:21:32:03:21:20:1--1:0
5 day chg1:05:22:22:04:12:11:1-0:10:1
10 day chg1:16:13:11:14:12:12:0-1:01:0
25 day chg1:14:32:21:13:21:21:1-0:11:0
40 day chg1:01:52:10:23:21:21:1-1:01:0

Statistics By Variable: Average Volume
 <400000<800000<1.2M<1.6M<2.0M<2.4M<2.8M<3.2M<3.6M<4.0M
Completed17:53:01:0----1:0--
2 day chg11:81:21:0----0:1--
5 day chg14:82:11:0-------
10 day chg19:31:21:0----0:1--
25 day chg13:90:31:0----0:1--
40 day chg11:90:30:1-------



__fetcheruser123
msg #43245
Ignore __fetcheruser123
4/27/2006 4:46:23 PM


This backtest was done from 04/23/02 to 04/23/04. Same filter & setup, 90% win rate, 289% ROI.

Approach Information
Approach Name: Chris -- Average Volume Rebounder
Test started on 04/23/2002 ended on 04/23/2004, covering 505 days
Filter used:
Chris -- Average Volume Rebound (saved filter)

Trade Statistics
There were 31 total stocks entered. Of those, 31 or 100.00% were complete and or 0.00% were open.
Of the 31 completed trades, 28 trades or 90.32%resulted in a net gain.
Your average net change for completed trades was: 1.25%.
The average draw down of your approach was: -2.54%.
The average max profit of your approach was: 3.59%
The Reward/Risk ratio for this approach is: 3.07
Annualized Return on Investment (ROI): 289.06%, the ROI of ^SPX was: 1.45%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 28 times or 90.32% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (5 days) 3 times or 9.68% 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:282219202017
Losers:3912111114
Win/Loss Ratio:9.33:12.44:11.58:11.82:11.82:11.21:1
Net Change:1.25%1.40%1.60%2.67%3.94%3.04%

Statistics By Variable: Match Price
 <4<8<12<16<20<24<28<32<36<40
Completed5:06:23:04:01:03:03:01:12:0-
2 day chg3:24:42:14:01:03:02:11:12:0-
5 day chg2:33:53:04:01:02:12:10:22:0-
10 day chg3:24:43:04:01:02:12:10:21:1-
25 day chg2:34:43:04:01:01:23:00:22:0-
40 day chg2:34:42:14:00:11:22:10:22:0-

Statistics By Variable: Average Volume
 <250000<500000<750000<1000000<1.2M<1.5M<1.8M<2.0M<2.2M<2.5M
Completed22:31:02:01:01:0---1:0-
2 day chg18:71:02:01:00:1---0:1-
5 day chg17:80:11:11:00:1---0:1-
10 day chg16:91:01:11:01:0---0:1-
25 day chg16:91:01:11:01:0---0:1-
40 day chg13:121:01:11:01:0---0:1-



StockFetcher Forums · Filter Exchange · Average Volume Rebounder ... 81% Win Rate, 133% ROI<< >>Post Follow-up

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