StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY<< 1 ... 35 36 37 38 39 >>Post Follow-up
duke56468
683 posts
msg #82846
Ignore duke56468
11/11/2009 11:06:38 AM

I know, I tried a search for IBD, IBD filter, and Investors business daily but got nothing so maybe it's not possible. It does involve a lot of fundamentals.

Kevin_in_GA
4,553 posts
msg #82893
Ignore Kevin_in_GA
11/11/2009 10:01:20 PM






duke56468
683 posts
msg #82926
Ignore duke56468
11/12/2009 1:02:00 PM

Kevin,
Somewhere on this thread I think you posted your winners and "still open" trades, but now I cant find it. Did you delete it?

Kevin_in_GA
4,553 posts
msg #82927
Ignore Kevin_in_GA
11/12/2009 1:06:54 PM

I did remove it, as I no longer was holding any of those stocks and did not have the time to update them every night. Also, the actual stocks that would be part of the portfolio were 50 in total, which if you want I will post (along with the trades that were completed.

Kevin

Kevin_in_GA
4,553 posts
msg #82930
Ignore Kevin_in_GA
modified
11/12/2009 1:22:25 PM

Approach Name: BOLLINGER BAND CONFIRMATION BUY

Test started on 08/26/2009 ended on 11/12/2009, covering 55 days

Filter used:
close is above close 1 day ago
close 1 day ago was below lower Bollinger Bands(16,2.5) 1 day ago
close is above 1
and apply to watchlist(IBD1,IBD2,IBD3)
average volume(50) is above 50000

Trade Statistics:

There were 67 total stocks entered. Of those, 18 or 26.87% were complete and 49 or 73.13% were open.
Of the 18 completed trades, 17 trades or 94.44% resulted in a net gain.
Your average net change for completed trades was: +15.88%.
.

The average draw down of your approach was: -3.12%.

The average max profit of your approach was: 18.57%
The Reward/Risk ratio for this approach is: 30.53

Annualized Return on Investment (ROI): 256.76% , the ROI of ^SPX was: 28.02%.

TRADES:


Symbol Trigger Date Entry Price Exit Date Exit Price Last Close Gain/Loss Exit Type Days Held
AFL 9/2/2009 39.09 - - 44.52 13.89% OPEN 49
ARTG 9/3/2009 3.92 - - 4.32 10.20% OPEN 48
NRG 9/3/2009 26.36 - - 24.03 -8.84% OPEN 48
BGS 9/16/2009 8.02 - - 7.89 -1.62% OPEN 40
MANT 9/16/2009 50.67 - - 45.00 -11.19% OPEN 40
ALLI 9/25/2009 6.09 - - 6.50 6.73% OPEN 33
ICON 9/25/2009 15.69 - - 11.53 -26.51% OPEN 33
OFG 9/28/2009 13.34 - - 10.30 -22.79% OPEN 32
RMD 9/28/2009 44.97 - - 49.04 9.05% OPEN 32
RIMM 9/29/2009 68.99 - - 63.42 -8.07% OPEN 31
RADS 10/2/2009 10.64 - - 10.81 1.60% OPEN 28
TAST 10/2/2009 7.38 - - 6.86 -7.05% OPEN 28
ITWO 10/5/2009 15.88 - - 18.40 15.87% OPEN 27
LAD 10/5/2009 13.45 - - 8.96 -33.38% OPEN 27
RBA 10/5/2009 23.34 - - 25.14 7.71% OPEN 27
SMRT 10/5/2009 12.46 - - 10.12 -18.78% OPEN 27
CGEN 10/8/2009 2.67 - - 2.75 3.00% OPEN 24
ELGX 10/9/2009 5.50 - - 4.30 -21.82% OPEN 23
MR 10/12/2009 30.75 - - 31.72 3.15% OPEN 22
NTES 10/13/2009 41.22 - - 41.70 1.16% OPEN 21
ABAX 10/14/2009 24.67 - - 22.91 -7.13% OPEN 20
TIS 10/14/2009 17.68 - - 18.15 2.66% OPEN 20
ROVI 10/19/2009 28.82 - - 30.06 4.30% OPEN 17
VMI 10/20/2009 76.85 - - 76.81 -0.05% OPEN 16
EBS 10/21/2009 14.81 - - 15.05 1.62% OPEN 15
EDU 10/21/2009 73.09 - - 73.81 0.99% OPEN 15
NVEC 10/21/2009 45.48 - - 41.36 -9.06% OPEN 15
CMG 10/22/2009 87.10 - - 88.71 1.85% OPEN 14
DIN 10/22/2009 22.52 - - 23.23 3.15% OPEN 14
KCI 10/22/2009 35.44 - - 36.19 2.12% OPEN 14
NITE 10/22/2009 18.75 - - 16.40 -12.53% OPEN 14
PETS 10/22/2009 16.47 - - 16.00 -2.85% OPEN 14
SMP 10/22/2009 14.03 - - 9.05 -35.50% OPEN 14
EPAX 10/23/2009 13.23 - - 12.24 -7.48% OPEN 13
SNX 10/26/2009 27.80 - - 28.98 4.24% OPEN 12
AYR 10/27/2009 8.60 - - 8.73 1.51% OPEN 11
DVAX 10/27/2009 1.40 - - 1.32 -5.71% OPEN 11
GLDD 10/27/2009 6.22 - - 6.92 11.25% OPEN 11
CRI 10/28/2009 23.26 - - 22.65 -2.62% OPEN 10
AES 10/29/2009 13.49 - - 13.37 -0.89% OPEN 9
BBD 10/29/2009 20.92 - - 20.54 -1.82% OPEN 9
CCE 10/29/2009 19.42 - - 20.29 4.48% OPEN 9
ITUB 10/29/2009 20.56 - - 21.89 6.47% OPEN 9
SBUX 10/29/2009 19.54 - - 21.66 10.85% OPEN 9
THC 10/29/2009 5.55 - - 5.58 0.54% OPEN 9
VIP 10/29/2009 18.39 - - 20.44 11.15% OPEN 9
WYNN 10/29/2009 57.00 - - 68.08 19.44% OPEN 9
ARO 11/6/2009 33.87 - - 34.15 0.83% OPEN 3
GOK 11/9/2009 13.02 - - 13.39 2.84% OPEN 2

CLOSED TRADES

APKT 9/2/2009 8.08 9/21/2009 9.70 9.79 20.00% PROFIT STOP 11
CRAY 9/2/2009 6.92 9/11/2009 8.30 8.18 20.00% PROFIT STOP 5
EDU 9/2/2009 69.61 9/22/2009 83.53 83.73 20.00% PROFIT STOP 12
ITUB 9/2/2009 16.62 9/30/2009 20.05 20.15 20.64% PROFIT STOP 18
MDRX 9/2/2009 14.60 9/18/2009 18.23 18.93 24.86% PROFIT STOP 10
SAN 9/3/2009 48.83 9/29/2009 58.60 57.55 20.00% PROFIT STOP 16
AMED 9/4/2009 35.86 9/16/2009 43.03 43.80 20.00% PROFIT STOP 6
NFLX 9/4/2009 41.30 10/15/2009 49.56 50.35 20.00% PROFIT STOP 27
LINC 9/16/2009 20.49 10/21/2009 24.59 24.29 20.00% PROFIT STOP 24
TNS 10/5/2009 26.20 10/22/2009 31.44 31.26 20.00% PROFIT STOP 12
SWM 10/27/2009 52.12 11/9/2009 62.54 60.88 20.00% PROFIT STOP 8
BGFV 10/28/2009 14.80 11/6/2009 17.76 17.73 20.00% PROFIT STOP 6
NUS 8/28/2009 17.27 10/1/2009 18.49 18.31 7.06% TRIGGER 22
KCI 9/1/2009 31.90 9/10/2009 35.20 35.55 10.34% TRIGGER 5
ABVT 9/2/2009 44.57 9/24/2009 48.95 48.13 9.83% TRIGGER 14
CA 9/3/2009 20.82 10/16/2009 23.83 23.71 14.46% TRIGGER 29
FHCO 9/3/2009 5.68 11/10/2009 5.13 5.15 -9.68% TRIGGER 46
UHS 10/5/2009 61.24 10/12/2009 66.36 65.62 8.36% TRIGGER 4


Kevin_in_GA
4,553 posts
msg #82931
Ignore Kevin_in_GA
11/12/2009 1:25:03 PM

In the above trade list, notice that stocks which I originally had on the list (STEC for example) are not there because I waited more than one day for the confirmation signal. In this backtest, it strictly follows the filter requirements. Max number of trades at any time is 50.

duke56468
683 posts
msg #82938
Ignore duke56468
11/12/2009 2:33:31 PM

Thanks Kevin I'm working on some small changes that may make a difference. I'll let you know if it does.

duke56468
683 posts
msg #82972
Ignore duke56468
11/12/2009 11:26:37 PM

Kevin
Here is my thinking on the adjustment-- Instead of buying at the open the day following the confirmation, you buy at the close of that day, because more of the second day candles are red almost 2 to 1 of your stocks that were still open, so you are better off buying at the end of the day. Second part-- place an 8% trailing stop and trail until break even then set stop at breakeven until stopout at breakeven or take profit. This would not have hurt your wins 20, would have given 26 losers of around 6% loss. There would have been 8 that closed out at breakeven , and13 still open and above breakeven (still hope). Its late and my math may be off some (I'm not the sharpest tool in the shed) but maybe you wizards can perfect this some with the filter.

fortyfour
185 posts
msg #82973
Ignore fortyfour
11/13/2009 12:40:07 AM

Kevin,


Great thread. I wonder if adding a general go / no go condition to your filter would improve
results going back years. I believe you have a sharp bull market tool here.

It is my impression, over the years, that IBD's philosophy is to select a lot of low float , high RS flyers
(how else to get 5 baggers and such earnings growth etc...?) , and rates these highly (90 or above).
These may get sold hard when the market turns.

I dont know if I could withstand the string of losses during these times.

I'm not saying that ma(100) is the "right" bull/bear indicator and would be interested to know
how others fare.

Chetron wrote this snippet below to only allow "hits" from your filter when the SP500 is good.

set{SPYtest, count(ind(SPY,close) is above ind(SPY,MA(100)),1) }
SPYtest > 0
draw ma(100)

Great work. Thanks.

Kevin_in_GA
4,553 posts
msg #82980
Ignore Kevin_in_GA
11/13/2009 8:05:19 AM






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