StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY<< 1 ... 3 4 5 6 7 ... 39 >>Post Follow-up
Kevin_in_GA
4,536 posts
msg #79085
Ignore Kevin_in_GA
modified
9/11/2009 6:02:30 PM

Here you go:

Optimization: BB-OPT-TS (09/11/2009 18:01:34)
Trading System: BB-OPT
Iterations: 12
Time: 1:16
Symbols Tested: 458 (QP:ibd stock list)
From [09/11/2008 09:30] to [09/11/2009 16:00]
Average: 65.197, Best: 141.73

V#1 V#2 [APT] Net %PROF TRADES
16 2.5 $141.728 $136767.19 64% 965
17 2.5 $140.490 $131076.77 63% 933
15 2.5 $134.846 $132014.50 64% 979
16 2 $61.204 $105271.46 66% 1720
15 2 $60.262 $108230.59 66% 1796
17 2 $58.449 $95271.36 65% 1630
17 1.5 $37.891 $90066.62 68% 2377
16 1.5 $33.868 $83654.58 67% 2470
15 1.5 $32.140 $84142.91 67% 2618
16 1 $27.781 $92399.55 68% 3326
17 1 $27.470 $86064.75 68% 3133
15 1 $26.232 $92256.96 68% 3517

16,2.5 System:
Note that the average profit per trade was $141.73 (on an initial $2000 investment) = 7.08% after trading costs. On 965 trades you netted $136,767 and were right 64% of the time.

16,1.5 System:
Note that the average profit per trade was $33.87 (on an initial $2000 investment) = 1.66% after trading costs. On 2470 trades you netted only $83,654 and were right 67% of the time.



I'll take the 2.5 system over the 1.5 system.

Kevin_in_GA
4,536 posts
msg #79091
Ignore Kevin_in_GA
modified
9/11/2009 6:51:25 PM

Not to beat a dead horse here, but here is a side-by-side backtest over the last four months using SF:


BOLLINGER(16,1.5) TEST
Test started on 05/08/2009 ended on 09/09/2009, covering 85 days

Filter used:
close is below lower bollinger bands(16,1.5)
close is above 1
average volume(50) is above 50000
and apply to watchlist(IBD1,IBD2,IBD3)

Trade Statistics
There were 235 total stocks entered. Of those, 185 or 78.72% were complete and 50 or 21.28% were open.
Of the 185 completed trades, 164 trades or 88.65% resulted in a net gain.
Your average net change for completed trades was: 8.76%.
The average draw down of your approach was: -6.54%.
The average max profit of your approach was: 10.91%
The Reward/Risk ratio for this approach is: 14.26
Annualized Return on Investment (ROI): 144.52%, the ROI of ^SPX was: 38.77%.



BOLLINGER(16,2.5) TEST
Test started on 05/08/2009 ended on 09/09/2009, covering 85 days

Filter used:
close is below lower bollinger bands(16,2.5)
close is above 1
average volume(50) is above 50000
and apply to watchlist(IBD1,IBD2,IBD3)

Trade Statistics
There were 80 total stocks entered. Of those, 31 or 38.75% were complete and 49 or 61.25% were open.
Of the 31 completed trades, 31 trades or 100.00% resulted in a net gain.
Your average net change for completed trades was: 19.71%.
The average draw down of your approach was: -5.74%.
The average max profit of your approach was: 23.19%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 150.74%, the ROI of ^SPX was: 38.77%.

Anybody can do the same test. The message here is that I have looked at other combinations, and think the data compellingly argues for the current settings. You may, of course, trade this in any fashion you want, but then you are not trading the system I laid out. Your call.

Kevin

Kevin_in_GA
4,536 posts
msg #79095
Ignore Kevin_in_GA
modified
9/11/2009 8:23:40 PM

UNFI up $0.45 to $24.75 in after hours trading (+1.85%). I bought in at $24.36 before the close today.

AAP up $0.17 in after hours trading (+0.43%). May pick this one up on Monday - still a little concerned about the large volume and lack of closes above the upper BB, though.

jnafach
74 posts
msg #79097
Ignore jnafach
9/11/2009 8:47:48 PM

is the entry on open of following day and exit same or at the close as I looked at two pick on backtesting and it did not match the open and close price

Kevin_in_GA
4,536 posts
msg #79098
Ignore Kevin_in_GA
9/11/2009 8:59:22 PM

Not always able to get the open price. Also, in some instances I waited for a day to see if there was a "confirmation" of upward movement before buying in.

These are real life trades - won't always match the backtesting.

trendscanner
265 posts
msg #79102
Ignore trendscanner
9/11/2009 10:52:20 PM

Kevin, I'm curious about what other software you're using besides SF to backtest your filters. Is it Warden TC2000 or something similar? Any comments about it's usefulness or flexibility compared to SF backtesting?

I'm interested in evaluating filtering systems that allow a combination of fundamentals with technicals, so am curious about what you're using. I know there are a lot of different softwares out there but it's not easy finding independent opinions about what the pros and cons of them are.

TIA

Kevin_in_GA
4,536 posts
msg #79109
Ignore Kevin_in_GA
9/12/2009 6:30:26 AM

Optimization was done using Investor/RT from linnsoft.com. Good piece of software. Cost is about $50 a month, but you will need a datafeed if you want to use in intraday.

I got the EOD version, basically just to optimize stuff. I'm done now, so I will freeze my subscription for a while.

stratiG
147 posts
msg #79112
Ignore stratiG
9/12/2009 9:31:37 AM

gaurav

stratig,

Do you mind posting the list here?

=============================================================

Already in the lists kevin provided.


gabestogie
79 posts
msg #79114
Ignore gabestogie
9/12/2009 10:30:40 AM

Kevin:
Because of you I have taken out a paid subscription to SF. I was impressed with your honesty and response to the questions
you answered. This scan is a great scan, it covers most of what I have been searching for. I'll be following your posts like a hound dog chasing a bunny. Keep up the good work. Being a newbie I'll attempt to load your criteria and run a scan.
Trade safe,
gabestogie

Kevin_in_GA
4,536 posts
msg #79119
Ignore Kevin_in_GA
9/12/2009 1:26:14 PM

gabestogie:

I appreciate your kind words. In all honesty I have learned from others here, and also I think that SF is worth many times over the $25 a quarter I pay for a subscription. This is a fantastic resource for anyone who is interested in trading.

Glad to help you if I can.

StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY<< 1 ... 3 4 5 6 7 ... 39 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus