StockFetcher Forums · Filter Exchange · BUYING THE DIP<< 1 2 3 4 5 ... 8 >>Post Follow-up
3,829 posts
msg #113436
Ignore Kevin_in_GA
5/15/2013 6:18:19 PM

I use either a 5 or 10 stock portfolio, and always set the trade size as constant (stays the same regardless of how much cash you have in the account). The filter performance is usually best at 5 positions.

3,829 posts
msg #113437
Ignore Kevin_in_GA
5/15/2013 6:31:27 PM

Here is the SF backtest - note that the open positions are not closed and that all trades are 20,000 with commissions of 8.95 per trade.

Approach Name: BUY THE DIP
Test started on 2012-12-31 ended on 0000-00-00, covering 83 days

Filter used:

S&P 500
ROC(7,1) crossed below -2
ROC(80,1) above 20
close above MA(200)

Trade Statistics

There were 47 total stocks entered. Of those, 42 or 89.36% were complete and 5 or 10.64% were open.
Of the 42 completed trades, 32 trades or 76.19% resulted in a net gain.
Your average net change for completed trades was: 1.65%.
The average draw down of your approach was: -3.33%.
The average max profit of your approach was: 3.50%
The Reward/Risk ratio for this approach is: 3.51
Annualized Return on Investment (ROI): 52.65%, the ROI of ^SPX was: 38.25%.

Equity Summary

Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $109,029.93. Cash: $13,137.10 Market value of holdings at end: $95,892.83 (paid: $99,579.55)
Realized gain/loss: $13,137.30 ($312.79 per trade.)
Total Commissions Paid: $796.59
Unrealized gain/loss: $-3,686.72.

4 posts
msg #113438
Ignore olbn
5/15/2013 6:38:28 PM

Kevin U R Gr8.
Thanks for sharing Gr8 ideas.
I like the way this graph flattens when the market is going down.

637 posts
msg #113439
Ignore mahkoh
5/16/2013 1:42:56 AM

I ran a few backtests as well and examining the biggest losers it turns out they are nearly all associated with post-earnings moves. Avoid those and this looks even better.

683 posts
msg #113445
Ignore duke56468
5/16/2013 9:33:19 AM

In the 2010 ,2011,2012 it has done the worst for the time frame May through Aug. Just saying, now could be a difficult period for this filter.

3,829 posts
msg #113455
Ignore Kevin_in_GA
5/16/2013 11:13:23 AM

@duke: Quite possibly - the S&P 500 did poorly during those same periods, and this picks S&P stocks.

637 posts
msg #113464
Ignore mahkoh
5/16/2013 1:00:40 PM

HES is not very encouraging as a starter..

10,153 posts
msg #113468
Ignore johnpaulca
5/16/2013 1:38:40 PM

I was also watching HES, it had a sell signal on 2-hr chart , I am looking at buying the pullback. These little shakeout cannot be predicted on daily charts but sill a nice looking setup.

3,829 posts
msg #113469
Ignore Kevin_in_GA
5/16/2013 2:06:24 PM

I have not modeled this with using a limit order (e.g., 2% below yesterday's close), but my guess is that the absolute return per trade and win% will go up at the cost of reduced frequency of trades.

I'll plug it in tonight and see what happens.

133 posts
msg #113476
Ignore dangreene
5/16/2013 5:54:34 PM

HES - looks to have a little more downside.

StockFetcher Forums · Filter Exchange · BUYING THE DIP<< 1 2 3 4 5 ... 8 >>Post Follow-up

*** Disclaimer *** 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. does not recommend particular securities., 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