Kevin_in_GA
4,599 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.
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Kevin_in_GA
4,599 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.
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olbn
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.
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mahkoh
1,065 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.
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duke56468
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.
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Kevin_in_GA
4,599 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.
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mahkoh
1,065 posts
msg #113464
- Ignore mahkoh |
5/16/2013 1:00:40 PM
HES is not very encouraging as a starter..
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johnpaulca
12,036 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.
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Kevin_in_GA
4,599 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.
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dangreene
229 posts
msg #113476
- Ignore dangreene |
5/16/2013 5:54:34 PM
HES - looks to have a little more downside.
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