StockFetcher Forums · Filter Exchange · BUYING THE DIP<< 1 2 3 4 5 ... 8 >>Post Follow-up
johnpaulca
11,312 posts
msg #113477
Ignore johnpaulca
5/16/2013 7:06:16 PM

someone bought 118,800 shares at $69.11, he doesn't believe it has much downside to spend that kind of money. I don't have a buy as yet on the 2-hr but it's looking like higher prices ahead.... unless the markets collapse.

Dylan
27 posts
msg #113478
Ignore Dylan
5/16/2013 8:16:33 PM

Hi - Why am I getting a different equity and entered stocks from the back-test on Page 2 while using the same parameters?

Approach Name: Buy the DIP
Test started on 2012-12-31 ended on 0000-00-00, covering 83 days (12-31-12 to 4-31-2013) 5 max open position.

Exit used: ROC(7,1) above 2

Filter used:

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

Trade Statistics
There were 50 total stocks entered. Of those, 45 or 90.00% were complete and 5 or 10.00% were open.
Of the 45 completed trades, 35 trades or 77.78%resulted in a net gain.
Your average net change for completed trades was: 1.81%.
The average draw down of your approach was: -3.26%.
The average max profit of your approach was: 3.46%
The Reward/Risk ratio for this approach is: 4.22
Annualized Return on Investment (ROI): 61.99%, the ROI of ^SPX was: 38.25%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $114,645.47. Cash: $11.25 Market value of holdings at end: $114,634.22 (paid: $116,060.47)
Realized gain/loss: $16,519.22 ($367.09 per trade.)
Total Commissions Paid: $850.25
Unrealized gain/loss: $-1,426.25.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 45 times or 100.00% of the time.

-thx
Dylan

Kevin_in_GA
4,553 posts
msg #113479
Ignore Kevin_in_GA
5/16/2013 9:36:41 PM

Look at the equity per trade - I held it at $20,000 per trade . You probably just said to hold only 5 positions max. That allows for progressively larger bets to be place, and a higher overall return.

Kasmodean
2 posts
msg #113522
Ignore Kasmodean
5/17/2013 4:10:32 PM

Hey Kevin, Thanks for all your help!

I have one question if you don't mind.

How did you test all 7200 cases so fast?? Do you use another program?

mahkoh
895 posts
msg #113524
Ignore mahkoh
modified
5/17/2013 5:35:48 PM

Fetcher[
S&P 500
ROC(7,1) crossed below -2
ROC(80,1) above 20
close above MA(200)
add column ROC(7,1)
sort on column 5 ascending

draw ROC(7,1) line at -2
draw ROC(7,1) line at 2
]



According to help section the "draw line at" command generates horizontal lines in the indicator pane, but in this case I get a bunch of blue vertical lines in between the price and indicator panes. Is there another way?

four
4,012 posts
msg #113526
Ignore four
5/17/2013 8:54:28 PM

kasmodean,

He used [Stratasearch]

Kevin_in_GA
4,553 posts
msg #113528
Ignore Kevin_in_GA
5/17/2013 10:12:32 PM

The lines draw fine if you are using Flash charts, but only the -2 line shows up in the HTML5 charts.

SF - please confirm and fix if possible.

mahkoh
895 posts
msg #113530
Ignore mahkoh
modified
5/18/2013 1:42:46 AM

Kevin, I think you refer to the charts that pop up when you click on the symbol in the filter results?
I'd like to see them as well in the original results.
I think I do recall another thread where you accomplished this in some way but I cannot find it anymore.

It really is a pain to have to create workarounds when Stockfetcher makes a change to their product.

stockfetcher
963 posts
msg #113531
5/18/2013 8:09:35 AM

Kevin,

Thank you for bringing this to our attention. This problem has been resolved.

mahkoh,


For a number of reasons, we are dropping support for flash charts in the results. We hope to offer an html5 solution in the near future.

Best Regards,
StockFetcher

mahkoh
895 posts
msg #113541
Ignore mahkoh
modified
5/18/2013 7:17:10 PM

Thanks for the quick fix.

My reason for wanting to implement these two lines is to see how the ROC value oscilates between entry and exit as I found the filter to have pretty large drawdowns, especially during difficult periods for the market.
I was looking to see if there might be an improvement there by changing the entry from crossing below 2 to the ROC moving up for the first time after having crossed below 2.

Fetcher[
S&P 500
ROC(7,1) 1 day ago below -2
ROC(7,1) above ROC(7,1) 1 day ago
ROC(80,1) above 20
close above MA(200)
add column ROC(7,1)
sort on column 5 ascending
]



It's a mixed bag; underperformance when both filters perform well, but somewhat better when both perform poorly.
What surprised me is that this filter has about 50 % more trades than the original.
I have not done extensive backtesting on this yet as being a regular SF subscriber I can only test 4 month periods at a time.




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