StockFetcher Forums · Filter Exchange · Backtest<< >>Post Follow-up
stefonk
33 posts
msg #97805
Ignore stefonk
12/4/2010 8:47:58 AM

Has anyone tested a filter that is more than 80 percent profitable? Please let me know.

Kevin_in_GA
4,543 posts
msg #97811
Ignore Kevin_in_GA
12/4/2010 1:37:57 PM

Of course - there are dozens of these peppered throughout the forums.

Here's one of mine:

Fetcher[

market is s&p 500
close above 1
average volume(20) above 200000
MA(10) below MA(45)
rmi(8,14) crossed below 65
]



exit conditions are either ma(10) above MA(45) or rmi(8,14) crossed above 45

Results over the last 4 months:

Approach Name: RMI(8,14) cross below 65
Test started on 08/03/2010 ended on 12/03/2010, covering 86 days
Filter used:

market is s&p 500
close above 1
average volume(20) above 200000
MA(10) below MA(45)
rmi(8,14) crossed below 65

Trade Statistics
There were 73 total stocks entered. Of those, 60 or 82.19% were complete and 13 or 17.81% were open.
Of the 60 completed trades, 56 trades or 93.33%resulted in a net gain.
Your average net change for completed trades was: 4.43%.
The average draw down of your approach was: -4.14%.
The average max profit of your approach was: 5.93%
The Reward/Risk ratio for this approach is: 36.88
Annualized Return on Investment (ROI): 81.07%, the ROI of ^SPX was: 25.36%.

Max number of trades was 25, no stops used.

Equity gain starting with $100,000 on 8/3 until 12/3 was $15,197.00.

four
3,998 posts
msg #97812
Ignore four
modified
12/4/2010 2:28:12 PM

rni is interesting... no backtest (just did an eyeball test)
Anyone like to backtest this filter and post results...

Fetcher[

close > open
close above 1
average volume(20) above 50000
draw rsi(2)
rmi(5,2) crossed below 6 within last 1 day


]



Kevin_in_GA
4,543 posts
msg #97813
Ignore Kevin_in_GA
12/4/2010 4:03:59 PM

Four:

How can anyone backtest this without knowing what the exit criteria are? You are defining entry strategies but not exit strategies in most of your filters, and no backtesting to show if the idea strategy is valid.

In the case of the filter I posted above, the entry and exit criteria were developed in parallel using StrataSearch, and optimized against the S&P500 component stocks from 10/1/2009 until 10/1/2010.

I don't mean to be overly critical here - you post more filters than anyone else on these forums. I for one would like to see "the other half" of the strategy and how it played out when you post a new filter.

four
3,998 posts
msg #97814
Ignore four
12/4/2010 4:39:16 PM



I need the "other half", is true.

How do you look at an entry and decide the exit?
There are many ways to exit...
1. time in trade
2. above or below a moving average
3, rsi is above or below a value
4. percentage loss or gain
5. day trade or swing trade
6. etc

Please assist with some ideas/logic on this topic.
You differ your exits. What is your thought process?

Thank you

four
3,998 posts
msg #97815
Ignore four
12/4/2010 4:56:15 PM

Fetcher[
close > open
draw rsi(2) < 21
high < high 1 day ago
close > close 1 day ago
volume < volume 1 day ago
volume < avgvol(50)
]



For example, this seems to offer good buys @ high on trigger day.

How would I determine an exit strategy for this specific filter?

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