StockFetcher Forums · Filter Exchange · Buy Stock or call Holding 3 days max filter<< 1 2 3 >>Post Follow-up
levamit
101 posts
msg #104557
Ignore levamit
modified
1/20/2012 4:38:36 PM

Hello Traders,

I Am going to release here something relay amazing.
This filter is the best for call's 3 days Max hold without stop-loss best performance.
used:
entry on the next day after the filter was trigger at open exit at open after 3 days max days hold 3 days.
entry 25 stocks each day, max open position 250.
Fetcher[
Stocks Optionable
stocks are not otcbb
stocks are not etf

draw DMA(10)

show stocks where close is above 1
average volume(30) > 1500000
volume > 400000

Parabolic SAR(0.02,0.2) dropped more then 2 percent
Parabolic SAR(0.02,0.2) above close
day position(0.05,1) below day position 1 day ago
do not draw day position(-1.00,5)
CCI(4) < -70
RSI(15) < 25
]



trade results:
between the years
02-03 with stop loss 10% gained 882% without stop loss gained 923% 144 trades
03-04 with stop loss 10% gained 130% without stop loss gained 123% 36 trades
04-05 with stop loss 10% gained 165% without stop loss gained 172% 47
05-06 with stop loss 10% gained 96% without stop loss gained 112% 46
06-07 with stop loss 10% gained 69% without stop loss gained 230% 62
07-08 with stop loss 10% gained 759% without stop loss gained 2299% 473
08-09 with stop loss 10% gained 1330% without stop loss gained 2645% 571
09-10 with stop loss 10% gained 404% without stop loss gained 491% 181
10-11 with stop loss 10% gained 684% without stop loss gained 766% 214



Good Luck,
L.A



jsheetz
23 posts
msg #104560
Ignore jsheetz
1/20/2012 5:48:48 PM

So if you don't use a SL, your only exit is waiting 3 days? No profit stop or exit trigger?

levamit
101 posts
msg #104570
Ignore levamit
1/21/2012 6:09:48 AM

exactly.

fortyfour
185 posts
msg #104571
Ignore fortyfour
1/21/2012 8:31:56 AM

Nice filter,


I added an entry condition to not trade when market is falling hard.
Not always good for a revert to mean strategy as you know.
Less trades = less money and volatility is good but....it is FIT to test well for 2011.

Maybe for an exit try the ma(5) or something like:

"linear regression slope(3) > 0 and
linear regression slope(3) below linear regression slope(3) 1 day ago"
but... now you may need to break it with a stop loss



Fetcher[Stocks Optionable
stocks are not otcbb
stocks are not etf

draw DMA(10)

show stocks where close is above 1
average volume(30) > 1500000
volume > 400000

Parabolic SAR(0.02,0.2) dropped more then 2 percent
Parabolic SAR(0.02,0.2) above close
day position(0.05,1) below day position 1 day ago
do not draw day position(-1.00,5)
CCI(4) < -70
RSI(15) < 25

set{test, count( ind(^IXIC, cci(4)) < -80,1)}
set{test2, count(ind(^IXIC, roc(3)) < -3,1)}
set{do_trade, test * test2}
do_trade < 1

draw roc(3)
]







Statistics Performance Chart Trades Equity Summary new! System Summary Edit Backtests Backtest Forum Help
Approach Information
Approach Name: Defaults
Test started on 01/03/2011 ended on 01/20/2012, covering 264 days
Filter used:
leva (saved filter)



Trade Statistics
There were 93 total stocks entered. Of those, 93 or 100.00% were complete and or 0.00% were open.
Of the 93 completed trades, 64 trades or 68.82%resulted in a net gain.
Your average net change for completed trades was: 5.38%.
The average draw down of your approach was: -7.89%.
The average max profit of your approach was: 13.27%
The Reward/Risk ratio for this approach is: 2.70
Annualized Return on Investment (ROI): 332.30%, the ROI of ^SPX was: 4.30%.

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 (3 days) 93 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period


wkloss
230 posts
msg #104572
Ignore wkloss
1/21/2012 1:57:15 PM

levamit & fortyfour,

Interesting filter and thanks to both of you. I ran each version and had to go back to November 14th to get the most recent trade. Is this normal or was that period an unusual one?

Bill


levamit
101 posts
msg #104573
Ignore levamit
1/21/2012 3:02:51 PM

Hi wkloss,

You can check the historical prices on this link:
http://finance.yahoo.com/q/hp?s=IBM+Historical+Prices

Change the "IBM" symbol as you like .

Regards,
L.A

Kevin_in_GA
4,550 posts
msg #104574
Ignore Kevin_in_GA
1/21/2012 3:19:53 PM

between the years
02-03 with stop loss 10% gained 882% without stop loss gained 923% 144 trades
03-04 with stop loss 10% gained 130% without stop loss gained 123% 36 trades
04-05 with stop loss 10% gained 165% without stop loss gained 172% 47
05-06 with stop loss 10% gained 96% without stop loss gained 112% 46
06-07 with stop loss 10% gained 69% without stop loss gained 230% 62
07-08 with stop loss 10% gained 759% without stop loss gained 2299% 473
08-09 with stop loss 10% gained 1330% without stop loss gained 2645% 571
09-10 with stop loss 10% gained 404% without stop loss gained 491% 181
10-11 with stop loss 10% gained 684% without stop loss gained 766% 214
++++

Are you using the Equity Summary (what you actually made) or the annualized ROI?

Please post the ending Equity summary for any of those periods so that we can understand how much money you actually would have made if you traded this.

Kevin

levamit
101 posts
msg #104575
Ignore levamit
modified
1/21/2012 6:09:15 PM

Hi Kevin,

Is better to use this filter and only for 2 holding days.
Fetcher[
Stocks Optionable
stocks are not otcbb
stocks are not etf
Average Volume(30) above 1000000
volume > 300000
Parabolic SAR(0.02,0.2) dropped more then 2.5 percent
Parabolic SAR(0.02,0.2) above close
day position(0.05,1) below day position 1 day ago
do not draw day position(-1.00,5)
show stocks where close is above 1
CCI(4) < -50
RSI(2) < 5
chart-time 95-days
]


Entry one day after you run the filter at open
Minimum Holding Days: 1
Maximum holding days: 2

Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 2
Maximum Selected Stocks: 1
Close all OPEN positions: Yes
--------------------------------------------------------------------
Test started on 12/31/2009 ended on 12/30/2011, covering 504 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 167 total stocks entered. Of those, 167 or 100.00% were complete and or 0.00% were open.
Of the 167 completed trades, 93 trades or 55.69%resulted in a net gain.
Your average net change for completed trades was: 1.75%.
The average draw down of your approach was: -6.13%.
The average max profit of your approach was: 6.97%
The Reward/Risk ratio for this approach is: 1.61
Annualized Return on Investment (ROI): 217.35%, the ROI of ^SPX was: 5.70%.

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 (2 days) 167 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Total (Cash + Market): $321584.36
---------------------------------------------------------------------------------
Test started on 12/31/2008 ended on 12/31/2010, covering 504 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 175 total stocks entered. Of those, 175 or 100.00% were complete and or 0.00% were open.
Of the 175 completed trades, 97 trades or 55.43%resulted in a net gain.
Your average net change for completed trades was: 2.77%.
The average draw down of your approach was: -7.18%.
The average max profit of your approach was: 8.34%
The Reward/Risk ratio for this approach is: 1.93
Annualized Return on Investment (ROI): 341.56%, the ROI of ^SPX was: 20.20%.

Total (Cash + Market): $710466.60
------------------------------------------------------------------------------
Test started on 12/31/2007 ended on 12/31/2009, covering 505 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 235 total stocks entered. Of those, 235 or 100.00% were complete and or 0.00% were open.
Of the 235 completed trades, 125 trades or 53.19%resulted in a net gain.
Your average net change for completed trades was: 3.81%.
The average draw down of your approach was: -8.91%.
The average max profit of your approach was: 10.93%
The Reward/Risk ratio for this approach is: 1.99
Annualized Return on Investment (ROI): 470.30%, the ROI of ^SPX was: -11.94%.

Total (Cash + Market): $2386816.65
------------------------------------------------------------------
Test started on 12/29/2006 ended on 12/31/2008, covering 504 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 199 total stocks entered. Of those, 199 or 100.00% were complete and or 0.00% were open.
Of the 199 completed trades, 105 trades or 52.76%resulted in a net gain.
Your average net change for completed trades was: 3.10%.
The average draw down of your approach was: -8.91%.
The average max profit of your approach was: 11.14%
The Reward/Risk ratio for this approach is: 1.77
Annualized Return on Investment (ROI): 383.48%, the ROI of ^SPX was: -17.93

Total (Cash + Market): $751497.92
----------------------------------------------------------------------------
Test started on 12/30/2005 ended on 12/31/2007, covering 502 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 90 total stocks entered. Of those, 90 or 100.00% were complete and or 0.00% were open.
Of the 90 completed trades, 51 trades or 56.67%resulted in a net gain.
Your average net change for completed trades was: 1.38%.
The average draw down of your approach was: -6.60%.
The average max profit of your approach was: 8.71%
The Reward/Risk ratio for this approach is: 1.45
Annualized Return on Investment (ROI): 170.97%, the ROI of ^SPX was: 8.39%.

Total (Cash + Market): $159838.17
--------------------------------------------------------------------
Test started on 12/31/2004 ended on 12/29/2006, covering 503 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 65 total stocks entered. Of those, 65 or 100.00% were complete and or 0.00% were open.
Of the 65 completed trades, 48 trades or 73.85%resulted in a net gain.
Your average net change for completed trades was: 3.94%.
The average draw down of your approach was: -3.62%.
The average max profit of your approach was: 7.94%
The Reward/Risk ratio for this approach is: 3.81
Annualized Return on Investment (ROI): 498.63%, the ROI of ^SPX was: 8.29%.

Total (Cash + Market): $335319.29
-------------------------------------------------------------
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 70 total stocks entered. Of those, 70 or 100.00% were complete and or 0.00% were open.
Of the 70 completed trades, 48 trades or 68.57%resulted in a net gain.
Your average net change for completed trades was: 4.26%.
The average draw down of your approach was: -4.19%.
The average max profit of your approach was: 7.57%
The Reward/Risk ratio for this approach is: 5.13
Annualized Return on Investment (ROI): 526.41%, the ROI of ^SPX was: 6.12%.

Total (Cash + Market): $415897.29
------------------------------------------------------------------------------------------

Test started on 12/31/2001 ended on 12/31/2003, covering 504 days
Filter used:
options 2dys o-o (saved filter)

Trade Statistics
There were 153 total stocks entered. Of those, 153 or 100.00% were complete and or 0.00% were open.
Of the 153 completed trades, 85 trades or 55.56%resulted in a net gain.
Your average net change for completed trades was: 1.20%.
The average draw down of your approach was: -8.73%.
The average max profit of your approach was: 8.90%
The Reward/Risk ratio for this approach is: 1.29
Annualized Return on Investment (ROI): 148.31%, the ROI of ^SPX was: -2.07%.

Total (Cash + Market): $188087.48



Kevin_in_GA
4,550 posts
msg #104576
Ignore Kevin_in_GA
1/21/2012 6:20:51 PM

Not bad - but would you really put 50% of your capital into every trade? That would be poor trade management and position sizing.

Not trying to harp on this, but I think it is more reasonable to look at 10 max trades at any time, to have good position sizing.

This is a nice filter. I just want to be sure that people understand the limitations of SF backtesting, and try to focus on the Equity Summary rather than the annualized ROI% (which to me is meaningless).

unbias123
9 posts
msg #104578
Ignore unbias123
1/21/2012 7:31:22 PM

Hi Levamit

Thank you very much for sharing your filter with us.

StockFetcher Forums · Filter Exchange · Buy Stock or call Holding 3 days max filter<< 1 2 3 >>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