StockFetcher Forums · Filter Exchange · CLICKABLE FILTERS<< 1 2 3 4 >>Post Follow-up
corsino
259 posts
msg #35808
Ignore corsino
4/30/2005 1:02:55 AM

Since I have posted several filters on a couple of different threads, I thought I'd consolidate them here. I have no "Secret" filters. I may, from time to time, post filters that seem promising and probably can be improved. I encourage others to post their clickable filters here too. After all, this is a Filter Exchange Forum. I doubt that revealing our heretofore "Secret Filters" will have any impact on the overall market , but may be of help to others on this Forum.Results that I may post are actual results obtained for a 5-day hold period.

FILTER M100:

Fetcher[Show stocks where volume is above 300000
and close is near bottom of linear regression line (45, 1.0)
and rsi(2) is equal to rsi(2) 200 day low
and 2 day slope of cog (3) is greater than 0
and price is between 0.5 and 3
]






Approach Information
Approach Name: M100- BRL/ RSI (2)/COG (3)
Test started on 12/31/2004 ended on 04/28/2005, covering 81 days
Filter used:
M100- BRL/ RSI (2)/COG (3) (saved filter)

Trade Statistics
There were 23 total stocks entered. Of those, 23 or 100.00% were complete and or 0.00% were open.
Of the 23 completed trades, 16 trades or 69.57%resulted in a net gain.
Your average net change for completed trades was: 8.07%.
The average draw down of your approach was: -8.76%.
The average max profit of your approach was: 15.39%
The Risk/Reward ratio for this approach is: 4.15
Annualized Return on Investment (ROI): 398.79%, the ROI of ^IXIC was: -38.46%.

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 (5 days) 23 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:161117721
Losers:7126131310
Win/Loss Ratio:2.29:10.92:12.83:10.54:10.15:10.10:1
Net Change:8.07%4.35%7.19%4.21%-1.78%-9.43%

Statistics By Variable: Match Price
 <0.6<0.9<1.2<1.5<1.8<2.1<2.4<2.7<3<3.3
Completed1:12:04:11:11:10:25:0-2:1-
2 day chg2:00:23:21:11:10:22:3-2:1-
5 day chg1:12:04:11:12:00:25:0-2:1-
10 day chg1:11:11:30:11:10:22:2-1:2-
25 day chg1:10:10:20:10:20:10:4-1:1-
40 day chg0:10:10:10:10:1-0:4-1:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed14:6--1:01:0--0:1--
2 day chg8:12--1:01:0--1:0--
5 day chg14:6--1:01:0--1:0--
10 day chg6:11--0:11:0--0:1--
25 day chg2:10--0:10:1--0:1--
40 day chg1:7--0:10:1--0:1--



corsino
259 posts
msg #35809
Ignore corsino
4/30/2005 1:17:09 AM

M15 FILTER :

Fetcher[Show stocks where volume is above 100000
and rsi(2) is less than 1
and close has decreased over 10% from 1 day ago
and 2 day slope of cog(3) is greater than 0
and price is between 0.5 and 3
]




Approach Information
Approach Name: M 15 - COG>0 + 10 % DECREASE/ RSI 1
Test started on 12/31/2004 ended on 04/29/2005, covering 82 days
Filter used:
M 15 - COG>0 + 10 % DECREASE/ RSI 1 (saved filter)

Trade Statistics
There were 34 total stocks entered. Of those, 34 or 100.00% were complete and or 0.00% were open.
Of the 34 completed trades, 16 trades or 47.06%resulted in a net gain.
Your average net change for completed trades was: 9.85%.
The average draw down of your approach was: -7.95%.
The average max profit of your approach was: 18.64%
The Risk/Reward ratio for this approach is: 3.93
Annualized Return on Investment (ROI): 486.46%, the ROI of ^IXIC was: 0.00%.

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 (5 days) 34 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:16232016104
Losers:181113171511
Win/Loss Ratio:0.89:12.09:11.54:10.94:10.67:10.36:1
Net Change:9.85%4.89%9.94%9.27%6.01%-4.28%

Statistics By Variable: Match Price
 <0.6<0.9<1.2<1.5<1.8<2.1<2.4<2.7<3<3.3
Completed3:25:22:31:51:21:12:0-1:3-
2 day chg5:06:13:23:32:11:11:1-2:2-
5 day chg4:16:12:22:42:11:12:0-1:3-
10 day chg4:15:22:31:41:21:11:1-1:3-
25 day chg3:12:20:31:31:20:11:1-2:2-
40 day chg1:21:10:10:31:10:10:1-1:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed14:16-1:0-1:1--0:1--
2 day chg20:10-1:0-1:1--1:0--
5 day chg17:12-1:0-1:1--1:0--
10 day chg14:15-1:0-1:1--0:1--
25 day chg9:13-1:0-0:1--0:1--
40 day chg4:9---0:1--0:1--



corsino
259 posts
msg #35810
Ignore corsino
4/30/2005 1:46:22 AM

This version gives more picks:

M14.5

Fetcher[Show stocks where volume is above 100000
and rsi(2) is less than 1
and close decreased over 10% from 1 day ago
and price is between 0.5 and 3
]




Approach Information
Approach Name: M 14.5 - 10 % DECREASE/ RSI 1
Test started on 12/31/2004 ended on 04/29/2005, covering 82 days
Filter used:
M 14.5 - 10 % DECREASE/ RSI 1 (saved filter)

Trade Statistics
There were 57 total stocks entered. Of those, 52 or 91.23% were complete and 5 or 8.77% were open.
Of the 52 completed trades, 28 trades or 53.85%resulted in a net gain.
Your average net change for completed trades was: 7.80%.
The average draw down of your approach was: -9.03%.
The average max profit of your approach was: 18.49%
The Risk/Reward ratio for this approach is: 2.82
Annualized Return on Investment (ROI): 385.43%, the ROI of ^IXIC was: 0.00%.

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 (5 days) 52 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:28383225169
Losers:241820232014
Win/Loss Ratio:1.17:12.11:11.60:11.09:10.80:10.64:1
Net Change:7.80%6.01%5.49%8.25%3.67%-1.08%

Statistics By Variable: Match Price
 <0.6<0.9<1.2<1.5<1.8<2.1<2.4<2.7<3<3.3
Completed3:28:53:53:62:11:26:01:01:3-
2 day chg5:112:24:45:52:12:15:21:02:2-
5 day chg4:110:33:44:52:11:26:11:01:3-
10 day chg4:17:44:43:51:21:24:10:11:3-
25 day chg3:14:31:41:61:21:13:1-2:2-
40 day chg1:22:21:21:31:11:11:2-1:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed22:223:01:0-1:10:1-1:0--
2 day chg31:173:01:0-1:11:0-1:0--
5 day chg26:183:01:0-1:10:1-1:0--
10 day chg21:202:01:0-1:10:1-0:1--
25 day chg13:181:01:0-1:1--0:1--
40 day chg8:111:0--0:2--0:1--



cjust
5 posts
msg #35818
Ignore cjust
4/30/2005 8:40:32 PM

corsino,
I'm curious what you used for your backtesting. I ran that same filter and then backtested it with what I thought were the same criteria you used, but some how I got fairly different results.
This was the filter:
Show stocks where volume is above 300000
and close is near bottom of linear regression line (45, 1.0)
and rsi(2) is equal to rsi(2) 200 day low
and 2 day slope of cog (3) is greater than 0
and price is between 0.5 and 3

For backtesting, I used the default entry and I used a 5 day hold for the exit with no stop/loss. My results are below, any idea what I'm doing differently?




Approach Information
Approach Name: RSI(2) 200 Day Low
Test started on 12/31/2004 ended on 04/28/2005, covering 81 days
Filter used:
Show stocks where volume is above 300000
and close is near bottom of linear regression line (45, 1.0)
and rsi(2) is equal to rsi(2) 200 day low
and 2 day slope of cog (3) is greater than 0
and price is between 0.5 and 3

Trade Statistics
There were 55 total stocks entered. Of those, 53 or 96.36% were complete and 2 or 3.64% were open.
Of the 53 completed trades, 33 trades or 62.26%resulted in a net gain.
Your average net change for completed trades was: 5.46%.
The average draw down of your approach was: -8.11%.
The average max profit of your approach was: 13.20%
The Risk/Reward ratio for this approach is: 2.87
Annualized Return on Investment (ROI): 269.83%, the ROI of ^SPX was: -17.67%.

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 (5 days) 53 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:33333524116
Losers:182218222520
Win/Loss Ratio:1.83:11.50:11.94:11.09:10.44:10.30:1
Net Change:5.46%3.89%4.52%2.08%-1.33%-3.53%

Statistics By Variable: Match Price
 <0.6<0.9<1.2<1.5<1.8<2.1<2.4<2.7<3<3.3
Completed1:25:16:45:41:23:47:01:04:1-
2 day chg4:03:47:35:41:34:34:31:04:2-
5 day chg2:25:26:35:42:23:47:01:04:1-
10 day chg1:35:24:54:32:13:34:2-1:3-
25 day chg2:22:41:51:51:22:11:4-1:2-
40 day chg1:10:32:30:51:10:11:4-1:2-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed27:173:0-1:02:0--0:1--
2 day chg26:213:1-1:02:0--1:0--
5 day chg27:184:0-1:02:0--1:0--
10 day chg20:192:1-0:12:0--0:1--
25 day chg10:201:2-0:10:1--0:1--
40 day chg6:160:1-0:10:1--0:1--



cjust
5 posts
msg #35819
Ignore cjust
4/30/2005 8:52:10 PM

This filter isn't mine. It came from NickL on the Bactesting Support forum. From an ROI standpoint, it has backtested really well - in part b/c of the quick turn time.

Fetcher[
count(RSI(2) 1 day ago above 99,60) is above 0
RSI(2) is below 5
close one day ago more than 10% below close 2 day ago
close more than 5% below close 1 day ago and
average volume(90) is above 100000 and
CLOSE ABOVE 1
]



Best backtest results came from a 1 day hold, 10% Stop Loss, 10% Profit Stop. A 4 day hold gets this up to a 65% positive.


Approach Information
Approach Name: RSI (10% stop loss, 10% stop gain 1 days)
Test started on 04/21/2004 ended on 04/21/2005, covering 252 days
Filter used:
RSI (saved filter)

Trade Statistics
There were 143 total stocks entered. Of those, 143 or 100.00% were complete and or 0.00% were open.
Of the 143 completed trades, 90 trades or 62.94%resulted in a net gain.
Your average net change for completed trades was: 2.55%.
The average draw down of your approach was: -5.33%.
The average max profit of your approach was: 8.88%
The Risk/Reward ratio for this approach is: 2.21
Annualized Return on Investment (ROI): 1153.33%, the ROI of ^SPX was: 3.66%.

Exit Statistics
Stop Loss was triggered 19 times or 13.29% of the time.
Stop Profit was triggered 46 times or 32.17% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 78 times or 54.55% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:908083695852
Losers:516158687676
Win/Loss Ratio:1.76:11.31:11.43:11.01:10.76:10.68:1
Net Change:2.55%4.15%3.93%0.67%0.02%-1.34%

Statistics By Variable: Match Price
 <1<2<3<4<5<6<7<8<9<10
Completed2:129:1814:1115:49:67:86:28:1--
2 day chg1:330:1813:1214:46:96:84:46:3--
5 day chg2:227:2015:1013:67:89:55:35:4--
10 day chg2:223:2113:129:96:96:95:35:3--
25 day chg1:322:2010:156:115:104:114:46:2--
40 day chg3:119:248:165:115:94:73:55:3--

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed81:443:44:10:1-0:1-1:0-1:0
2 day chg70:554:34:10:1-0:1-1:0-1:0
5 day chg75:505:22:30:1-0:1-0:1-1:0
10 day chg63:591:52:30:1-1:0-1:0-1:0
25 day chg52:663:42:30:1-0:1-1:0-0:1
40 day chg46:683:32:30:1-0:1-1:0--



corsino
259 posts
msg #35823
Ignore corsino
4/30/2005 10:25:13 PM

cjust
The problem with the M100 filter seems to be a syntax error on the linear regression line. I tried retyping it twice. Once it backtested similar to your results, the other time it was similar to my results.
The filter you posted shows a fantastic ROI result and good gain/loss percentage!
Since it's for 1-day hold and a price range of 1 and up, I'll modify it for a 5-day hold and a price range similar to my filters and see what it does. The only reason I'll do that, is to see if it's adaptable to my style of swing trading. But I can't argue with the results as it is written now.
Thanks for posting it.


corsino
259 posts
msg #35824
Ignore corsino
4/30/2005 11:14:20 PM

cjust
This just goes to prove that it's how you intend to use a filter.
I clicked on your filter as is, and backtested it from the period of beginning- of-year to 4/29/05, using the 5-day holding period as my other filters, no stops at all.The results were : 28 stocks, 49% gain/51% loss, ROI 83.88%.
So I think it probably is a very good filter for daytrading, where the stock is held for 1 day only.


corsino
259 posts
msg #35831
Ignore corsino
5/1/2005 3:36:55 PM

As Cjust showed with the filter he posted,it is possible to write filters that backtest with ROI's over 1000%. This is another example. The results are for a two-day hold, with no stops. Even a 5-day hold period results in over 900% ROI.
I should note, that the higher ROI percentage filters have correspondingly fewer picks, but it may be worthwhile running the filters.


Approach Information
Approach Name: M15.2 -RSI(2) <1 / COG(3) >1/ 10% DROP
Test started on 12/31/2004 ended on 04/29/2005, covering 82 days
Filter used:
M15.2 -RSI(2) <1 / COG(3) >1/ 10% DROP (saved filter)

Trade Statistics
There were 15 total stocks entered. Of those, 15 or 100.00% were complete and or 0.00% were open.
Of the 15 completed trades, 9 trades or 60.00%resulted in a net gain.
Your average net change for completed trades was: 9.00%.
The average draw down of your approach was: -5.25%.
The average max profit of your approach was: 14.08%
The Risk/Reward ratio for this approach is: 5.84
Annualized Return on Investment (ROI): 1110.92%, the ROI of ^IXIC was: -35.57%.

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) 15 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:9119653
Losers:445873
Win/Loss Ratio:2.25:12.75:11.80:10.75:10.71:11.00:1
Net Change:9.00%9.25%18.09%15.51%21.23%3.00%

Statistics By Variable: Match Price
 <0.6<0.9<1.2<1.5<1.8<2.1<2.4<2.7<3<3.3
Completed2:13:11:21:0--1:0-1:0-
2 day chg4:03:11:21:1--1:0-1:0-
5 day chg3:13:11:11:1--1:0-0:1-
10 day chg3:12:21:20:1--0:1-0:1-
25 day chg3:12:00:30:1--0:1-0:1-
40 day chg2:21:00:1-------

Statistics By Variable: Average Volume
 <1000000<2.0M<3.0M<4.0M<5.0M<6.0M<7.0M<8.0M<9.0M<10.0M
Completed7:41:0---1:0----
2 day chg9:41:0---1:0----
5 day chg8:5----1:0----
10 day chg5:70:1---1:0----
25 day chg4:60:1---1:0----
40 day chg2:20:1---1:0----



trek
72 posts
msg #35838
Ignore trek
5/1/2005 11:31:43 PM

I didn't come up with this filter, it came from someone on stockfetcher about a year ago. It is run with 25% stop loss and 4 day hold.

It gives a low win/loss percentage, but every timeframe I've run has a good ROI%. For the ROI% to be this much with such a low win%, I thought if someone can find a way to "tweak" it to get a better win/loss %, the ROI% may increase drastically.

Trek

Approach Information
Approach Name: stocks ready to grow
Test started on 12/31/2004 ended on 04/29/2005, covering 82 days
Filter used:
low reached a new 1 year low within the last 6 month and low is below 1 and trix histogram(6,6) has been increasing over the last 1 day and close divided by 1-year low is below 2 and close divided by 1-year low had been above 1.1 for the last 12 weeks AND VOLUME IS GREATER THAN 25000

Trade Statistics
There were 242 total stocks entered. Of those, 237 or 97.93% were complete and 5 or 2.07% were open.
Of the 237 completed trades, 71 trades or 29.96%resulted in a net gain.
Your average net change for completed trades was: 2.67%.
The average draw down of your approach was: -9.25%.
The average max profit of your approach was: 13.93%
The Risk/Reward ratio for this approach is: 1.50
Annualized Return on Investment (ROI): 165.88%, the ROI of ^SPX was: -14.07%.

Exit Statistics
Stop Loss was triggered 10 times or 4.22% 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 (4 days) 227 times or 95.78% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:717568737159
Losers:149128145137132118
Win/Loss Ratio:0.48:10.59:10.47:10.53:10.54:10.50:1
Net Change:2.67%1.90%3.09%9.43%13.07%11.34%

Statistics By Variable: Match Price
 <0.1<0.2<0.3<0.4<0.5<0.6<0.7<0.8<0.9<1
Completed7:115:95:85:55:129:2510:234:84:1617:32
2 day chg7:97:76:33:53:1411:1912:184:85:1717:28
5 day chg7:75:96:53:54:138:258:255:75:1717:32
10 day chg10:77:56:83:64:117:218:262:104:1722:26
25 day chg8:116:95:92:64:1311:196:242:97:1220:20
40 day chg6:146:105:82:84:1311:144:182:37:812:22

Statistics By Variable: Average Volume
 <1.5M<3.0M<4.5M<6.0M<7.5M<9.0M<10.5M<12.0M<13.5M<15.0M
Completed61:1427:41:3---1:0-1:0-
2 day chg68:1205:51:2---0:1-1:0-
5 day chg62:1375:40:3---0:1-1:0-
10 day chg65:1296:40:4---1:0-1:0-
25 day chg65:1204:70:5---1:0-1:0-
40 day chg56:1051:80:5---1:0-1:0-



corsino
259 posts
msg #35840
Ignore corsino
5/2/2005 12:04:02 AM

I just realized that I posted the results of my M15.2 filter that gave over 1100% ROI for a two-day hold (over 900% for 5-day hold),but neglected to provide the filter. This is it:

The +1000 % ROI filter:

Fetcher[Show stocks where volume is above 100000
and rsi(2) is less than 1
and close has decreased over 10% from 1 day ago
and 2 day slope of cog(3) is greater than 1
and price is between 0.5 and 3
]






StockFetcher Forums · Filter Exchange · CLICKABLE FILTERS<< 1 2 3 4 >>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