StockFetcher Forums · Filter Exchange · Curious who has the best filter so far (holy grail)<< 1 2 3 >>Post Follow-up
psheridan050
52 posts
msg #53018
Ignore psheridan050
7/12/2007 8:34:55 AM

Here is my setup with filter. Not a "Holy Grail" but has a positive expectancy for multiple market conditions. BTW notice it is a short filter in a market that has been mostly bullish for the last few years.


Entry Filter
Short - Tend Following (saved filter)

Basic Setup
Name: Short - Trend Following (31 Dec 02 - 11 Jul 07)
Approach Type: Short
Start Date: 12/31/2002
End Date: 07/11/2007
Benchmark Symbol: ^SPX

Exit Setup
Stop Loss: 9.49%
Profit Stop: 14%
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 1

Extra Indicators
Entry Columns:
Show Performance After: after 1 day
after 2 days
after 3 days
after 4 days
after 5 days


Advanced Options
Selection Method: select by price ascending
Entry Price: Open
Conditional Entry: No
Exit Price: Open
Maximum Trades Per Day: 7
Maximum Open Positions: 7

I either use filters found on StockFetcher and tweaked or my own creations. Each is back tested for as long as SF will let me. Those that dont show consistent gains are deleted.

set{avgliquidity, Price * Average Volume(30)}
set{avgliquiditymil, avgliquidity / 1000000}

set{signtoday, sign(Day Change)}
set{signyesterday, sign(Day Change 1 day ago)}
set{sign2days, signtoday + signyesterday}
set{normalizedsign2days, sign2days / 2}
set{relativechange, Day Change / Average Day Range(30)}
set{consecutivedays, relativechange * normalizedsign2days}
set{baddayprelim, signtoday * signyesterday}
set{badday, baddayprelim - 1}
set{normalizedbadday, badday / 2}
set{nonconsecutivedays, abs(relativechange) * normalizedbadday}
set{alldays, consecutivedays + nonconsecutivedays}
set{dailygainpctavgrange, cma(alldays,100)}
set{consecutiveup100, count(sign2days > 1, 100)}
set{consecutivedown100, count(sign2days < -1, 100)}
set{trendiness100, consecutiveup100 + consecutivedown100}
set{consecutiveup20, count(sign2days > 1, 20)}
set{consecutivedown20, count(sign2days < -1, 20)}
set{trendiness20prelim, consecutiveup20 + consecutivedown20}
set{trendiness20, trendiness20prelim * 5}


avgliquiditymil > 1
Average Day Range(30) > 5


and RSI(2) >= 99
and volume is increasing for 1 day

Average Volume(30) is above 1000000
and close is between 5 and 34

add column avgliquiditymil
add column Average Day Range(30)
add column trendiness100
add column trendiness20
add column dailygainpctavgrange

draw trendiness20
draw cma(trendiness20,10)
draw trendiness100
draw cma(trendiness100,10)
draw dailygainpctavgrange

sort by column 7 descending


Here are the back tests from 31 Dec 02 (the earliest I could make one for) to the current date

Approach Name: Short - Trend Following (31 Dec 02 -31 Dec 04)
Test started on 12/31/2002 ended on 12/31/2004, covering 504 days
Filter used:
Short - Tend Following (saved filter)



Trade Statistics
There were 381 total stocks entered. Of those, 381 or 100.00% were complete and or 0.00% were open.
Of the 381 completed trades, 222 trades or 58.27%resulted in a net gain.
Your average net change for completed trades was: 1.47%.
The average draw down of your approach was: -3.44%.
The average max profit of your approach was: 5.41%
The Reward/Risk ratio for this approach is: 1.88
Annualized Return on Investment (ROI): 426.62%, the ROI of ^SPX was: 18.53%.

Exit Statistics
Stop Loss was triggered 31 times or 8.14% of the time.
Stop Profit was triggered 26 times or 6.82% 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) 324 times or 85.04% of the time.
An exit trigger was executed 0 times or 0.00% of the time.




Approach Information
Approach Name: Short - Trend Following (31 Dec 04 -31 Dec 06)
Test started on 12/31/2004 ended on 12/29/2006, covering 503 days
Filter used:
Short - Tend Following (saved filter)



Trade Statistics
There were 118 total stocks entered. Of those, 118 or 100.00% were complete and or 0.00% were open.
Of the 118 completed trades, 70 trades or 59.32%resulted in a net gain.
Your average net change for completed trades was: 1.05%.
The average draw down of your approach was: -3.63%.
The average max profit of your approach was: 5.30%
The Reward/Risk ratio for this approach is: 1.58
Annualized Return on Investment (ROI): 291.48%, the ROI of ^SPX was: 8.29%.

Exit Statistics
Stop Loss was triggered 9 times or 7.63% of the time.
Stop Profit was triggered 4 times or 3.39% 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) 105 times or 88.98% of the time.
An exit trigger was executed 0 times or 0.00% of the time.




Approach Information
Approach Name: Short - Trend Following (31 Dec 06 -11 July 07)
Test started on 12/29/2006 ended on 07/11/2007, covering 131 days
Filter used:
Short - Tend Following (saved filter)



Trade Statistics
There were 21 total stocks entered. Of those, 20 or 95.24% were complete and 1 or 4.76% were open.
Of the 20 completed trades, 14 trades or 70.00%resulted in a net gain.
Your average net change for completed trades was: 4.01%.
The average draw down of your approach was: -3.93%.
The average max profit of your approach was: 9.00%
The Reward/Risk ratio for this approach is: 4.15
Annualized Return on Investment (ROI): 1416.37%, the ROI of ^SPX was: 12.50%.

Exit Statistics
Stop Loss was triggered 1 times or 5.00% of the time.
Stop Profit was triggered 5 times or 25.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 14 times or 70.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.




I would be happy to talk about this filter and others if anyone is interested.

xxxg0t_ric3xxx
21 posts
msg #53022
Ignore xxxg0t_ric3xxx
7/12/2007 11:53:14 AM

hey, yea um my filter can only do short amount of period of time because I use like top 100 index from ibd, zacks and different top indexes. Since these index updates frequently it will change throughout

xxxg0t_ric3xxx
21 posts
msg #53025
Ignore xxxg0t_ric3xxx
7/12/2007 12:16:11 PM

Um I will keep updating changes and if you want to see for yourself it is bulldriven.blogspot.com

psheridan050
52 posts
msg #53027
Ignore psheridan050
7/12/2007 12:23:17 PM

Ok well then your method makes sense if you only have limited data. The filters posted looked to be cherry picked and therefore suspect. How do you know if your filter will produce results over time and in changing market conditions?

corsino
259 posts
msg #53029
Ignore corsino
7/12/2007 12:40:25 PM

Rather than post backtesting results, it might be a better measure of a filter's quality by posting the filter and it's picks and see how they perform for the NEXT five days or so.

kram1056
21 posts
msg #53030
Ignore kram1056
modified
7/12/2007 12:57:24 PM

Here are the stocks my filter had from yesterday.


BAP
RATE
SPTN
GTI
OMTR
DCP

The ones that would have be entered into today would be

BAP at 62.35
RATE at 49.20
GTI at 17.25
OMTR at 22.60
DCP at 22.50
Lets see how the do the next 4 or 5 days!!

xxxg0t_ric3xxx
21 posts
msg #53032
Ignore xxxg0t_ric3xxx
7/12/2007 1:03:59 PM

Well, the market was pretty horrible the last month or so and it faired pretty well. I am keeping the data as we speak. FTK hit that 5 mark already which I am pretty happy. I only got 2000 dollars with a margin of 4000, I can't be an intraday trader because I still have to go to school and etc. O yea psheridan050 if you can add an extra line to your filter I think it will bring more win/ lose percentage.

corsino
259 posts
msg #53035
Ignore corsino
7/12/2007 1:34:05 PM

Kram
Good start.No disrespect to you or your filter, but it would be better if there were no "yesterdays" nor "would have picked". I think the picks would have to be posted after the close Fridays, and no later than Sunday night, for the following Monday through Friday. Just my suggestions. Any other ideas?

psheridan050
52 posts
msg #53036
Ignore psheridan050
7/12/2007 1:39:41 PM

xxxg0t_ric3xxx what would you suggest I add to the filter to make it better? I appreciate any suggestions which is one of the reasons i posted it in the first place.

xxxg0t_ric3xxx
21 posts
msg #53037
Ignore xxxg0t_ric3xxx
7/12/2007 1:57:25 PM

try adding this to your filter it should bring your ROI and win/lose ratio a little higher Fibonacci Down(65,10)is less than 0.01%. It might cut out some of the picks, but I am more of a conservative type since I can only pick very limited amount of stock.

StockFetcher Forums · Filter Exchange · Curious who has the best filter so far (holy grail)<< 1 2 3 >>Post Follow-up

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