StockFetcher Forums · Filter Exchange · EMA Crossover scan<< 1 2 3 >>Post Follow-up
louie6digits
34 posts
msg #98148
Ignore louie6digits
12/21/2010 6:23:07 PM

I get Hernia from reading these posts! Of course it is the same filter... I improved the EXIT Statistics not the TRADE Statistics.
Obviously you want better Trade Statistics. I tried improving the filter, but I don't have enough filters in my tool shed. LOL

miska2
17 posts
msg #98157
Ignore miska2
12/22/2010 1:55:15 PM

IrishPB,

Do you recommend stocks with a lower Beta in general? I know the author of the blog suggested using a lower ATR for swing trading and a higher one for day trading.

irishpitbull
46 posts
msg #98158
Ignore irishpitbull
12/22/2010 2:42:48 PM

For swing trading, I have found that low ATR and Higher beta (Over 1) have been working pretty well. Also higher volume stocks out pace the lower volume. The sweet spot for profits is 5-10 days out from your buy point.

Also stocks that have a high percentage move have done better than lower.

miska2
17 posts
msg #98159
Ignore miska2
12/22/2010 3:52:28 PM

Thanks for the info!

irishpitbull
46 posts
msg #98192
Ignore irishpitbull
12/24/2010 5:52:57 PM

I updated the scan with the new beta info. It back tested much better that before. The newest filter is in the 1st post.

There were 17 total stocks entered. Of those, 15 or 88.24% were complete and 2 or 11.76% were open.
Of the 15 completed trades, 13 trades or 86.67%resulted in a net gain.
Your average net change for completed trades was: 3.08%.
The average draw down of your approach was: -1.59%.
The average max profit of your approach was: 4.85%
The Reward/Risk ratio for this approach is: 7.63
Annualized Return on Investment (ROI): 278.03%, the ROI of ^SPX was: 38.97%.

duke56468
683 posts
msg #98342
Ignore duke56468
modified
12/31/2010 2:30:59 PM

louie6digits....would the exit trigger for a short look like this "Linear Regression Slope(10) below -0.15"?

lookrei
7 posts
msg #98354
Ignore lookrei
1/1/2011 3:08:35 PM

StockFetcher Setup from filtering Wall Street:

http://filteringwallstreet.blogspot.com/2007/05/stockfetcher-setup.html

wkloss
230 posts
msg #98453
Ignore wkloss
1/6/2011 12:09:57 AM

lookrei

Is the filter supposed to be on the page where the link takes you? I didn't see it.

Bill

lookrei
7 posts
msg #98458
Ignore lookrei
1/6/2011 5:12:02 AM

Bill
here the original ema crossover backtesting setup from the blog:

Entry filter:
show stocks where
close is between 15 and 35 and
average volume(90) > 500000 and
open < ema(21) and
open < ema(8) and
open < ema(4) and
close > ema(21) and
close > ema(4) and
close > ema(8) and
close > open and
close 3 days ago < ema(21) and
close 5 days ago < close 3 days ago and
close 5 days ago < ema(90)

Stopp loss: 8%
Minimum Holding Days: 1
Maximum holding days: 4
Exit Trigger #1: close 1 day ago > close 2 days ago and close > close 1 day ago
Selection Method: select by atr(10) asccending
Entry Price: open
Exit Price: close
Maximum Trades Per Day: 1
Maximum Open Positions: 4

backtest results for the last 2 years:
There were 328 total stocks entered. Of those, 324 or 98.78% were complete and 4 or 1.22% were open.
Of the 324 completed trades, 207 trades or 63.89%resulted in a net gain.
Your average net change for completed trades was: 0.93%.
The average draw down of your approach was: -2.67%.
The average max profit of your approach was: 3.12%
The Reward/Risk ratio for this approach is: 1.76
Annualized Return on Investment (ROI): 72.73%, the ROI of ^SPX was: 20.20%.

Log File: Backtest Estimated Equity (compounded)
Name: EMA crossover
Initial portfolio Size: $100000.00
Maximum Open Positions: 4
Initial transaction size: $25000.00
Start Date: 01/02/09
End Date: 12/31/10
# Trading Days: 503

Running Gain/(Loss) : $108336.88
Total (Cash + Market): $208336.88

regards from Germany
Reiner

wkloss
230 posts
msg #98513
Ignore wkloss
1/9/2011 8:55:11 PM

Reiner,

Thanks

Bill

StockFetcher Forums · Filter Exchange · EMA Crossover scan<< 1 2 3 >>Post Follow-up

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