StockFetcher Forums · Filter Exchange · Fibonacci screen<< 1 2 3 >>Post Follow-up
7 posts
msg #30945
Ignore badboy9
2/2/2004 7:15:16 PM

Just curious, Ive never used Fibonacci bands at all. In a stock channel they were talking about a guy who uses the parameters of 12,21,34,55,89 and 144 and does real well. Any clue about these, how they work or if you can develop a screen using them? Id like to see what a screen comes up with and track how well it does.

msg #46825
Ignore __fetcheruser123
9/10/2006 1:45:12 AM

1,1,2,3,5,8,13,21,34,55,89, and 144 are part of the Fibonacci sequence...

msg #46826
Ignore __fetcheruser123
9/10/2006 2:10:05 AM

All the numbers in this backtest are represented in the Fibonacci sequence...

Approach Information
Approach Name: Fibonacci Down(55,34) is near 0.05 and date offset...
Test started on 09/08/2004 ended on 09/08/2006, covering 505 days
Filter used:
Fibonacci Down(55,13) is near 0.055
rsi(2) < 2

volume > 2178309
average volume (89) > 317811

Trade Statistics
There were 97 total stocks entered. Of those, 97 or 100.00% were complete and or 0.00% were open.
Of the 97 completed trades, 56 trades or 57.73%resulted in a net gain.
Your average net change for completed trades was: 1.70%.
The average draw down of your approach was: -2.21%.
The average max profit of your approach was: 2.49%
The Reward/Risk ratio for this approach is: 3.37
Annualized Return on Investment (ROI): 421.12%, the ROI of ^SPX was: 7.75%.

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 (1 days) 97 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
Win/Loss Ratio:1.40:11.40:11.74:11.69:11.29:11.68:1
Net Change:1.70%1.70%1.78%2.48%4.20%5.70%

Statistics By Variable: Match Price
2 day chg56:39--------0:1
5 day chg60:35--------1:0
10 day chg60:36--------1:0
25 day chg52:41--------1:0
40 day chg56:34--------1:0

Statistics By Variable: Average Volume
2 day chg41:2911:61:12:10:3---1:0-
5 day chg41:2914:31:12:12:1---1:0-
10 day chg42:2914:32:02:11:2---0:1-
25 day chg38:3011:61:12:11:2---0:1-
40 day chg40:2512:52:02:11:2---0:1-

6,358 posts
msg #46829
Ignore TheRumpledOne
9/10/2006 8:47:34 AM

I don't understand...

The performance graph shows the S&P beat the filter.

But "Annualized Return on Investment (ROI): 421.12%, the ROI of ^SPX was: 7.75%." says the filter beat the S&P.

Please explain.

msg #46845
Ignore __fetcheruser123
9/11/2006 9:58:23 AM

TRO, that part of the graph is jacked up. I don't know why SF shows it like it does...

6,358 posts
msg #46854
Ignore TheRumpledOne
9/11/2006 8:08:48 PM


It's funny, I still can't figure out how the backtest works here.

But I look at things differently, so it doesn't matter.

msg #46879
Ignore __fetcheruser123
9/12/2006 12:24:36 PM

How do you look at things, TRO?

6,358 posts
msg #46894
Ignore TheRumpledOne
9/12/2006 7:23:12 PM

When most people look at a backtest they look at profit/loss and drawdown.

All I care about is RUN UP!!

I want entries that give me an OPPORTUNITY to TAKE PROFIT.

That's all that matters to me.

Statistically based entries that give me an edge.

Just like the FADE THE GAP STATISTICS FILTER I posted for everyone to benefit from. That's all you need to get rich.

The casino build tall buildings by having an edge of less than .01

Check out the edge of the FADE THE GAP STATISTICS FILTER.

msg #46923
Ignore __fetcheruser123
9/14/2006 3:15:21 PM

I'm not sure I follow, TRO. What is run up? Could you give me an example?

983 posts
msg #46995
9/16/2006 5:32:37 PM

Chris...are you kidding us? "RUN UP" quite simply means price moving "up." like from $1 to $2. Are you with us here?

TRO is trying to tell you just like I tell others that "backtesting" is a joke here at SF. Who cares about "backtesting" when the price runs up AND down? You ALWAYS take profits when a security is on it's way up right? So what does "backtesting" even do for you or anyone for that matter?

IMO it's a big waste of time.


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