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psheridan050
52 posts
msg #47230
Ignore psheridan050
9/29/2006 10:13:24 AM


I have a filter for trade. Anyone interested in trading this short filter for a long one, keep reading.

Some stuff about this filter:

Entries:
Stocks are between $5.50 and $24.00 close
Average Volume(30) is above 1,000,000
Select by price ascending
Buy on the open
Buy a max of 7 per day. Hold a max of 7

Exits:
14% Profit Stop
9.49% Stop Loss
Sell the next day on the close (1 day hold)


I back tested this filter over 4 years (2 different back tests because of a Stock Fetcher’s limitations) and came up with what I imagine are good results. There aren’t very many trades per year with this thing, but the return is pretty nice. I designed this filter with a 50k account in mind (200k with margin) trading 1,000 shares per trade. This would allow me to make every trade (Buy a max of 7 per day. Hold a max of 7) without incurring any type of margin call do to losses. I put the 4 years of trades into excel and made some calculations and came up with $111,320.00 profit. Add commission and slippage to that and it comes to $97,244.00 ($16.00 for commission and $20.00 for Slippage per round trip trade). Maybe some people wouldn’t think this profit is a lot for 4 years, but I would be happy to have made this (if my math is correct, and I think it was). If it was more aggressively traded, it would have brought even more profits in. I also believe that this filter can be made more efficient if/when I translate it over to TradeStation’s Easylanguage.

Some more tidbits about trades:
Largest winning trade was $4,774.00
Largest losing trade was $2,226.00
Average winning trade was $420.00
Average losing trade was $140.00

43 trades made more than $1,000.00. Of those 43, 8 made more than $2,000.00, 4 made more than $3,000.00, and 1 made more than $4,000.00.

14 trades lost more than $1,000.00. Of those 14, 2 lost more then $2,000.00.




I can’t see any real flaws in this filter, except for the limited amounts of trades it makes (391 over 4 years). Incidentally, if someone does see a problem with this filter, please let me know your opinions. When I do translate this to Easylanguage, I am going to see what kind of performance I get when I use intraday charts. Ill have to come up with a new exit strategy though, because 1 bar then sell isn’t going to cut it.

Anyways I am willing to trade this filter in exchange for a similar filter that goes LONG.


Here are the results of the first back test (2002 – 2004) results. The results for 2004 – 2006 are further down:

Approach Information
Approach Name: No Slope (Sept 10 2002 - Sept 10 2004)
Test started on 09/10/2002 ended on 09/10/2004, covering 504 days

Trade Statistics
There were 197 total stocks entered. Of those, 197 or 100.00% were complete and or 0.00% were open.
Of the 197 completed trades, 130 trades or 65.99%resulted in a net gain.
Your average net change for completed trades was: 2.51%.
The average draw down of your approach was: -2.52%.
The average max profit of your approach was: 4.59%
The Reward/Risk ratio for this approach is: 2.86
Annualized Return on Investment (ROI): 717.51%, the ROI of ^SPX was: 11.99%.

Exit Statistics
Stop Loss was triggered 11 times or 5.58% of the time.
Stop Profit was triggered 16 times or 8.12% 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) 170 times or 86.29% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
Completed
Winners: 130
Losers: 65
Win/Loss Ratio: 2.00:1
Net Change: 2.51%



 
Approach Information
Approach Name: No Slope (Sept 10 2004 - Sept 11 2006)
Test started on 09/10/2004 ended on 09/11/2006, covering 504 days
Filter used:
1 day reversal - No Slope (Short) (saved filter)

Trade Statistics
There were 194 total stocks entered. Of those, 194 or 100.00% were complete and or 0.00% were open.
Of the 194 completed trades, 133 trades or 68.56%resulted in a net gain.
Your average net change for completed trades was: 2.04%.
The average draw down of your approach was: -1.67%.
The average max profit of your approach was: 3.13%
The Reward/Risk ratio for this approach is: 3.95
Annualized Return on Investment (ROI): 524.49%, the ROI of ^SPX was: 7.94%.

Exit Statistics
Stop Loss was triggered 1 times or 0.52% of the time.
Stop Profit was triggered 7 times or 3.61% 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) 186 times or 95.88% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg3 day chg4 day chg5 day chg10 day chg
Winners:1336163738880
Losers:60132128120104113
Win/Loss Ratio:2.22:10.46:10.49:10.61:10.85:10.71:1
Net Change:2.04%-1.69%-1.20%-0.94%-0.41%0.09%

Statistics By Variable: Match Price
 <6<8<10<12<14<16<18<20<22<24
Completed12:114:316:711:611:78:814:718:913:616:6
2 day chg1:123:148:156:117:118:87:149:186:136:16
3 day chg3:95:128:155:127:118:86:167:187:127:15
4 day chg4:94:139:146:119:95:119:1311:157:129:13
5 day chg6:75:1213:108:911:76:1010:1212:157:1110:11
10 day chg5:85:1211:112:1511:77:910:1215:124:1510:12

Statistics By Variable: Average Volume
 <15.0M<30.0M<45.0M<60.0M<75.0M<90.0M<105.0M<120.0M<135.0M<150.0M
Completed129:581:0-0:2--1:0-2:0-
2 day chg59:1280:1-2:0--0:1-0:2-
3 day chg61:1240:1-1:1--1:0-0:2-
4 day chg70:1170:1-1:1--1:0-1:1-
5 day chg85:1010:1-1:1--1:0-1:1-
10 day chg78:1090:1-1:1--1:0-0:2-



psheridan050
52 posts
msg #47232
Ignore psheridan050
9/29/2006 12:23:33 PM

Below is the same filter, except the dates are from 11 September 06 to today, 29 September 06. No other changes were made.

Incidently, I first made this filter for 2004 to 2006. I backtested it agasint 2002 - 2004 as out of sample data. As can be seen in my last post it did pretty good.

 
Approach Information
Approach Name: No Slope OOS (Sept 11 2006 - Sept 29 2006)
Test started on 09/11/2006 ended on 09/29/2006, covering 14 days
Filter used:
1 day reversal - No Slope (Short) (saved filter)

Trade Statistics
There were 8 total stocks entered. Of those, 8 or 100.00% were complete and or 0.00% were open.
Of the 8 completed trades, 6 trades or 75.00%resulted in a net gain.
Your average net change for completed trades was: 1.00%.
The average draw down of your approach was: -0.61%.
The average max profit of your approach was: 1.13%
The Reward/Risk ratio for this approach is: 11.22
Annualized Return on Investment (ROI): 246.07%, the ROI of ^SPX 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 (1 days) 8 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 chg3 day chg4 day chg5 day chg10 day chg
Winners:620233
Losers:268530
Win/Loss Ratio:3.00:10.33:10.00:10.40:11.00:10.00:1
Net Change:1.00%-1.00%-1.48%-0.78%-0.38%0.71%

Statistics By Variable: Match Price
 <15<16<17<18<19<20<21<22<23<24
Completed1:1---1:01:11:02:0--
2 day chg1:1---0:11:10:10:2--
3 day chg0:2---0:10:20:10:2--
4 day chg0:2----1:10:11:1--
5 day chg2:0----0:10:11:1--
10 day chg-----2:0-1:0--

Statistics By Variable: Average Volume
 <2.5M<5.0M<7.5M<10.0M<12.5M<15.0M<17.5M<20.0M<22.5M<25.0M
Completed3:21:0---1:0---1:0
2 day chg2:30:1---0:1---0:1
3 day chg0:50:1---0:1---0:1
4 day chg2:30:1---0:1----
5 day chg2:21:0---0:1----
10 day chg3:0---------



elroz
26 posts
msg #47233
Ignore elroz
9/29/2006 5:12:44 PM

psheridan050;

Be careful, and don't fall into the trap I did. I have created many filters which performed very well ON PAPER. When shorting stocks, it's hard to get the opening print, and the slippage you are allowing is way to small. An average gain of 1-2% with the amount of risk you are allowing makes no sense to me. But if you are looking for a good long filter with a 1-2 day hold and good results, try this one.

Attached is it's performance YTD


set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}
Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40

And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
And not nasdaq


Stop loss - 3%
hold 1 day
exit on close

Please put in the parameters you like.

Now that you have one of mine, let's see yours. I'm sure someone can create a better filter from it.

 
Approach Information
Approach Name: rsi(2) 1 day hold
Test started on 01/03/2006 ended on 09/28/2006, covering 186 days
Filter used:
set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}

Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40


And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
And not nasdaq



Trade Statistics
There were 95 total stocks entered. Of those, 95 or 100.00% were complete and or 0.00% were open.
Of the 95 completed trades, 66 trades or 69.47%resulted in a net gain.
Your average net change for completed trades was: 2.60%.
The average draw down of your approach was: -1.49%.
The average max profit of your approach was: 2.31%
The Reward/Risk ratio for this approach is: 4.10
Annualized Return on Investment (ROI): 733.98%, the ROI of ^SPX was: 9.24%.

Exit Statistics
Stop Loss was triggered 12 times or 12.63% 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) 83 times or 87.37% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Winners:666271696261
Losers:293324253029
Win/Loss Ratio:2.28:11.88:12.96:12.76:12.07:12.10:1
Net Change:2.60%0.77%3.04%3.37%2.34%2.50%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed13:214:1117:915:55:22:0----
1 day chg11:417:814:1214:64:32:0----
2 day chg13:216:919:716:45:22:0----
3 day chg11:418:619:715:54:32:0----
4 day chg9:416:919:712:74:32:0----
5 day chg8:417:819:713:52:52:0----

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
Completed34:2017:54:16:12:12:1--1:0-
1 day chg32:2216:64:15:22:12:1--1:0-
2 day chg35:1920:25:06:12:12:1--1:0-
3 day chg32:2121:15:05:22:13:0--1:0-
4 day chg31:2017:55:05:22:12:1--0:1-
5 day chg32:1716:65:05:22:11:2--0:1-

Statistics By Variable: RSI(2) + +DI(14) - (-DI(14))
 <-40<-35<-30<-25<-20<-15<-10<-5<0<5
Completed1:01:210:317:312:811:84:38:22:0-
1 day chg1:02:110:315:512:810:95:25:52:0-
2 day chg1:02:111:218:213:711:85:28:22:0-
3 day chg1:02:17:615:515:513:65:29:02:0-
4 day chg1:02:17:610:813:713:65:19:12:0-
5 day chg1:02:18:59:912:714:45:18:22:0-



elroz
26 posts
msg #47234
Ignore elroz
9/29/2006 5:47:26 PM

sorry everyone, stop loss on the above filter should be 3.5%. Is there a way to edit your posts??


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