| StockFetcher Forums · Filter Exchange · Filter for Trade!!!! | << >>Post Follow-up |
| 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%
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| 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.
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| 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.
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| 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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| StockFetcher Forums · Filter Exchange · Filter for Trade!!!! | << >>Post Follow-up |
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