StockFetcher Forums · Filter Exchange · Filters/Systems For Automated Trading<< >>Post Follow-up
__fetcheruser123
msg #44977
Ignore __fetcheruser123
6/14/2006 11:20:53 PM

I'm interested in filters/systems to incorporate into an automated trading system. I was wondering if any of you might have some high probability systems you would like to share?

Approach Information
Approach Name: Chris -- Average Volume Rebounder
Test started on 05/07/2004 ended on 05/09/2006, covering 504 days
Filter used:
Chris -- Average Volume Rebound (saved filter)

Trade Statistics
There were 6 total stocks entered. Of those, 6 or 100.00% were complete and or 0.00% were open.
Of the 6 completed trades, 4 trades or 66.67%resulted in a net gain.
Your average net change for completed trades was: 2.15%.
The average draw down of your approach was: -1.50%.
The average max profit of your approach was: 3.54%
The Reward/Risk ratio for this approach is: 24.04
Annualized Return on Investment (ROI): 318.63%, the ROI of ^SPX was: 9.29%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 3 times or 50.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time ( days) 0 times or 0.00% of the time.
An exit trigger was executed 3 times or 50.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:433535
Losers:223131
Win/Loss Ratio:2.00:11.50:11.00:15.00:11.00:15.00:1
Net Change:2.15%0.14%1.16%1.97%0.72%3.87%

Statistics By Variable: Match Price
 <10<15<20<25<30<35<40<45<50<55
Completed2:01:0-1:0---0:10:1-
2 day chg2:00:1-0:1----1:0-
5 day chg2:00:1-1:0---0:10:1-
10 day chg2:00:1-1:0---1:01:0-
25 day chg1:10:1-1:0---0:11:0-
40 day chg1:11:0-1:0---1:01:0-

Statistics By Variable: Average Volume
 <100000<200000<300000<400000<500000<600000<700000<800000<900000<1000000
Completed3:2----1:0----
2 day chg2:2----1:0----
5 day chg2:3----1:0----
10 day chg4:1----1:0----
25 day chg3:2----0:1----
40 day chg5:0----0:1----



__fetcheruser123
msg #44978
Ignore __fetcheruser123
6/14/2006 11:27:41 PM



Approach Information
Approach Name: Chris -- Average Volume Rebounder
Test started on 05/07/2002 ended on 05/07/2004, covering 505 days
Filter used:
Chris -- Average Volume Rebound (saved filter)

Trade Statistics
There were 11 total stocks entered. Of those, 10 or 90.91% were complete and 1 or 9.09% were open.
Of the 10 completed trades, 10 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 4.23%.
The average draw down of your approach was: -4.66%.
The average max profit of your approach was: 6.58%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 67.42%, the ROI of ^SPX was: 2.14%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 10 times or 100.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time ( days) 0 times or 0.00% 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
Winners:1096665
Losers:025556
Win/Loss Ratio:0.00:14.50:11.20:11.20:11.20:10.83:1
Net Change:4.23%1.06%1.91%2.04%1.48%3.56%

Statistics By Variable: Match Price
 <6<9<12<15<18<21<24<27<30<33
Completed2:02:0-3:01:0-1:01:0--
2 day chg2:02:0-2:11:0-1:00:11:0-
5 day chg1:12:0-2:11:0-0:10:10:1-
10 day chg1:12:0-2:11:0-0:10:10:1-
25 day chg0:22:0-2:11:0-0:11:00:1-
40 day chg0:22:0-2:11:0-0:10:10:1-

Statistics By Variable: Average Volume
 <250000<500000<750000<1000000<1.2M<1.5M<1.8M<2.0M<2.2M<2.5M
Completed8:0-1:0-----1:0-
2 day chg8:1-1:0-----0:1-
5 day chg5:4-1:0-----0:1-
10 day chg5:4-1:0-----0:1-
25 day chg5:4-1:0-----0:1-
40 day chg4:5-1:0-----0:1-



__fetcheruser123
msg #44979
Ignore __fetcheruser123
6/14/2006 11:31:10 PM



Approach Information
Approach Name: Chris -- Average Volume Rebounder
Test started on 06/14/2004 ended on 06/14/2006, covering 505 days
Filter used:
Chris -- Average Volume Rebound (saved filter)

Trade Statistics
There were 6 total stocks entered. Of those, 6 or 100.00% were complete and or 0.00% were open.
Of the 6 completed trades, 6 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 3.68%.
The average draw down of your approach was: -1.93%.
The average max profit of your approach was: 5.03%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 90.90%, the ROI of ^SPX was: 4.03%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 6 times or 100.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time ( days) 0 times or 0.00% 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
Winners:633535
Losers:023131
Win/Loss Ratio:0.00:11.50:11.00:15.00:11.00:15.00:1
Net Change:3.68%0.14%1.16%1.97%0.72%3.87%

Statistics By Variable: Match Price
 <10<15<20<25<30<35<40<45<50<55
Completed2:01:0-1:0---1:01:0-
2 day chg2:00:1-0:1----1:0-
5 day chg2:00:1-1:0---0:10:1-
10 day chg2:00:1-1:0---1:01:0-
25 day chg1:10:1-1:0---0:11:0-
40 day chg1:11:0-1:0---1:01:0-

Statistics By Variable: Average Volume
 <100000<200000<300000<400000<500000<600000<700000<800000<900000<1000000
Completed5:0----1:0----
2 day chg2:2----1:0----
5 day chg2:3----1:0----
10 day chg4:1----1:0----
25 day chg3:2----0:1----
40 day chg5:0----0:1----



__fetcheruser123
msg #44980
Ignore __fetcheruser123
6/14/2006 11:33:50 PM

set{QQQQtest, count(ind(QQQQ,close) above ind(QQQQ,MA(40)),1) }
set{DIAtest, count(ind(DIA,close) above ind(DIA,MA(40)),1) }
set{SPYtest, count(ind(SPY,close) above ind(SPY,MA(40)),1) }

QQQQtest > 0
DIAtest + SPYtest > 0

set{vdif, Volume / Average Volume(90)}
vdif > 3
and vdif 1 day ago is < 3 for the last 5 days
and volume has increased in the last 1 day
and Williams %R(14) < -95
and close has increased in the last 1 day
and Average Volume(90) is above 20000
and close is between 2 and 250


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