StockFetcher Forums · Filter Exchange · \"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!<< 1 ... 2 3 4 5 6 ... 8 >>Post Follow-up
wkloss
230 posts
msg #99658
Ignore wkloss
3/14/2011 3:19:39 PM

df0000

I'm not sure I understand what you are saying. Are you limiting yourself to trading ETF's? My recollection is that Connors used only ETF's but that Kevin used stocks with good results. His backtests showed that stocks work fine.

It has been several years since I read my last Connors book and quite a while since I read all of this thread so I am not disputing your point, just asking for clarification. If you are just using ETF's, have you considered or backtested using stocks too?

Bill

Kevin_in_GA
4,550 posts
msg #99659
Ignore Kevin_in_GA
3/14/2011 3:28:23 PM

The back test data I provided in this thread uses only the 20 ETFs from Connors' book, to make sure that I was comparing apples to apples. It works as well with stocks, which I think I posted in another thread.

This was designed to let people evaluate Connors' strategies moving forward in real time, rather than just taking his older data as gospel.

optionplayer333
801 posts
msg #99674
Ignore optionplayer333
3/15/2011 9:30:02 AM

kevin he got most of the stuff he used to develope this system from me in 2002- the main guy at tradingmarket bryce wrightman- there office was in LA and i lived on the high desert in apple valley ca- he came to my house and spent the weekend- i showed him about the rsi 2 and my volatilty indicator- i was suppose to come to la to explain all this to larry connors and their top ta and trading guys- i was suppose to get a a disclose agreement but i never heard from bryce from bryce again- next thing i knew was in 2006 they come out with the power rating system mostly based on what i gave them in 2002--here you can see one of my reco post near the market bottom in 2002 for sbac for 0.21 -it later went to 43$

I already did, lerogee777! 22-Nov-02 12:57 am
Thanks a bunch! :)


Re: super buy alert on SBAC @ 0.21
by: lerogee777 11/22/02 12:56 am
Msg: 11995 of 11995

yes call send me your email at aLIFE4LOVE@AOL.COM AND i WILL GIVEYOU MY PHONE NUMBER AND TEACH YOU THE HOLY GRAIL i HAVE DISCOVERD 5 NEW THINGS THAT NAIL STOCK RIGHT BEFORE THEIR BIG MOVES UP USING THE RSI2


wkloss
230 posts
msg #99680
Ignore wkloss
3/15/2011 12:57:36 PM

Kevin,

Thanks for the clarification. I knew I had seen Connors' filters backtested by you using stocks somewhere but I obviously was mistaken about which thread.

I have a couple of friends who are considering buying software that is set up for these Connors strategies but i really don't see any reason to pay after all this work you have so generously donated.

Bill

Kevin_in_GA
4,550 posts
msg #99691
Ignore Kevin_in_GA
3/15/2011 6:00:33 PM

Thanks - I would suggest to your friends that they join SF instead.

NOTE: Connors does have a number of other systems as well that are not included here. I have seen folks here at SF do a great job of trading them, as long as they stick to the basic rules.

tarun766
50 posts
msg #108447
Ignore tarun766
modified
10/20/2012 12:59:14 PM

The second Long ETF filter had some awesome backtest results over the last 4 months!
Trade Statistics
There were 28 total stocks entered. Of those, 19 or 67.86% were complete and 9 or 32.14% were open.
Of the 19 completed trades, 19 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 1.98%.
The average draw down of your approach was: -1.07%.
The average max profit of your approach was: 1.93%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 140.45%, the ROI of ^SPX was: 30.22%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $99,729.36. Cash: $95,446.79 Market value of holdings at end: $4,282.57 (paid: $4,142.85)
Realized gain/loss: $-159.76 ($-8.41 per trade.)
Total Commissions Paid: $402.75
Unrealized gain/loss: $139.72.

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 (25 days) 0 times or 0.00% of the time.
An exit trigger was executed 19 times or 100.00% of the time.

Trades
Symbol Trigger date Entry Price Exit Date Exit Price Draw Down Max Profit Gain/Loss(%) 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Exit Type
IYR 2006-04-12 59.05 2006-07-12 62.35 -0.02 4.54 5.59 4.50 3.23 6.60 8.60 10.80 TRIGGER
XLV 2006-01-12 35.52 2006-07-12 36.59 -0.39 2.34 3.01 0.76 3.01 4.34 6.50 8.76 TRIGGER
XHB 2006-01-12 19.60 2006-11-12 20.58 -3.42 4.18 5.00 -0.36 3.98 3.21 10.10 9.69 TRIGGER
DIA 2007-11-12 125.21 07/16/12 127.25 -0.35 2.00 1.63 1.92 2.99 1.04 5.20 6.08 TRIGGER
XHB 07/25/12 21.30 07/27/12 21.71 -0.99 1.60 1.92 2.72 -2.16 4.08 10.23 20.70 TRIGGER
XLF 07/23/12 14.30 07/27/12 14.59 -1.47 1.61 2.03 -0.21 3.01 4.06 5.73 12.24 TRIGGER
IWM 07/23/12 77.95 07/30/12 79.52 -2.22 2.27 2.01 -1.45 1.41 1.63 3.89 9.97 TRIGGER
IYR 07/24/12 64.34 07/30/12 65.30 -0.95 2.18 1.49 0.39 1.69 0.90 1.68 3.50 TRIGGER
XLV 07/24/12 37.44 07/30/12 38.74 -0.61 3.90 3.47 1.28 2.54 2.59 3.42 7.02 TRIGGER
IYR 2008-09-12 64.34 08/17/12 65.08 -0.26 1.18 1.15 0.19 1.15 0.67 5.38 0.54 TRIGGER
EWT 08/28/12 12.57 2009-04-12 12.63 -1.03 0.88 0.48 -0.72 -0.40 4.85 7.32 0 TRIGGER
DIA 08/23/12 130.21 2009-07-12 132.89 -0.45 2.01 2.06 0.65 -0.22 2.10 2.95 2.23 TRIGGER
EWH 08/30/12 16.96 2009-07-12 17.30 -1.77 0.47 2.00 -0.88 2.54 7.43 8.79 0 TRIGGER
XLB 08/28/12 35.60 2009-07-12 36.49 -1.49 1.94 2.50 -0.81 -0.70 3.85 2.67 0 TRIGGER
XLE 08/30/12 71.41 2009-07-12 72.37 -1.41 1.78 1.34 -0.60 2.86 7.23 3.04 0 TRIGGER
XLI 08/30/12 36.38 2009-07-12 36.80 -1.73 0.88 1.15 -1.10 1.70 3.79 2.14 0 TRIGGER
EEM 09/26/12 41.43 09/28/12 41.48 -0.46 0.70 0.12 -0.24 0.22 -0.99 0 0 TRIGGER
DIA 09/26/12 134.44 2010-01-12 134.62 -0.80 0.93 0.13 -0.29 0.18 -0.86 0 0 TRIGGER
EWT 09/26/12 13.40 2010-01-12 13.46 -0.52 1.27 0.45 -0.15 0.67 -2.61 0 0 TRIGGER
EFA 09/26/12 53.79 2010-01-12 -1.00 -1.64 0.87 0.00 -1.47 -0.69 -1.67 0 0 OPEN
IWM 09/25/12 83.85 2010-01-12 -1.00 -1.20 0.82 0.00 0.23 0.04 -1.49 0 0 OPEN
IYR 09/20/12 66.02 2010-01-12 -1.00 -3.97 0.03 0.00 -0.45 -2.26 -2.44 0 0 OPEN
SPY 09/25/12 144.07 2010-01-12 -1.00 -0.78 1.12 0.00 0.40 0.30 0.09 0 0 OPEN
XHB 09/26/12 24.70 2010-01-12 -1.00 -0.36 1.82 0.00 0.53 2.75 0.93 0 0 OPEN
XLB 09/25/12 36.59 2010-01-12 -1.00 -0.77 2.02 0.00 1.15 0.36 0.52 0 0 OPEN
XLE 09/25/12 73.19 2010-01-12 -1.00 -0.89 1.83 0.00 0.81 1.01 0.83 0 0 OPEN
XLF 09/25/12 15.55 2010-01-12 -1.00 -0.64 1.93 0.00 0.58 0.90 2.57 0 0 OPEN
XLI 09/25/12 36.50 2010-01-12 -1.00 -0.79 1.42 0.00 0.49 0.38 0.38 0 0 OPEN

140% ROI!

Kevin_in_GA
4,550 posts
msg #108464
Ignore Kevin_in_GA
10/21/2012 10:55:45 PM

Jeez, look at the equity summary, NOT the ROI.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $99,729.36. Cash: $95,446.79 Market value of holdings at end: $4,282.57 (paid: $4,142.85)
Realized gain/loss: $-159.76 ($-8.41 per trade.)
Total Commissions Paid: $402.75
Unrealized gain/loss: $139.72.


You lost money after commissions. Do not pay any attention to the ROI - it is fictitious. All that matters is the starting and ending equity.

Eman93
4,659 posts
msg #108472
Ignore Eman93
10/22/2012 8:32:22 PM

The reason is you are not betting enough per trade to make this system profitable...

if you use money management you should not risk more than 5% on any one trade... not your trade size is only 5% of your bank.

Try it with only 1 trade open and see what happens.. so you would bet 100% of your bank every time and compound the winning stop loss is 5%. and run it.

Eman93
4,659 posts
msg #108473
Ignore Eman93
10/22/2012 8:38:48 PM

Approach Name: conners rsi 4
Test started on 2010-08-31 ended on 2012-08-31, covering 506 days
Filter used:
SYMLIST(DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV)

CLOSE ABOVE MA(200)
RSI(4) BELOW 25

/*EXIT WHEN THE RSI(4) CLOSES ABOVE 55*/

Trade Statistics
There were 31 total stocks entered. Of those, 30 or 96.77% were complete and 1 or 3.23% were open.
Of the 30 completed trades, 14 trades or 46.67%resulted in a net gain.
Your average net change for completed trades was: 0.27%.
The average draw down of your approach was: -3.23%.
The average max profit of your approach was: 2.58%
The Reward/Risk ratio for this approach is: 1.20
Annualized Return on Investment (ROI): 6.16%, the ROI of ^SPX was: 16.77%.

Equity Summary
Starting Account Value: $1,000,000.00 Fees per trade: $8.99
Ending Account Value: $1,053,055.37. Cash: $-0.01 Market value of holdings at end: $1,053,055.38 (paid: $1,056,147.39)
Realized gain/loss: $56,426.07 ($1,880.87 per trade.)
Total Commissions Paid: $548.39
Unrealized gain/loss: $-3,092.01.

Exit Statistics
Stop Loss was triggered 3 times or 10.00% 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) 27 times or 90.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Eman93
4,659 posts
msg #108474
Ignore Eman93
10/22/2012 8:42:44 PM

Using 1mill you make 53k or 100k you make 5K

5% over 2 years.

StockFetcher Forums · Filter Exchange · \"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!<< 1 ... 2 3 4 5 6 ... 8 >>Post Follow-up

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