StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 21 22 23 24 25 ... 43 >>Post Follow-up
duke56468
683 posts
msg #103937
Ignore duke56468
12/22/2011 9:44:26 AM

coolsf
10 posts
msg #103931
- Ignore coolsf 12/22/2011 2:36:23 AM

Thanks, Kevin. It is your filter using which I entered IBM. Thanks so much. My stop is trailing 2.5%.
+++++++++++++++++++++++++++++++++++++++++++++++++++++++

Has the 2.5% trailing stop been working for you? I did back test with a 10% stop loss that did not seem to hurt the outcome, but I think the filter was designed to not use a stop loss, just the exit filter.

coolsf
21 posts
msg #103943
Ignore coolsf
12/22/2011 10:40:16 AM

duke 56,

"Has the 2.5% trailing stop been working for you? I did back test with a 10% stop loss that did not seem to hurt the outcome, but I think the filter was designed to not use a stop loss, just the exit filter."

I took the profits and closed the trade irrespective of the zscore. I know when we follow a system, we must follow the rules. But, rule # 1 in my book is to ring the register when I see profits. Taking profits never hurt. This is not a trending market, hence I think that justifies my rule. If this was a trending bull market, I would follow the rules and still be safe.

Either way, I know I won't do much good for the system itself if my exits are random. Atleast I am following the entries correctly.

Kevin_in_GA
4,548 posts
msg #103946
Ignore Kevin_in_GA
12/22/2011 12:03:28 PM

No one ever lost money taking a profit.

Glad this trade worked out for you - one way to play this is to use the Zscore16 > -1 exit unless you opt to take a profit sooner. Also, the average profit per trade on this system is about 1% in 5 days, so if you have a 2-3% profit within that time or sooner, no reason not to exit then.

mahkoh
891 posts
msg #103948
Ignore mahkoh
12/22/2011 1:49:35 PM

Intraday buy signal BBBY

Kevin_in_GA
4,548 posts
msg #103950
Ignore Kevin_in_GA
12/22/2011 1:54:34 PM

Yup - BUY signal at 56.85.


novacane32000
273 posts
msg #103988
Ignore novacane32000
12/24/2011 5:28:00 PM

You may find this helpful.
Some stats on this filter I compiled using the SF Backtest.
It does not take into account the not so good time from July 2011 to present

All stats are based on a max portfolio of 7 and a max selection of 4 stocks/day.
1652 trades from 1/2002 thru 6/2011
1070 wins 65%
582 losses 35%

159 trades resulted in gains of .01% to .99% before broker commission. Assuming $20/trade roundtrip, each trade would need to be at least $2000 or you will end up with a loss after commission is paid.

428 trades resulted in gains of 1% to 2.99%

282 trades resulted in gains of 3% to 4.99%

118 trades resulted in gains of 5% to 6.99%

55 trades resulted in gains of 7% to 9.99%

24 trades resulted in gains of 10% to 14.99%

2 trades resulted in gains of 15% to 19.99%

1 trade resulted in a gain of 20% to 29.99%

1 trade resulted in a gain of 49%

98.3% of all trades will result in a gain of 10% or less
87.8% of all trades will result in a gain of 5% or less

Knowing that I only have about a 12% chance of further gains once I have neared a 5% profit is good reason to take profits at these levels.

Below are the stats for losing trades

10 trades broke exactly even which is considered a loss after commission

150 trades resulted in a loss of 0 to .99%

200 trades resulted in a loss of 1 to 2.99%

106 trades resulted in a loss of 3 to 4.99%

45 trades resulted in a loss of 5 to 6.99%

38 trades resulted in a loss of 7 to 9.99%


22 trades resulted in a loss of 10 to 14.99%

4 trades resulted in a loss of 15 to 19.99%

7 trades resulted in a loss of 20 to 29.99%



coolsf
21 posts
msg #103992
Ignore coolsf
12/25/2011 2:05:47 PM

Novacane, Thanks for the stats. What is the average gain (or loss) / trade as a result of net profits and losses?

It looks like, though we had extended sigma moves on both long and short sides, the net was profitable even in the last 6 months. No?

coolsf
21 posts
msg #103994
Ignore coolsf
12/25/2011 2:32:18 PM

Novacane, One more question.

You said the minimum amount for trading an entry is 2000$. That is the minimum size trading capital for what size account? 10k or 100k?

JinNJ46
22 posts
msg #103999
Ignore JinNJ46
12/26/2011 7:42:19 AM

Kevin et al,
This is a great educational thread and a seemingly profitable strategy so many thanks for sharing. Have you done any ZScore analysis at the sector level with perhaps a relevant ETF as the stock's proxy index?!

(Sorry if you covered this already. I've not read the entire thread)

Kevin_in_GA
4,548 posts
msg #104002
Ignore Kevin_in_GA
12/26/2011 2:02:31 PM

No. This system trades relatively infrequently as it is, even when using all 500 S&P components. If the same strategy were used on the 9 sector ETFs, I think you would not trade very often and therefore limit your gains.

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