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Kevin_in_GA
3,982 posts
msg #77905
Ignore Kevin_in_GA
8/24/2009 4:36:41 PM

That is a bold statement to make, but please feel free to check this out.

I cannot day trade at the moment, nor can I play with options like M4M, so I'm left with looking for solid trading systems that yield good profits and a reasonably high win %. I don't want to trade too frequently - more of a medium term trader right now.

Having spent a LOT of time looking at oscillators (Ultimate, TRIX. MACD, etc) I've come to the conclusion that, over the long haul, they are generally unprofitable. The challenge is to find the right time to buy based solely on price action rather than momentum.

Here is what I have got so far.

ENTRY:

CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5)
and close is above open
and close is above 1
and average volume(50) is greater than 100000

buy next day at open

EXIT: CLOSE IS ABOVE UPPER BOLLINGER BANDS(16,2.5)

sell next day at open

Results dating back to 1/1/2002 show a 80.19% win rate, an average annualized ROI of 80.96% (versus 1.33% for the ^SPX) and an average profit per trade of 10.77%. I can only backtest for 4 months, so I used a moving window at 2 month intervals.

Since 4/1/2005 the results are very similar: 80.10% win rate, average profit per trade of 9.25% (based on 1020 trades, average hold time at 56 days). Here I downloaded all trades and removed any open trades or duplicates.

I have yet to find a system that has this kind of batting average and a decent yield per trade.

Thoughts?

chetron
2,817 posts
msg #77906
Ignore chetron
modified
8/24/2009 4:59:38 PM

CLICKABLE....


Fetcher[

CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5)
and close is above open
and close is above 1
and average volume(50) is greater than 100000

/* buy next day at open */

/* SELL WHEN CLOSE ABOVE UPPER BOLLINGER BANDS(16,2.5) */
]



Kevin_in_GA
3,982 posts
msg #77908
Ignore Kevin_in_GA
8/24/2009 7:18:28 PM

Chetron:

Would you mind running a quick 2 yr backtest on this? I want to see if it matches my 4 month rolling window effort. Thanks!

chetron
2,817 posts
msg #77909
Ignore chetron
8/24/2009 7:47:49 PM

-42.61%

Kevin_in_GA
3,982 posts
msg #77912
Ignore Kevin_in_GA
modified
8/24/2009 8:56:17 PM

Thanks!

Not sure what that percentage refers to - is that the annualized ROI%? and is that NEGATIVE 42.61%?

I downloaded every completed trade since 4/1/2005 (1020 in total), and got the results mentioned in my first post (80.10% winning percentage, 9.25% average yield per trade). Did these jibe with what you saw as well, or did I miss something?

chetron
2,817 posts
msg #77922
Ignore chetron
modified
8/25/2009 6:41:50 AM

SORRY ABOUT THAT, CLARIFING NOW

Name Created Start Date End Date Win(%) Lose(%) W/L Ratio Reward/Risk ROI(%)

kevin ga 8/24/2009 8/24/2007 8/24/2009 43% 57% 0.75:1 0.70 -42.61%

chetron
2,817 posts
msg #77923
Ignore chetron
8/25/2009 6:44:55 AM

I THINK SOME OF THE ISSUE MAYBE THAT WHEN YOU DO A TIME FRAME, YOU HAVE SOME THAT ARE STILL BEING HELD THAT YOU DON'T KNOW THE END RESULT V. ANOTHER TIME FRAME.

HTH

chetron
2,817 posts
msg #77924
Ignore chetron
8/25/2009 6:46:55 AM

MY TEST WAS STILL HOLDING 18 OF 863 TRADES

chetron
2,817 posts
msg #77925
Ignore chetron
modified
8/25/2009 6:52:45 AM

EYE BALLIN' MY TRADES INTO 3 MONTH SECTIONS, I HAD ABOUT THE SAME AMOUNT OF OPEN TRADES AT THE END OF EACH QUARTER, SO THAT ABOUT 144 TRADES WOULD HAVE BEEN STILL OPEN, (8 QUARTERS IN 2 YEARS x 18 TRADES). WHAT DID YOU HAVE?

OOPS, YOU WERE DOING 4 MONTHS, BUT YOU GET THE IDEA?

OOPS AGAIN, I GUESS I STOP READING AFTER I SEE A FILTER = D




Kevin_in_GA
3,982 posts
msg #77926
Ignore Kevin_in_GA
8/25/2009 7:41:12 AM

I did the following:

starting on 1/1/2002 I ran a four month backtest. I then moved the trigger date forward 2 months, and did it again. Over and over. Ths way, while I certainly had some repeat trades, I caught most of the action.

Here is what I got (sorry about the lack of formatting - not my fault):

start end Win (%) Lose (%) REWARD/RISK ROI %
12/31/2001 5/1/2002 81% 19% 4.40 72.60%
3/1/2002 7/1/2002 60% 40% 2.59 37.67%
5/1/2002 8/30/2002 55% 45% 1.67 20.71%
7/1/2002 11/1/2002 83% 17% 6.27 109.43%
8/30/2002 12/31/2002 80% 20% 9.93 207.41%
10/30/2002 2/28/2003 80% 20% 32.64 306.04%
12/30/2002 4/30/2003 64% 36% 3.23 53.03%
2/28/2003 6/30/2003 100% 0% 100 215.07%
4/28/2003 8/28/2003 88% 12% 18.09 109.84%
6/27/2003 10/28/2003 90% 10% 80.52 107.29%
8/29/2003 12/31/2003 83% 17% 7.51 68.08%
10/29/2003 2/27/2004 94% 6% 30.59 117.89%
12/29/2003 4/29/2004 76% 24% 5.52 62.32%
2/27/2004 6/29/2004 79% 21% 2.82 49.98%
4/30/2004 9/1/2004 68% 30% 1.63 22.45%
6/30/2004 10/29/2004 69% 30% 3.92 41.27%
8/30/2004 12/30/2004 91% 9% 66.08 103.41%
10/29/2004 3/2/2005 98% 2% 859.74 110.83%
12/29/2004 4/29/2005 91% 9% 15.16 83.27%
3/1/2005 6/29/2005 73% 27% 3.22 35.61%
4/29/2005 9/1/2005 88% 12% 52.81 76.45%
6/29/2005 10/28/2005 85% 15% 2.96 41.79%
8/29/2005 12/29/2005 87% 13% 18.54 85.48%
10/28/2005 3/1/2006 87% 13% 15.86 91.91%
12/28/2005 4/28/2006 85% 15% 14.72 69.75%
2/28/2006 6/28/2006 84% 16% 7.08 105.80%
4/28/2006 8/28/2006 72% 28% 1.43 13.04%
6/28/2006 10/27/2006 95% 5% 12.57 89.24%
8/28/2006 12/28/2006 90% 10% 10.2 63.10%
10/27/2006 2/28/2007 86% 14% 14.06 73.78%
12/27/2006 4/27/2007 80% 20% 6.8 38.95%
2/27/2007 6/27/2007 86% 14% 13.54 64.38%
4/27/2007 8/27/2007 83% 17% 4.34 39.90%
6/27/2007 10/26/2007 66% 34% 2.19 23.70%
8/27/2007 12/27/2007 59% 38% 4.11 54.10%
10/26/2007 2/27/2008 71% 29% 2.84 48.61%
12/31/2007 5/1/2008 88% 12% 15.52 74.33%
2/1/2008 5/30/2008 87% 13% 14.98 76.59%
4/1/2008 8/1/2008 69% 31% 2.97 39.44%
5/30/2008 10/1/2008 82% 18% 4.99 77.66%
8/1/2008 12/1/2008 76% 24% 6.47 100.93%
10/1/2008 1/30/2009 65% 35% 3.89 73.82%
12/1/2008 4/1/2009 73% 27% 2.4 32.18%
1/30/2009 6/1/2009 74% 26% 11.65 145.36%
4/1/2009 7/31/2009 85% 15% 8.72 108.67%

Averages: 80.13% 19.73% 33.58 80.96%

Note that there is not a single four month period where the ROI was negative.


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