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Kevin_in_GA
4,553 posts
msg #78481
Ignore Kevin_in_GA
9/1/2009 10:33:07 PM

Here you go - for the last four months:

MACD(12,26,9) Backtest

Test started on 05/01/2009 ended on 09/01/2009, covering 85 days
Filter used:

MACD Histogram(12,26,9) crossed above 0
and close is above 1
and average volume(50) is above 50000
and apply to watchlist(IBD_TOP_180,IBD2,IBD3)

Trade Statistics
There were 375 total stocks entered. Of those, 342 or 91.20% were complete and 33 or 8.80% were open.
Of the 342 completed trades, 150 trades or 43.86%resulted in a net gain.
Your average net change for completed trades was: 2.44%.
The average draw down of your approach was: -4.62%.
The average max profit of your approach was: 10.41%
The Reward/Risk ratio for this approach is: 2.02
Annualized Return on Investment (ROI): 58.80%, the ROI of ^SPX was: 41.72%.


BOLLINGER BAND(16,2.5) IBD STOCKS
Test started on 05/01/2009 ended on 09/01/2009, covering 85 days
Filter used:

BOLLINGER BAND BUY (saved filter)

Trade Statistics
There were 89 total stocks entered. Of those, 39 or 43.82% were complete and 50 or 56.18% were open.
Of the 39 completed trades, 38 trades or 97.44%resulted in a net gain.
Your average net change for completed trades was: 22.79%.
The average draw down of your approach was: -7.41%.
The average max profit of your approach was: 27.07%
The Reward/Risk ratio for this approach is: 168.69
Annualized Return on Investment (ROI): 156.36%, the ROI of ^SPX was: 41.72%.

VenturaTrader
30 posts
msg #78484
Ignore VenturaTrader
9/1/2009 11:04:47 PM

Excellent Kevin! I will get to work on testing your BB approach using the IBD stocks. I am away from a computer during the day (truck driver) so this method may work for me if I can enter the orders premarket on Interactive Brokers. Thanks a ton!

Mike

richo
74 posts
msg #78490
Ignore richo
9/2/2009 6:53:16 AM

Kevin

When you run this filter do you still include close above open?

Rich

Kevin_in_GA
4,553 posts
msg #78492
Ignore Kevin_in_GA
9/2/2009 8:41:21 AM

Not anymore. The filter is

Fetcher[
/*BOLLINGER BAND BUY FILTER*/

CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5)
/*and apply to watchlist(IBD_TOP_180,IBD2,IBD3) - change it to your WL here*/
]



I did a quick and dirty statistical analysis of about 100 hits without constraining the close to be above the open. In the case of the "red" candles, the profitability after 5-10 days was just as good, so I didn't bother to screen it out. Hollow red candles are relatively uncommon, but did not seem to correlate with higher success rates or higher profit per trade (no better or worse).

My most recent thinking on this is to set a limit order to fill only if the price goes above the high on the day the candle closed below the lower BB - haven't tested this yet, but if it doesn't fill within a week or so, you scrap that trade and move on. This way might be helpful in avioding stocks that keep going down.

Alternatively, you could keep moving the limit order down like a PSAR, to grab the stock at a lower price. Just some thoughts.

richo
74 posts
msg #78498
Ignore richo
9/2/2009 11:24:59 AM

Thanks for your prompt response. Have you tested this during steep corrections 1/1/09 to 3/6/09?

Rich

Kevin_in_GA
4,553 posts
msg #78502
Ignore Kevin_in_GA
9/2/2009 12:24:17 PM

Here you go. Ran it from 12/31/09 to 5/1/09, so I got a chunk of the March recovery in there, which probably helped.

Approach Name: BOLLINGER BAND(16,2.5) IBD STOCKS
Test started on 12/31/2008 ended on 05/01/2009, covering 83 days
Filter used:
BOLLINGER BAND BUY (saved filter)



Trade Statistics
There were 84 total stocks entered. Of those, 40 or 47.62% were complete and 44 or 52.38% were open.
Of the 40 completed trades, 33 trades or 82.50%resulted in a net gain.
Your average net change for completed trades was: 18.67%.
The average draw down of your approach was: -18.07%.
The average max profit of your approach was: 25.70%
The Reward/Risk ratio for this approach is: 10.79
Annualized Return on Investment (ROI): 127.76%, the ROI of ^SPX was: -4.37%.

82.5% profitable and 18.67% average profit per trade.

Kevin_in_GA
4,553 posts
msg #78503
Ignore Kevin_in_GA
9/2/2009 1:40:20 PM

From the equity summary, here are the open trades at the end of the trading period:

05/01/09
05/01/09 bought 74.78 shares ($2719.91) of MANT at 36.37, remaining cash: $10879.63
05/01/09 bought 58.48 shares ($2719.91) of SLGN at 46.51, remaining cash: $8159.73
05/01/09 sold (OPEN) 109.47 shares ($2067.87) of AAON at 18.89 for a gain of $67.87
05/01/09 sold (OPEN) 155.26 shares ($2352.23) of ABAX at 15.15 for a loss of $57.45
05/01/09 sold (OPEN) 82.99 shares ($2092.12) of ACM at 25.21 for a gain of $92.12
05/01/09 sold (OPEN) 66.47 shares ($2323.00) of APEI at 34.95 for a loss of $106.35
05/01/09 sold (OPEN) 552.49 shares ($2292.82) of ARQL at 4.15 for a gain of $292.82
05/01/09 sold (OPEN) 787.97 shares ($5413.34) of AYR at 6.87 for a gain of $2686.97
05/01/09 sold (OPEN) 203.67 shares ($2230.14) of BBV at 10.95 for a gain of $230.14
05/01/09 sold (OPEN) 57.45 shares ($2271.62) of CELG at 39.54 for a gain of $25.85
05/01/09 sold (OPEN) 328.29 shares ($3831.15) of CFNB at 11.67 for a gain of $1401.80
05/01/09 sold (OPEN) 90.17 shares ($3191.16) of CPSI at 35.39 for a gain of $1191.16
05/01/09 sold (OPEN) 222.22 shares ($3268.89) of DBRN at 14.71 for a gain of $1268.89
05/01/09 sold (OPEN) 187.62 shares ($2170.73) of DORM at 11.57 for a gain of $170.73
05/01/09 sold (OPEN) 631.66 shares ($2652.96) of DXCM at 4.20 for a gain of $126.33
05/01/09 sold (OPEN) 66.51 shares ($3506.57) of EDU at 52.72 for a gain of $780.20
05/01/09 sold (OPEN) 212.09 shares ($3421.00) of EEFT at 16.13 for a gain of $1421.00
05/01/09 sold (OPEN) 98.77 shares ($1630.62) of ENDP at 16.51 for a loss of $369.38
05/01/09 sold (OPEN) 54.24 shares ($2728.20) of ESLT at 50.30 for a gain of $298.85
05/01/09 sold (OPEN) 123.15 shares ($1967.98) of FCFS at 15.98 for a loss of $32.02
05/01/09 sold (OPEN) 552.49 shares ($2038.67) of FHCO at 3.69 for a gain of $38.67
05/01/09 sold (OPEN) 90.91 shares ($1873.64) of FLIC at 20.61 for a loss of $126.36
05/01/09 sold (Trigger #) 215.52 shares ($3019.40) of GTLS at 14.01 for a gain of $1019.40
05/01/09 sold (OPEN) 32.67 shares ($2781.77) of ICE at 85.15 for a gain of $781.77
05/01/09 sold (OPEN) 138.17 shares ($2459.41) of IPCM at 17.80 for a gain of $49.74
05/01/09 sold (OPEN) 110.68 shares ($2299.94) of ISH at 20.78 for a gain of $299.94
05/01/09 sold (OPEN) 73.17 shares ($2848.63) of JJSF at 38.93 for a gain of $419.28
05/01/09 sold (OPEN) 174.06 shares ($2739.77) of LINC at 15.74 for a gain of $739.77
05/01/09 sold (OPEN) 16.14 shares ($2791.30) of MA at 172.90 for a gain of $361.95
05/01/09 sold (OPEN) 144.61 shares ($2465.65) of MTXX at 17.05 for a gain of $465.65
05/01/09 sold (OPEN) 58.96 shares ($2249.51) of MYGN at 38.15 for a loss of $179.84
05/01/09 sold (OPEN) 152.84 shares ($2393.43) of NITE at 15.66 for a gain of $114.63
05/01/09 sold (OPEN) 199.40 shares ($2041.87) of NOVN at 10.24 for a gain of $41.87
05/01/09 sold (Trigger #) 271.97 shares ($2825.79) of ODSY at 10.39 for a gain of $416.12
05/01/09 sold (OPEN) 62.64 shares ($1725.65) of SFG at 27.55 for a loss of $274.35
05/01/09 sold (OPEN) 110.48 shares ($2530.99) of SGP at 22.91 for a gain of $101.64
05/01/09 sold (Trigger #) 714.29 shares ($2857.14) of SMP at 4.00 for a gain of $857.14
05/01/09 sold (OPEN) 164.82 shares ($2040.48) of SVR at 12.38 for a loss of $369.20
05/01/09 sold (OPEN) 152.67 shares ($1961.83) of SWS at 12.85 for a loss of $38.17
05/01/09 sold (OPEN) 152.21 shares ($3057.80) of SXCI at 20.09 for a gain of $337.90
05/01/09 sold (OPEN) 48.87 shares ($2555.92) of SXL at 52.30 for a gain of $126.57
05/01/09 sold (OPEN) 61.27 shares ($1803.31) of TMK at 29.43 for a loss of $196.69
05/01/09 sold (OPEN) 19.43 shares ($2526.71) of TNH at 130.02 for a gain of $97.36
05/01/09 sold (OPEN) 81.99 shares ($2523.64) of VLGEA at 30.78 for a gain of $94.29
05/01/09 sold (OPEN) 385.74 shares ($3413.84) of VRAD at 8.85 for a gain of $887.21
05/01/09 sold (OPEN) 148.26 shares ($1438.10) of WCRX at 9.70 for a loss of $561.90
05/01/09 sold (OPEN) 118.32 shares ($2547.32) of WIRE at 21.53 for a gain of $134.88
05/01/09 sold (OPEN) 74.78 shares ($2703.46) of MANT at 36.15 for a loss of $16.45
05/01/09 sold (OPEN) 58.48 shares ($2742.13) of SLGN at 46.89 for a gain of $22.22
Transaction Summary
Daily Gains : $17462.75
Daily Losses : $2328.16
Running Gain/(Loss) : $28829.22
# Stocks held at end of day : 0

Summary
Invested In Stock: $0.00
Market Value of Stock: $0.00
Market Value - Invested: - $0.00
Available Cash: $128829.22
Total (Cash + Market): $128829.22

Not too bad - an increase of $28,829.22 over four of the worst trading months in recent memory.

hawkeyes002
49 posts
msg #78505
Ignore hawkeyes002
9/2/2009 2:15:49 PM

kevin this does seem to be a good filter. Do you buy the stocks the day before or at the open of the next day? also when you run those tests do u have a exit stop loss? i ran it from 5/01/2009 and these results

There were 123 total stocks entered. Of those, 99 or 80.49% were complete and 24 or 19.51% were open.
Of the 99 completed trades, 99 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 3.01%.
The average draw down of your approach was: -3.74%.
The average max profit of your approach was: 5.29%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 294.77%, the ROI of ^SPX was: 36.99%.

Kevin_in_GA
4,553 posts
msg #78506
Ignore Kevin_in_GA
9/2/2009 2:33:40 PM

Buy at the open of the next day.

No stop loss used.

99 out of 99 trades profitable - can't beat those odds. Seriously, you can't! Since all were profitable, your stop loss never came into play, unless it was a trailing stop.

However, post your equity summary - you were in more trades and had a lower net yield. What was the ending balance on the trades?

hawkeyes002
49 posts
msg #78511
Ignore hawkeyes002
9/2/2009 3:49:11 PM

i ran mine with a 3% gain exit trigger here is the equity
09/02/09
09/02/09 bought 15.78 shares ($404.81) of ABAX at 25.65, remaining cash: $96345.64
09/02/09 bought 4.63 shares ($404.81) of ABVT at 87.50, remaining cash: $95940.82
09/02/09 bought 188.29 shares ($404.81) of ACAD at 2.15, remaining cash: $95536.01
09/02/09 bought 10.66 shares ($404.81) of AFL at 37.99, remaining cash: $95131.20
09/02/09 bought 33.18 shares ($404.81) of AFSI at 12.20, remaining cash: $94726.38
09/02/09 bought 25.05 shares ($404.81) of ASCA at 16.16, remaining cash: $94321.57
09/02/09 bought 33.24 shares ($404.81) of CHDX at 12.18, remaining cash: $93916.75
09/02/09 bought 60.06 shares ($404.81) of CRAY at 6.74, remaining cash: $93511.94
09/02/09 bought 6.04 shares ($404.81) of EDU at 67.02, remaining cash: $93107.13
09/02/09 bought 71.52 shares ($404.81) of FHCO at 5.66, remaining cash: $92702.31
09/02/09 bought 88.58 shares ($404.81) of GMTN at 4.57, remaining cash: $92297.50
09/02/09 bought 23.07 shares ($404.81) of GTLS at 17.55, remaining cash: $91892.69
09/02/09 bought 8.22 shares ($404.81) of SAN at 49.22, remaining cash: $91487.87
09/02/09 sold (OPEN) 44.50 shares ($358.19) of APKT at 8.05 for a loss of $44.94
09/02/09 sold (OPEN) 11.84 shares ($406.12) of BBBB at 34.31 for a gain of $1.30
09/02/09 sold (OPEN) 24.15 shares ($372.13) of CYBS at 15.41 for a loss of $31.63
09/02/09 sold (OPEN) 50.60 shares ($365.81) of DL at 7.23 for a loss of $38.96
09/02/09 sold (OPEN) 23.84 shares ($395.04) of ITUB at 16.57 for a loss of $9.77
09/02/09 sold (OPEN) 12.69 shares ($407.48) of KCI at 32.11 for a gain of $2.66
09/02/09 sold (OPEN) 27.30 shares ($398.26) of MDRX at 14.59 for a loss of $6.55
09/02/09 sold (OPEN) 13.94 shares ($391.02) of NCIT at 28.06 for a loss of $13.80
09/02/09 sold (OPEN) 23.13 shares ($391.35) of NUS at 16.92 for a loss of $13.42
09/02/09 sold (OPEN) 11.39 shares ($390.59) of OTEX at 34.30 for a loss of $14.12
09/02/09 sold (OPEN) 15.08 shares ($364.27) of TSRA at 24.16 for a loss of $39.05
09/02/09 sold (OPEN) 15.78 shares ($407.65) of ABAX at 25.83 for a gain of $2.84
09/02/09 sold (OPEN) 4.63 shares ($411.61) of ABVT at 88.97 for a gain of $6.80
09/02/09 sold (OPEN) 188.29 shares ($406.70) of ACAD at 2.16 for a gain of $1.88
09/02/09 sold (OPEN) 10.66 shares ($413.76) of AFL at 38.83 for a gain of $8.95
09/02/09 sold (OPEN) 33.18 shares ($397.85) of AFSI at 11.99 for a loss of $6.97
09/02/09 sold (OPEN) 25.05 shares ($405.31) of ASCA at 16.18 for a gain of $0.50
09/02/09 sold (OPEN) 33.24 shares ($413.79) of CHDX at 12.45 for a gain of $8.97
09/02/09 sold (OPEN) 60.06 shares ($408.42) of CRAY at 6.80 for a gain of $3.60
09/02/09 sold (OPEN) 6.04 shares ($415.57) of EDU at 68.80 for a gain of $10.75
09/02/09 sold (OPEN) 71.52 shares ($396.95) of FHCO at 5.55 for a loss of $7.87
09/02/09 sold (OPEN) 88.58 shares ($382.67) of GMTN at 4.32 for a loss of $22.15
09/02/09 sold (OPEN) 23.07 shares ($410.12) of GTLS at 17.78 for a gain of $5.31
09/02/09 sold (OPEN) 8.22 shares ($404.81) of SAN at 49.22 for a gain of $0.00
Transaction Summary
Daily Gains : $53.58
Daily Losses : $249.22
Running Gain/(Loss) : $1003.33
# Stocks held at end of day : 0

Summary
Invested In Stock: $0.00
Market Value of Stock: $0.00
Market Value - Invested: - $0.00
Available Cash: $101003.33
Total (Cash + Market): $101003.33


also which of the stocks today are you planning on buying? thanks, sam

StockFetcher Forums · Filter Exchange · Interesting filter - perhaps the best I've seen so far<< 1 ... 2 3 4 5 6 ... 8 >>Post Follow-up

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