StockFetcher Forums · Filter Exchange · LOOKING FOR A FILTER TO BACKTEST ?<< >>Post Follow-up
corsino
259 posts
msg #50240
Ignore corsino
2/25/2007 4:57:48 PM

Try this one,any holding period between 3 and 30 days.

Fetcher[Close below lower Keltner Band (20)
and price touched bottom linear regression line (45)
and average day range (10)below 3
and close between 1 and 6
and not otcbb
]



I got 78% wins with a 10-day holding period, and R/R ratio,etc..all look good.


corsino
259 posts
msg #50243
Ignore corsino
2/25/2007 6:07:53 PM

OOPS !
Forgot to type the volume parameter:
"and average volume (90) above 50000"


corsino
259 posts
msg #50248
Ignore corsino
2/25/2007 8:04:37 PM

Posted the corrected filter (KELTNER/BLRL/ADR FILTER) in the Public Filters with the statistics.


corsino
259 posts
msg #50249
Ignore corsino
2/25/2007 8:22:53 PM

Well, I thought I posted the filter in Public Filters, but can't find it there, so this is the corrected filter:

Fetcher[close below lower Keltner band (20)
and price touched bottom linear regression line (45)
and average day range (10) below 3
and average volume (90) above 50000
and close between 1 and 6
and not otcbb
]



 
Approach Information
Approach Name: KELTNER/ BLRL/ADR
Test started on 10/26/2006 ended on 02/23/2007, covering 80 days
Filter used:
KELTNER/ BLRL/ADR (saved filter)

Trade Statistics
There were 75 total stocks entered. Of those, 67 or 89.33% were complete and 8 or 10.67% were open.
Of the 67 completed trades, 52 trades or 77.61%resulted in a net gain.
Your average net change for completed trades was: 15.83%.
The average draw down of your approach was: -3.64%.
The average max profit of your approach was: 19.96%
The Reward/Risk ratio for this approach is: 15.43
Annualized Return on Investment (ROI): 391.06%, the ROI of ^IXIC was: 20.14%.

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 (10 days) 67 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed3 day chg5 day chg10 day chg15 day chg30 day chg
Winners:524541494736
Losers:152828171712
Win/Loss Ratio:3.47:11.61:11.46:12.88:12.77:13.00:1
Net Change:15.83%14.15%14.58%15.61%16.68%17.22%

Statistics By Variable: Match Price
 <1.5<2<2.5<3<3.5<4<4.5<5<5.5<6
Completed----------
3 day chg1:01:03:15:24:17:36:35:66:47:8
5 day chg1:01:02:13:34:18:24:55:67:36:7
10 day chg1:01:02:03:34:19:13:46:57:213:1
15 day chg1:01:01:23:34:18:25:16:46:212:2
30 day chg1:0-2:12:24:15:14:15:33:210:1

Statistics By Variable: Average Volume
 <5.0M<10.0M<15.0M<20.0M<25.0M<30.0M<35.0M<40.0M<45.0M<50.0M
Completed49:132:11:0-----0:1-
3 day chg41:272:11:0-----1:0-
5 day chg38:271:11:0-----1:0-
10 day chg46:152:11:0-----0:1-
15 day chg45:142:10:1-----0:1-
30 day chg34:92:10:1-----0:1-



itrademan
70 posts
msg #50255
Ignore itrademan
2/25/2007 11:07:37 PM

The filter show very good result just because of one trade showing 900% gain

ADVS 11/27/2006 3.62 12/12/2006 36.21 -0.50% 945.61% 900.83% 919.62% 927.92% 905.25% 872.91% 825.93% BUY-HOLD

Still it looks good but not great.

Let us see if anyone test it for a longer period and take away the extreme results.


beags2
3 posts
msg #50259
Ignore beags2
2/26/2007 1:31:08 AM

ADVS chart looks like a 10 for 1 reverse split. We should notify stockfetcher technical support to fix data like this, otherwise backtesting will be futile.


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