StockFetcher Forums · Filter Exchange · Long Strangle Option strategy filter<< >>Post Follow-up
levamit
101 posts
msg #104930
Ignore levamit
modified
2/12/2012 9:11:48 AM

Hello Traders,

I found this great strategy and i build nice 2 filter to trade on it.
The strategy is buy next 3 month Call & Put and take profit target of 20 percent for stock movement.
for backtest used the information below:
Exit Setup
Stop Loss: 20%
Profit Stop: 20%
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 80

Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 25
Maximum Open Positions: 250
Maximum Selected Stocks: All
Close all OPEN positions: Yes

Meaning : if the stop loss dropped 20% your Put position could earn up to 100%
and if the profit stop gained 20% your Call position could earn up to 100%
The filter 1 is :
Fetcher[
Stocks are not OTCBB
stocks are optionable
stocks are not ETF
average Volume(30) > 1500000
close > 1
and close dropped more than 15 percent below DMA(10)
]


Filter 2 :
Fetcher[ Stocks Optionable
stocks are not otcbb
stocks are not etf

average Volume(30) > 1500000
close > 1
and close gained more than 15 percent above DMA(10)
]



Enjoy,
L.A


Billirider321
62 posts
msg #104983
Ignore Billirider321
2/15/2012 12:58:13 AM

Made some changes with good result.
Only had 34 trade in 2 year.

Summary Filter Basic Exit Indicators Advanced Backtests Backtest Forum Help

Entry Filter
leavamit_options_long (saved filter)

Basic Setup
Name: unnamed approach
Approach Type: Long
Start Date: 12/31/2009
End Date: 12/30/2011
Benchmark Symbol: ^SPX

Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 30
Exit Trigger #1: Price crossing above MA(10)


Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 5 days
after 10 days
after 25 days
after 40 days


Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 25
Maximum Open Positions: 250
Maximum Selected Stocks: All
Close all OPEN positions: No

Stocks are not OTCBB
stocks are optionable
stocks are not ETF
average Volume(30) > 150000
and close is above 1
and close greater than close 1 day ago
and count(close more than 15 percent below dma(10,), 5) above 1
Approach Information
Approach Name: unnamed approach
Test started on 12/31/2009 ended on 12/30/2011, covering 504 days
Filter used:
leavamit_options_long (saved filter)



Trade Statistics
There were 34 total stocks entered. Of those, 34 or 100.00% were complete and or 0.00% were open.
Of the 34 completed trades, 22 trades or 64.71%resulted in a net gain.
Your average net change for completed trades was: 7.44%.
The average draw down of your approach was: -12.78%.
The average max profit of your approach was: 16.38%
The Reward/Risk ratio for this approach is: 5.13
Annualized Return on Investment (ROI): 268.33%, the ROI of ^SPX was: 5.70%.

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 (30 days) 0 times or 0.00% of the time.
An exit trigger was executed 34 times or 100.00% of the time.




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Statistics Performance Chart Trades Equity Summary new! System Summary Edit Backtests Backtest Forum Help
1 to 34 of 34 - Download CSV
Performance
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
FBC 03/29/2010 61.00 04/07/2010 67.00 -6.56% 11.48% 9.84% -1.64% 9.84% 11.48% -1.64% -22.95% TRIGGER
KV.A 04/01/2010 1.97 04/16/2010 1.82 -27.92% 0.00% -7.61% -8.63% -17.26% -9.64% -26.90% -31.98% TRIGGER
STSA 04/29/2010 102.00 05/13/2010 88.00 -36.27% 0.98% -13.73% -32.35% -20.59% -17.65% -20.59% -50.98% TRIGGER
PCBC 05/04/2010 155.00 05/13/2010 197.00 0.00% 88.39% 27.10% 49.03% 41.94% 16.77% -16.13% -53.55% TRIGGER
PCBC 06/28/2010 78.00 07/09/2010 78.00 -20.51% 6.41% 0.00% -7.69% -14.10% -3.85% 29.49% 71.79% TRIGGER
VICL 09/28/2010 2.23 10/08/2010 2.27 -1.79% 3.59% 1.79% 0.00% 1.35% -1.35% -2.69% -13.90% TRIGGER
PCBC 11/03/2010 45.00 11/11/2010 56.00 -20.00% 35.56% 24.44% -6.67% 22.22% -11.11% -37.78% -37.20% TRIGGER
PCBC 11/24/2010 28.00 12/03/2010 31.00 -21.43% 10.71% 10.71% 3.57% 7.14% 0.00% 0.93% 0.29% TRIGGER
ASTI 04/05/2011 1.76 04/25/2011 1.70 -11.93% 1.70% -3.41% -3.41% -7.39% -9.66% -9.09% -22.16% TRIGGER
PNSN 05/13/2011 3.42 05/24/2011 3.72 -13.74% 12.87% 8.77% -10.53% 4.68% 5.26% 4.09% 2.05% TRIGGER
PLUG 05/27/2011 2.42 06/15/2011 2.28 -21.07% 2.89% -5.79% -3.31% -5.79% -7.02% -5.79% -6.20% TRIGGER
PTIE 06/28/2011 4.01 07/11/2011 4.55 -6.73% 18.95% 13.47% -3.49% 15.46% 16.21% 19.95% 15.71% TRIGGER
DNDN 08/09/2011 10.65 08/18/2011 12.36 -13.43% 30.99% 16.06% -3.76% 22.72% 17.37% 11.74% -15.49% TRIGGER
MDR 08/09/2011 13.09 08/16/2011 14.90 -2.06% 16.20% 13.83% 5.81% 7.49% -4.74% 7.56% 1.99% TRIGGER
MTG 08/09/2011 2.24 08/25/2011 2.25 -29.02% 11.16% 0.45% 5.36% -6.70% -24.55% 8.93% -17.86% TRIGGER
RDN 08/09/2011 2.45 08/18/2011 2.47 -3.67% 13.88% 0.82% 8.16% 6.53% -18.37% 12.65% -15.10% TRIGGER
GMXR 08/09/2011 2.99 08/31/2011 3.08 -20.40% 16.72% 3.01% 8.36% -2.34% -13.04% -21.40% -29.10% TRIGGER
ANR 08/09/2011 28.35 08/16/2011 33.15 -2.54% 21.87% 16.93% 10.79% 13.47% 9.24% 4.83% -30.51% TRIGGER
HNSN 08/09/2011 3.08 08/18/2011 3.01 -14.94% 8.12% -2.27% -3.25% 2.92% 0.00% 30.84% 3.25% TRIGGER
DVR 08/09/2011 3.12 08/30/2011 3.05 -16.35% 5.45% -2.24% -3.21% -0.96% -6.73% -16.67% -48.72% TRIGGER
RAS 08/09/2011 3.86 08/12/2011 4.60 -2.85% 20.21% 19.17% 16.84% 9.84% -9.07% 0.52% -16.06% TRIGGER
CEDC 08/09/2011 5.74 08/16/2011 6.72 -8.89% 21.78% 17.07% -3.83% 11.85% -2.79% 9.93% 12.89% TRIGGER
BONT 08/09/2011 6.83 08/22/2011 6.67 -16.25% 6.59% -2.34% -11.71% -6.73% 1.76% -6.73% -27.53% TRIGGER
LNG 08/09/2011 7.19 08/16/2011 8.55 -6.12% 21.70% 18.92% 5.01% 14.60% 3.20% 1.11% -37.55% TRIGGER
SD 08/09/2011 7.34 08/18/2011 7.52 -4.63% 11.72% 2.45% 2.18% 4.77% -8.99% -1.77% -18.94% TRIGGER
IPSU 08/09/2011 8.49 08/29/2011 7.50 -23.44% 0.24% -11.66% -5.65% -12.49% -19.91% -6.36% -20.85% TRIGGER
CLWR 08/10/2011 1.55 08/15/2011 1.95 -10.32% 29.68% 25.81% 23.23% 50.32% 96.77% 66.45% 32.26% TRIGGER
ATPG 08/10/2011 9.46 08/16/2011 10.54 -7.40% 17.44% 11.42% 8.77% 19.03% 24.52% 28.33% -15.43% TRIGGER
ANX 08/11/2011 1.17 08/31/2011 1.09 -30.77% 0.85% -6.84% -5.13% -14.53% -23.08% 0.85% -21.37% TRIGGER
PNX 08/11/2011 2.02 08/18/2011 1.91 -7.92% 0.99% -5.45% -2.48% -11.88% -7.92% -13.37% -43.07% TRIGGER
NWY 08/23/2011 3.13 08/31/2011 3.80 -3.51% 24.28% 21.41% 1.60% 20.45% 6.39% 0.32% -4.15% TRIGGER
FMCN 10/04/2011 20.22 10/07/2011 22.90 -4.40% 15.18% 13.25% 12.81% 19.54% 21.96% 27.65% -8.41% TRIGGER
GTIV 10/05/2011 3.18 10/13/2011 4.38 -0.94% 68.24% 37.74% 12.89% 41.51% 13.21% 67.92% 87.42% TRIGGER
YRCW 10/13/2011 18.00 10/25/2011 18.00 -16.67% 0.00% 0.00% 0.00% -16.67% 0.00% -33.33% -38.33% TRIGGER
1 to 34 of 34 -




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Kevin_in_GA
4,542 posts
msg #104988
Ignore Kevin_in_GA
2/15/2012 11:39:24 AM

Please rerun this with a max of 10 trades rather than 250 and let us know the equity summary. This is what is really important, not the ROI or trade data.

I know you are using this for options, but let's see these metrics if possible.

Kevin

levamit
101 posts
msg #104993
Ignore levamit
modified
2/16/2012 5:30:12 AM

Hi Kev,

You can use this filter,
Fetcher[
stocks are not otcbb
stocks are not etf
Average Volume(30) above 100000
Parabolic SAR(0.02,0.2) dropped more then 3.5 percent
Parabolic SAR(0.02,0.2) above close
day position(0.05,1) below day position 2 day ago
do not draw day position(-1.00,5)
show stocks where close is above 1.2
StochRSI(4,2) below 0.25 within last 3 days
Bollinger Width Oscillator(5,2) below -50
]



With the following credential :
Exit Setup
Maximum holding days: 3 or 2
Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 2
Maximum Open Positions: 10
Maximum Selected Stocks: 2
Close all OPEN positions: Yes

Tell me please what are you thinking about.
You can test it with your beacktest software from the beginning of 2000?
and update me with the results please.

Regards,
L.A

Billirider321
62 posts
msg #104995
Ignore Billirider321
2/16/2012 8:56:04 AM

I agree with Kevin, Its not consistent money making and very oppurtunity. I am working on a mean revert on a daily basis method. will start a new thread.

Bill

mahkoh
890 posts
msg #105005
Ignore mahkoh
2/16/2012 5:21:27 PM

Looking back with offset there are not many hits but those that do seem to indeed regularly return up to 20 %. I do think however that you will pay a hefty premium on your options causing time decay to eat up a chunk of your potential profit. Maybe wait a couple of days before establishing the position and let IV come down a bit?

StockFetcher Forums · Filter Exchange · Long Strangle Option strategy filter<< >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus