duke56468
683 posts
msg #101766
- Ignore duke56468 |
7/21/2011 9:31:40 PM
Eman......... does your filter work well in an uptrend like 8/30/2010 to 12/30/2010? A simple RSI(2) < 4 works for some periods but not others. Thanks for the input.
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Eman93
4,750 posts
msg #101800
- Ignore Eman93 |
7/25/2011 6:55:53 PM
not too great .. it is not meant to be a truly mechanical system. It just alerts you to an oversold condition... other factors weigh in... if the trend is up you prob. shouldn't short. ...ect... you get the drift. stack the odds ..
If you want a mechanical system stock tiger has them in the gdx and slv using renko charts.
UUP alerted over sold today look at the weekly chart not to good to go long... I will not trade this
SLV alerted overbought Thursday .. no thanks... dont want to short that..
its more the learning of what is a good set up and what is not and trying to make the odds in your favor...
Dont listen to the news or CNBC or anything... study the charts and trade what you see...
http://chartgame.com/
if you can do this then you should be able to do it for real.. its really that easy...
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duke56468
683 posts
msg #101806
- Ignore duke56468 |
7/25/2011 10:27:40 PM
Thanks Eman...Are you still using StockVision at all?
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duke56468
683 posts
msg #101829
- Ignore duke56468
modified |
7/26/2011 9:08:00 PM
Test started on 03/31/2011 ended on 07/26/2011, covering 80 days
Filter used:
Kevins RMI 8-14 (saved filter)
Trade Statistics
There were 61 total stocks entered. Of those, 41 or 67.21% were complete and 20 or 32.79% were open.
Of the 41 completed trades, 29 trades or 70.73%resulted in a net gain.
Your average net change for completed trades was: 1.91%.
The average draw down of your approach was: -5.58%.
The average max profit of your approach was: 4.66%
The Reward/Risk ratio for this approach is: 2.33
Annualized Return on Investment (ROI): 23.33%, the ROI of ^SPX was: 0.98%.
Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 4 times or 9.76% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 37 times or 90.24% of the time.
This filter of Kevins also tests well for this time period and most other time frames if you use the exits he describes. Very generous with his talent this Mr. Kevin_in_GA
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Kevin_in_GA
4,599 posts
msg #101830
- Ignore Kevin_in_GA |
7/26/2011 9:22:59 PM
Approach Name: Z-score long (portfolio size = 5)
Test started on 03/31/2011 ended on 07/26/2011, covering 80 days
Trade Statistics
There were 62 total stocks entered. Of those, 62 or 100.00% were complete and or 0.00% were open.
Of the 62 completed trades, 40 trades or 64.52% resulted in a net gain.
Your average net change for completed trades was: 1.03%.
The average draw down of your approach was: -2.56%.
The average max profit of your approach was: 2.63%
The Reward/Risk ratio for this approach is: 2.64
Annualized Return on Investment (ROI): 54.06%, the ROI of ^SPX was: 0.98%.
Equity Summary - Total (Cash + Market): $113,521.46
Not bad ... a 13% gain over 80 days.
But when you run it from 4/29 until 6/28 as you had originally wanted, you get this:
There were 39 total stocks entered. Of those, 39 or 100.00% were complete and or 0.00% were open.
Of the 39 completed trades, 23 trades or 58.97% resulted in a net gain.
Your average net change for completed trades was: 0.86%.
The average draw down of your approach was: -2.55%.
The average max profit of your approach was: 2.32%
The Reward/Risk ratio for this approach is: 2.24
Annualized Return on Investment (ROI): 48.70%, the ROI of ^SPX was: -28.11%.
Equity Summary - Total (Cash + Market): $106,49.56
Also not too bad. You made 6+% during a very rough trading period.
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tarun766
50 posts
msg #108445
- Ignore tarun766 |
10/20/2012 12:26:51 PM
we need that filter posted!
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Kevin_in_GA
4,599 posts
msg #108448
- Ignore Kevin_in_GA |
10/20/2012 1:38:51 PM
http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=101013&qrid=
Here you go.
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Kevin_in_GA
4,599 posts
msg #118631
- Ignore Kevin_in_GA
modified |
3/17/2014 12:17:22 PM
Coming back to this old thread after screwing around with a few simple filter ideas over the weekend. Here's one:
Approach Name: 2 days below BB(10,2)
Test started on 2011-04-30 ended on 2011-08-30, covering 85 days
Filter used:
s&p 500
count(close below lower bollinger band(10,2),2) above 1
Trade Statistics
There were 47 total stocks entered. Of those, 47 or 100.00% were complete and or 0.00% were open.
Of the 47 completed trades, 32 trades or 68.09% resulted in a net gain.
Your average net change for completed trades was: 0.92%.
The average draw down of your approach was: -4.48%.
The average max profit of your approach was: 3.33%
The Reward/Risk ratio for this approach is: 1.58
Annualized Return on Investment (ROI): 38.26%, the ROI of ^SPX was: -31.45%.
Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $106,861.40. Cash: $106,861.40 Market value of holdings at end: $0.00 (paid: $-420.65)
Realized gain/loss: $6,861.40 ($145.99 per trade.)
Total Commissions Paid: $841.30
Unrealized gain/loss: $420.65.
I used a conditional entry of "close 1 day ago" and an exit price at "reversersi(2,80)". Looking at the Z-score system over the same period (note that there are another 5 days), I get a very different answer - essentially a loss of 1% rather than a gain of 6%. This might be due to revisions in individual stock historical data, or that the extra few days undid a lot of profit.
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