StockFetcher Forums · Filter Exchange · Looking for filter with highest W/L Ratio<< 1 2 3 4 >>Post Follow-up
corsino
259 posts
msg #48987
Ignore corsino
1/6/2007 1:33:13 AM

RumpledOne
I don't know why, but adding RSI(2) below 1 to my copy of the filter did improve the W/L ratio to 72/25. I don't know why others get different results. Maybe their entry filter or other testing settings are different.


corsino
259 posts
msg #48988
Ignore corsino
1/6/2007 2:05:44 AM

My Settings/Results

Entry Filter : 11 DAYS DOWN/RSI(2)<1
Start Date : 09/06/2006
End Date: 01/05/2007
Stop Loss :N/A
Minimun Holding Days : N/A
Maximum holding days: 5

Results: 33 stocks

Win % : 72%
Lose % : 25%
W/L Ratio : 2.88:1
Reward/Risk: 2.99
ROI(%): 143.99%



wallman
299 posts
msg #48991
Ignore wallman
1/6/2007 9:34:32 AM

"That's strange...adding RSI(2)<1 doesn't change the W/L ratio of 70/28. Or the number of stocks.But maybe it might for other 4-month periods."

Strange?
Think about it,how many stocks down that many days in a row do you think won't be RSI(2)<1




corsino
259 posts
msg #48997
Ignore corsino
1/6/2007 2:31:44 PM

Wallman
Actually, more than one would think.
The filter without RSI(2)below 1 resulted in 65 stocks.
The filter with RSI(2) below 1 resulted in only 33 stocks,although it raised the W/L ratio by 2%.
RumpledOne's must have had a syntax error, so the computer did not recognize his added line.When I added it to my version with a "below 1" wording,the computer recognized it.
So it would be a tradeoff whether a 2% increase in the W/L ratio would be woth cutting the number of stocks in half.
Of course, this is merely an exercise which may not have anything to do with actual trading.



corsino
259 posts
msg #49002
Ignore corsino
1/6/2007 6:03:12 PM

On further review, it appears that the backtesting feature, though interesting, is almost worthless.
I used the 11-Down filter starting with a 10-day offset, then 9-day offset, etc...
My count, buying only the first time a stock appeared, was 5 wins and 4 losses.
SF's count was 9 trades completed, with 8 wins, for 88.89% win percentage!
I don't understand......


wallman
299 posts
msg #49011
Ignore wallman
1/7/2007 12:10:28 AM

Corsino,
Hmmmm,it's hard to believe so many stocks down 11 days in a row would not have an RSI(2)<1.
Please don't get me wrong,I believe you, but did you check the charts on them to see if the filter is actually giving you correct matches?

Regards,Muddy




corsino
259 posts
msg #49012
Ignore corsino
1/7/2007 2:35:00 AM

Wallman
I think you are right. I reran the filter twice (for the latest 4 months), once with the Rsi(2)below 1 requirement, and then without the requirement and the results were identical : 65 stocks with a W/L ratio of 70/28.
However, I'm not convinced that their W/L ratios are correct, based on a 10- day backtest where I manually added the wins and loses, and the result was nowhere as good as their result.But I don't know how they arrive at their numbers.


corsino
259 posts
msg #49013
Ignore corsino
1/7/2007 3:18:34 AM

FWIW...
The RSI(2)<1 filter by itself, backtested over the 4-month period 09/05/2006 to 01/05/2007 with the same 5 day hold, returned 1406 stocks with a W/L ratio of 56/43.This is not to imply that it's not as good as the 11-day down filter, since the filters may be used in a different manner.I should add that most of the stocks returned by the 11-day down filter have RSI(2) values considerably below 1. So it's probable that a filter with the requirement of RSI(2)well below 1 would have similar results as the 11-down day filter.


TheRumpledOne
6,359 posts
msg #48983
Ignore TheRumpledOne
modified
1/7/2007 10:52:37 AM

Fetcher[
Close has been decreasing over the last 11 days
and close between 1 and 50
and average volume (90)above 50000
and not otcbb
AND RSI(2) < 1
]



Thoughts...


Added 1/7/2007

Fetcher[
Close has been decreasing over the last 11 days
and close between 1 and 50
and average volume (90)above 50000
and not otcbb
AND RSI(2) below 1
]




wallman
299 posts
msg #49020
Ignore wallman
1/7/2007 12:34:58 PM

Corsino,
"I should add that most of the stocks returned by the 11-day down filter have RSI(2) values considerably below 1. So it's probable that a filter with the requirement of RSI(2)well below 1 would have similar results as the 11-down day filter".

Ok,i believe that.

One thing you might try if you wish is backtest a filter to show fast%k<.01 to find very oversold stocks if that's what you are looking for.

Just add RSI(2)column but don't add it in the filter.
Also add column Williams%R(10).
This should give you all the fast%k 0's and williams -100.
You can see from the RSI(2) column if the stock is below 1 but I wouldn't automatically throw out those with over 1,hence only the RSI(2) column and not adding it into the filter.

There is actually someone who has a $39.95 pay for pick website that employs the fast%k 0's combined with Williams -100's almost exclusively,no doubt taken from Janeiro and myself. So I guess someone else thinks it works.
I've never formally backtested so I'm not sure.



StockFetcher Forums · Filter Exchange · Looking for filter with highest W/L Ratio<< 1 2 3 4 >>Post Follow-up

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