StockFetcher Forums · Filter Exchange · Looking for filter with highest W/L Ratio<< 1 2 3 4 >>Post Follow-up
corsino
259 posts
msg #49027
Ignore corsino
1/7/2007 1:59:14 PM

Wallman
Thanks for the tips.
I did, in the past, backtest your Fast %K(14)below 10 filter and it did have a winning %, but did not try to change the parameters to see if it would improve the results. Out of curiosity, I backtest a lot of other people's filters, except those that have a lot of "set" statements.Those with a lot of "set" statements tend to get stuck in the backtesting and I have to e-mail SF to get them unstuck.
I realize that filters alone cannot replace skills such as yours, but they keep my old brain working.


__fetcheruser123
msg #49052
Ignore __fetcheruser123
1/8/2007 1:55:51 PM

Over a 4 year period, maximum 5 day hold, exit if RSI(2) > 85.

Approach Information
Approach Name: tester
Test started on 12/08/2004 ended on 12/08/2006, covering 505 days
Filter used:
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

Trade Statistics
There were 262 total stocks entered. Of those, 262 or 100.00% were complete and or 0.00% were open.
Of the 262 completed trades, 166 trades or 63.36%resulted in a net gain.
Your average net change for completed trades was: 4.95%.
The average draw down of your approach was: -3.81%.
The average max profit of your approach was: 8.90%
The Reward/Risk ratio for this approach is: 4.54
Annualized Return on Investment (ROI): 283.72%, the ROI of ^SPX was: 9.67%.

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 (5 days) 167 times or 63.74% of the time.
An exit trigger was executed 95 times or 36.26% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:166134150157139140
Losers:90120104102118108
Win/Loss Ratio:1.84:11.12:11.44:11.54:11.18:11.30:1
Net Change:4.95%3.63%4.79%4.81%4.30%5.15%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed54:1936:2024:2218:910:512:35:52:34:11:3
2 day chg39:3624:3022:2316:1010:59:67:31:44:12:2
5 day chg47:2629:2725:2118:810:511:34:62:33:21:3
10 day chg48:2734:2327:1916:118:710:56:43:22:33:1
25 day chg41:3330:2724:2215:126:99:56:42:33:23:1
40 day chg40:3229:2622:2317:106:611:27:32:33:23:1

Statistics By Variable: Average Volume
 <4.0M<8.0M<12.0M<16.0M<20.0M<24.0M<28.0M<32.0M<36.0M<40.0M
Completed165:871:1-0:1---0:1--
2 day chg133:1170:2-1:0---0:1--
5 day chg147:1031:1-1:0---1:0--
10 day chg156:991:1-0:1---0:1--
25 day chg138:1151:1-0:1---0:1--
40 day chg139:1051:1-0:1---0:1--

Statistics By Variable: EMA(10)
 <10<20<30<40<50<60<70<80<90<100
Completed88:3540:3522:710:96:10:3----
2 day chg62:6135:3819:1012:75:21:2----
5 day chg75:4840:3421:79:105:20:3----
10 day chg79:4742:3319:1011:84:32:1----
25 day chg67:5841:3413:1511:85:22:1----
40 day chg65:5640:3415:913:65:22:1----



corsino
259 posts
msg #49055
Ignore corsino
1/8/2007 2:47:22 PM

Chrismnu
Does that mean that $100,000 would have compounded into over a million? Do you know how that compares with other filters?


Breed
1 posts
msg #49058
Ignore Breed
1/8/2007 4:14:46 PM

There seem to be some problems with the backtesting:

1) I used the same filter/exit/data and look at the different results
2) Look at the jump of the equity curve at the bottom of the performance chart from 07/10/06 ($267.581) to 07/13/06 ($767.276)??
3)ACC was bought on 07/10/06 for 0.33 and sold 07/13/06 for 2.77 (a $3000 gain), however when you look at the chart this most likely is a wrong value, since it is completely out of line
4) The backtest final summary shows a total (Cash + Market)of $107715.43.
5) I just run the test again (not the attached one) and the performance chart delivers something totally different

I would be very sceptical when using the backtesting tool

Approach Information
Approach Name: 11 Tage abwärts
Test started on 12/08/2004 ended on 12/08/2006, covering 505 days
Filter used:
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

Trade Statistics
There were 466 total stocks entered. Of those, 466 or 100.00% were complete and or 0.00% were open.
Of the 466 completed trades, 304 trades or 65.24%resulted in a net gain.
Your average net change for completed trades was: 4.02%.
The average draw down of your approach was: -3.68%.
The average max profit of your approach was: 7.52%
The Reward/Risk ratio for this approach is: 4.10
Annualized Return on Investment (ROI): 233.46%, the ROI of ^SPX was: 9.67%.

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 (5 days) 305 times or 65.45% of the time.
An exit trigger was executed 161 times or 34.55% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:304261285275230234
Losers:153189170185228216
Win/Loss Ratio:1.99:11.38:11.68:11.49:11.01:11.08:1
Net Change:4.02%2.76%3.64%3.27%2.18%3.30%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed93:3455:3646:2736:1722:1019:710:98:58:47:4
2 day chg74:5149:4239:3131:2219:1215:1013:66:78:47:4
5 day chg85:3952:4243:2936:1721:1119:69:108:56:66:5
10 day chg77:4755:4148:2532:2216:1617:98:118:57:57:4
25 day chg64:6045:5035:3827:2714:1815:1010:98:56:66:5
40 day chg68:5746:4633:3728:2613:1718:68:117:67:56:5

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
Completed297:1505:2-0:1--1:0-1:0-
2 day chg256:1844:3-1:0--0:1-0:1-
5 day chg278:1684:2-1:0--1:0-1:0-
10 day chg269:1815:2-0:1--0:1-1:0-
25 day chg227:2232:3-0:1--0:1-1:0-
40 day chg229:2114:3-0:1--0:1-1:0-



corsino
259 posts
msg #49066
Ignore corsino
1/8/2007 7:34:32 PM

Darn! Here I thought I could have been a millionaire, and was set to borrow $100,000 for the next four years.
There does seem to be some problems with backtesting, so the results should be taken with a grain of salt.
Furthermore,this morning I was communicating (by posting)with Tomb about an apparent discrepancy in results when running a backtest using "days offset"within the filter vs. using the Start Date and End Date in the backtest program, and suddenly all the posts after 12/13/2006, including my recent ones, disappeared from Backtest Support.
Does anybody have that problem?


stockfetcher
963 posts
msg #49067
1/8/2007 7:54:54 PM

Hi,

We removed the thread related to your backtesting concerns after you refused to provide us with the details necessary to investigate the problem. Once again, if you could provide us with the exact filter you used in both the backtesting and historical analysis, we'll be more than happy to look into any possible problems. According to our records you were comparing different filters in each case. In addition, your last response on that thread indicated you didn't wish to assist us in this problem.

Tom writes the following:

--------------------------------------
Hi,

Once again, we are having trouble following up on this issue due to inconsistencies in what you are reporting and what you have saved in your backtests.

Currently for the backtest "11-DAYS DOWN" we see that there is a completely diff
erent saved filter used as the entry filter than what was there previously; we w
ould expect this would modify the results you are seeing.

Again, if you can provide more information as well as details on how your number
s were generated, this would allow us to further investigate this issue.

Tom
StockFetcher.com Support
--------------------------------------

And your response was:
>> Tom
>> It is not that important to me to waste a lot of time.
>> It just seems that there are inconsistent results doing
>> the same backtest using two different features of SF.


Steve
StockFetcher.com Support




corsino
259 posts
msg #49069
Ignore corsino
1/8/2007 8:41:23 PM

Tomb
I did not actually refuse to cooperate. I gave you as much information as I could.You stated that the filter had totally changed, which is not true.The changes were merely to draw indicators or add columns, and should have had no impact on test results.Actually, I was in the process of compiling more information when the communications vanished from SF.Why do that?
Anyway, I think that the inconsistencies are due to different accounting methods used by SF in the "day offset" backtest and the Backtesting program. It seems that in the "day offset" method the Performance is calculated assuming the stock price that day, whereas in Backtesting program(which uses Start Date and End Date) the buy price seems to be the Open price next morning. So that if the stock opens lower than it closed the previous day, the possible eventual performance would be better.


tomb
267 posts
msg #49071
Ignore tomb
1/8/2007 9:22:11 PM

Hi,

Your initial referenced backtest utilized the entry filter "11-DAYS DOWN"; upon your follow-up post, the filter used in the approach was "13-DAYS DOWN /1 to 10" and was functionally different than the first one.

We were diligently pursuing the issue you had brought up, but you final post (below) made it very difficult to continue and understand the problem you were experiencing.

>> Tom
>> It is not that important to me to waste a lot of time.
>> It just seems that there are inconsistent results doing
>> the same backtest using two different features of SF.

By default, StockFetcher uses the open price on the day following a successful match of your entry filter. The "Performance" column using date-offset is completely different and not assumed match with the more complex conditions used with the backtesting feature. Additionally, if you do not feel that the "open" price is reflective of your approach, you can configure this and other options to hopefully more closely approximate what you are looking for.

Thank you. And please send all future correspondence on this issue either in the "Comments, Bugs and Requests" or via e-mail support.

Tom
StockFetcher.com Support



__fetcheruser123
msg #49308
Ignore __fetcheruser123
1/16/2007 5:06:59 PM

Breed,

You have to set the Maximum Open Positions to something like 2 or 4... That's the reason your backtest didn't produce the same equity curve.




__fetcheruser123
msg #49309
Ignore __fetcheruser123
1/16/2007 5:10:37 PM

Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1
Exit Trigger #1: rsi(2) > 80

Maximum Trades Per Day: 12
Maximum Open Positions: 1

Approach Information
Approach Name: tester
Test started on 01/14/2005 ended on 01/16/2007, covering 502 days
Filter used:
Smallcap-Long; 80% WR; 6.13 RR (saved filter)

Trade Statistics
There were 162 total stocks entered. Of those, 161 or 99.38% were complete and 1 or 0.62% were open.
Of the 161 completed trades, 98 trades or 60.87%resulted in a net gain.
Your average net change for completed trades was: 3.31%.
The average draw down of your approach was: -4.44%.
The average max profit of your approach was: 5.88%
The Reward/Risk ratio for this approach is: 2.81
Annualized Return on Investment (ROI): 818.66%, the ROI of ^SPX was: 10.58%.

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 (1 days) 161 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:9898102968076
Losers:555556617071
Win/Loss Ratio:1.78:11.78:11.82:11.57:11.14:11.07:1
Net Change:3.31%3.31%4.48%6.65%9.83%8.04%

Statistics By Variable: Match Price
 <0.4<0.8<1.2<1.6<2<2.4<2.8<3.2<3.6<4
Completed18:88:611:29:213:611:89:97:75:27:5
2 day chg18:88:611:29:213:611:89:97:75:27:5
5 day chg16:119:410:48:314:712:812:610:52:59:3
10 day chg15:128:59:59:217:49:1111:78:72:58:3
25 day chg10:176:89:58:212:810:911:45:94:35:5
40 day chg12:157:710:47:39:109:97:76:93:46:3

Statistics By Variable: Average Volume
 <4.0M<8.0M<12.0M<16.0M<20.0M<24.0M<28.0M<32.0M<36.0M<40.0M
Completed80:4911:35:20:1-1:0---1:0
2 day chg80:4911:35:20:1-1:0---1:0
5 day chg87:479:54:31:0-1:0---0:1
10 day chg84:498:62:51:0-1:0---0:1
25 day chg65:639:45:11:0-0:1---0:1
40 day chg62:637:65:11:0-1:0---0:1

Statistics By Variable: EMA(10)
 <0.5<1<1.5<2<2.5<3<3.5<4<4.5<5
Completed19:109:411:312:212:1010:613:87:105:2-
2 day chg19:109:411:312:212:1010:613:87:105:2-
5 day chg17:129:411:411:314:1111:515:68:106:1-
10 day chg16:138:511:411:316:99:714:76:115:2-
25 day chg12:174:1011:410:212:139:511:88:83:3-
40 day chg14:155:913:26:610:138:510:96:104:2-



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

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