StockFetcher Forums · Filter Exchange · Low ATR Price Cross-Over<< >>Post Follow-up
__fetcheruser123
msg #47099
Ignore __fetcheruser123
9/21/2006 4:35:20 PM

Thought this might interest some of you... I'd be interested if anyone can tweak it to make it perform better.

 
Approach Information
Approach Name: unnamed approach
Test started on 09/21/2004 ended on 09/21/2006, covering 505 days
Filter used:
close crossed above MA(40)
close one day ago was below MA(40) for the last 40 days

set{natr14, INDPOSITION(atr(14),60) * 100}
natr14 < 10

average volume(90) > 500000
volume > 500000
close is between 1 and 15


Trade Statistics
There were 161 total stocks entered. Of those, 161 or 100.00% were complete and or 0.00% were open.
Of the 161 completed trades, 85 trades or 52.80%resulted in a net gain.
Your average net change for completed trades was: 1.20%.
The average draw down of your approach was: -2.16%.
The average max profit of your approach was: 3.27%
The Reward/Risk ratio for this approach is: 1.90
Annualized Return on Investment (ROI): 297.09%, the ROI of ^SPX was: 0.00%.

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:858588898172
Losers:727270685352
Win/Loss Ratio:1.18:11.18:11.26:11.31:11.53:11.39:1
Net Change:1.20%1.20%0.99%1.58%2.95%3.15%

Statistics By Variable: Match Price
 <1.5<3<4.5<6<7.5<9<10.5<12<13.5<15
Completed6:46:1519:915:159:66:53:77:410:54:2
2 day chg6:46:1519:915:159:66:53:77:410:54:2
5 day chg6:59:1221:714:159:66:64:66:48:85:1
10 day chg5:67:1420:714:159:69:35:56:410:64:2
25 day chg3:65:914:916:127:69:14:36:313:24:2
40 day chg3:54:915:518:107:56:44:34:310:41:4

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
Completed74:615:82:20:11:0---1:02:0
2 day chg74:615:82:20:11:0---1:02:0
5 day chg73:637:63:11:01:0---1:02:0
10 day chg75:618:43:10:11:0---1:01:1
25 day chg71:446:53:1-1:0---0:10:2
40 day chg60:478:32:1-1:0----1:1



__fetcheruser123
msg #47100
Ignore __fetcheruser123
9/21/2006 4:56:42 PM

Or, for those that don't like time-based exits...

Stop Loss: 5%
Profit Stop: 20%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: N/A
Exit Trigger #1: set{natr14, INDPOSITION(atr(14),60) * 100}
natr14 > 99


 
Approach Information
Approach Name: unnamed approach
Test started on 09/21/2004 ended on 09/21/2006, covering 505 days
Filter used:
close crossed above MA(40)
close one day ago was below MA(40) for the last 40 days

set{natr14, INDPOSITION(atr(14),60) * 100}
natr14 < 10

average volume(90) > 500000
volume > 500000
close is between 1 and 15


Trade Statistics
There were 161 total stocks entered. Of those, 152 or 94.41% were complete and 9 or 5.59% were open.
Of the 152 completed trades, 54 trades or 35.53%resulted in a net gain.
Your average net change for completed trades was: 3.80%.
The average draw down of your approach was: -5.30%.
The average max profit of your approach was: 11.48%
The Reward/Risk ratio for this approach is: 2.13
Annualized Return on Investment (ROI): 94.76%, the ROI of ^SPX was: 0.00%.

Exit Statistics
Stop Loss was triggered 98 times or 64.47% of the time.
Stop Profit was triggered 54 times or 35.53% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time ( days) 0 times or 0.00% 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:548588898172
Losers:987270685352
Win/Loss Ratio:0.55:11.18:11.26:11.31:11.53:11.39:1
Net Change:3.80%1.27%1.05%1.67%3.13%3.33%

Statistics By Variable: Match Price
 <1.5<3<4.5<6<7.5<9<10.5<12<13.5<15
Completed1:103:1814:129:205:96:63:77:35:81:5
2 day chg6:46:1519:915:159:66:53:77:410:54:2
5 day chg6:59:1221:714:159:66:64:66:48:85:1
10 day chg5:67:1420:714:159:69:35:56:410:64:2
25 day chg3:65:914:916:127:69:14:36:313:24:2
40 day chg3:54:915:518:107:56:44:34:310:41:4

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
Completed45:867:52:20:10:1---0:10:2
2 day chg74:615:82:20:11:0---1:02:0
5 day chg73:637:63:11:01:0---1:02:0
10 day chg75:618:43:10:11:0---1:01:1
25 day chg71:446:53:1-1:0---0:10:2
40 day chg60:478:32:1-1:0----1:1



StockFetcher Forums · Filter Exchange · Low ATR Price Cross-Over<< >>Post Follow-up

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