StockFetcher Forums · Filter Exchange · Possible Idea - ETF Bollinger Band Strategy<< >>Post Follow-up
Marco Sicily
20 posts
msg #114880
Ignore Marco Sicily
8/14/2013 5:02:47 PM

Hello All !

Messing around today with different variations of a Connors ETF strategy using Bollinger Bands. What I noticed quickly was the performance during an absolutely terrible time period. Notice the difference in ROI% between this small filter and the S&P 500 during the same "Financial Meltdown" period. Haven't really done any intense research but I always like to start with backtesting the worst of times. If a filter can make money during a meltdown it bodes well for the viability of the idea. I thought I'd throw this out there and see if anyone has any use for it. This board has tons of people much smarter than I'll ever be who might be able to tweak the idea into something robust.

Fetcher[

Stock is an ETF
and volume (30) is above 125,000
and close is below lower bollinger band(5,1) last 3 consecutive days
and add column count( close is below lower bollinger band(5,1),5) {Below BB - Last 5 days}
and close is above MA(200)
add column bollinger %b(5,1)
]




There are endless Entry points and trigger possibilities. I just tested the filter without any additional entry criteria. Exit when price closes above MA(5).


Backtest Results:

Approach Information
Approach Name: ETF - Bollinger Band Strategy
Test started on 2008-11-01 ended on 2009-03-01, covering 80 days
Filter used:
ETF - Bollinger Band Strategy (saved filter))

Trade Statistics
There were 33 total stocks entered. Of those, 33 or 100.00% were complete and or 0.00% were open.
Of the 33 completed trades, 20 trades or 60.61%resulted in a net gain.
Your average net change for completed trades was: 2.05%.
The average draw down of your approach was: -3.89%.
The average max profit of your approach was: 6.27%
The Reward/Risk ratio for this approach is: 3.96
Annualized Return on Investment (ROI): 175.99%, the ROI of ^SPX was: -68.68%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $106,173.20. Cash: $106,173.20 Market value of holdings at end: $0.00 (paid: $-295.35)
Realized gain/loss: $6,173.20 ($187.07 per trade.)
Total Commissions Paid: $590.70
Unrealized gain/loss: $295.35.



Kevin_in_GA
4,548 posts
msg #114897
Ignore Kevin_in_GA
8/15/2013 2:44:42 PM

Interesting results - during that time there weren't a lot of ETFs that stayed above their 200 day moving average. Out of curiosity, how many of these 33 trades were in inverse ETFs?

Fundamentally the approach makes sense - buy stocks that are beaten down. There may also be a volume indicator you might want to consider - something that might indicate selling exhaustion.

duke56468
683 posts
msg #114900
Ignore duke56468
8/15/2013 4:43:21 PM

Doesn't do so well in this time frame, using 2 trades /day at 5K each. When I find a filter that does well during these months it is often a pretty good one.

Test started on 2011-04-30 ended on 2011-08-30, covering 85 days
Filter used:
(saved filter))

Trade Statistics
There were 90 total stocks entered. Of those, 90 or 100.00% were complete and or 0.00% were open.
Of the 90 completed trades, 47 trades or 52.22%resulted in a net gain.
Your average net change for completed trades was: -1.01%.
The average draw down of your approach was: -4.15%.
The average max profit of your approach was: 1.42%
The Reward/Risk ratio for this approach is: 0.46
Annualized Return on Investment (ROI): -64.72%, the ROI of ^SPX was: -31.45%.


Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $93,851.76. Cash: $93,851.76 Market value of holdings at end: $0.00 (paid: $-805.50)
Realized gain/loss: $-6,148.24 ($-68.31 per trade.)
Total Commissions Paid: $1,611.00
Unrealized gain/loss: $805.50.


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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 90 times or 100.00% of the time.


Marco Sicily
20 posts
msg #114901
Ignore Marco Sicily
8/15/2013 6:26:38 PM

Kevin - It looks like 8 of the trades were in Inverse ETF's. All things considered, that is not as many as I would of thought.

Duke - You're right. The results were not very good on the period you tested. I tested several of my other filters during that period and most did lousy. Your comment seems to be right on... find a filter that does well during that period and you'll have something.

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