StockFetcher Forums · Filter Exchange · Questions/Drawdown<< 1 2 >>Post Follow-up
maulding
8 posts
msg #89181
Ignore maulding
3/5/2010 5:56:14 PM

Hi all...I have a question about using Stockfetcher. I have stumbled across a filter that produces 100% winning trades over the past several years. However, when you include a stop loss, it negatively affects the results dramatically. I hate the idea of trading without a stop loss, but I like the looks of these results. SF is telling me the average drawdown is about 9.x percent on these trades. My question is...is there a way to see the MAX drawdown?

Thanks in advance. Will be happy to post the filter if anybody is interested in working it over. I've backtested it for 6 years (2 years at at time) and always get 100% wins, but not having a stop loss and not knowing what the max drawdown would be is a little unsettling.

Since doing this, I took the stop loss away from several of my other filters, and that also improved the results and annual return dramatically. But the avg drawdowns were a little higher. Just really looking to see if there's a way to find the max drawdown on a filter. Thanks again.

chetron
2,817 posts
msg #89182
Ignore chetron
3/5/2010 6:07:48 PM

i would love to see your filter, post it


tia

maulding
8 posts
msg #89203
Ignore maulding
3/6/2010 12:33:03 PM

Sure...keep in mind I'm new to stockfetcher, and have only been trading about a year. This would appear to be more of a buy-and-hold (for a couple months) approach, and there are many, many trades, but please give me your input.

I don't know how to make it clickable...I'll rely on your help for that. Here it is:

average volume(20) is above 500000 and
close is above 7 and
adx(10) is greater than 30 and
pdi(10) is greater than mdi(10) and
high one day ago is less than ma(5)


The only exit rules are a 10% profit stop, and a max hold time of 60 days. Several trades are not complete at the end of a 2 year period of backtesting, but of the ones that are, 100% are winners (with a varying and impressive annual return). Am I missing something? Thanks.

heypa
283 posts
msg #89204
Ignore heypa
3/6/2010 1:22:45 PM

Curious as to how this would work if not in a bull market.
I'd sell 1/2 at 10% the rest at 10% loss from high or trend line break.
Keep the amount bet at less than 5% bankroll and don't worry about the stop loss.It's not required.

maulding
8 posts
msg #89205
Ignore maulding
3/6/2010 1:26:36 PM

I tested it, 2 years at a time, for the last 6 years using the exit parameters listed. Would you suggest testing a shorter period, say, the last big bear market?

maulding
8 posts
msg #89206
Ignore maulding
3/6/2010 1:32:32 PM

From 5/1/08 to 3/1/09, it gives 53% wins, but a -62% annual return. Can anybody give me a little help on how to input that exit strategy? (selling half at 10% profit, and the other half at trend line break or 10% from top?)

heypa
283 posts
msg #89209
Ignore heypa
3/6/2010 1:54:35 PM

Can't help. I work visually. Not good at numbers and programming.My testing is time consuming by stepping back "one day at a time'. For me worth the time spent.

chetron
2,817 posts
msg #89211
Ignore chetron
3/6/2010 2:56:37 PM

WHAT YOU ARE DOING WRONG, TO GET 100% WINS....

IF YOUR ONLY EXIT IS TO SELL A POSITION ONLY IF IT HAS A PROFIT, HOW CAN YOU LOSE???????? = )
BUT YOU STILL HAVE ALL THE OPEN POSITIONS FESTERING.

IF YOU GO TO THE EQUITY SUMMARY OF YOUR BACKTEST YOU SHOULD SEE WHAT WOULD HAPPEN IF YOU LIQUIDATED AT THE END OF THE TEST PERIOD, OR WHERE YOUR PORTFOLLIO WAS AT. I GOT - 12000.00ISH


IF YOU WANT TO SEE THE MAX DRAW DOWN, JUST GO TO TRADES AND CLICK THE DRAW DOWN COLUMN HEADING. I GOT MAX DRAW DOWNS OF -99% ON SOME AND IT DIDN'T GET TO MUCH NICER FOR AWHILE.


HTH



wdewerff
7 posts
msg #89216
Ignore wdewerff
3/6/2010 6:56:40 PM

The problem with no stop and holding until you're profitable is that you're tying up money in trades that are going against you while waiting for them to turn around. Unless you are only using a small percentage of your balance the majority of the time you may not have money to take the best trade setups when they become available.

moby
314 posts
msg #89226
Ignore moby
3/6/2010 10:28:57 PM

clickable

Fetcher[average volume(20) is above 500000 and
close is above 7 and
adx(10) is greater than 30 and
pdi(10) is greater than mdi(10) and
high one day ago is less than ma(5)
]



StockFetcher Forums · Filter Exchange · Questions/Drawdown<< 1 2 >>Post Follow-up

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