StockFetcher Forums · Filter Exchange · %R (14) Top Pop ... 90% Win Rate, 2491% ROI<< >>Post Follow-up
msg #43177
Ignore __fetcheruser123
4/24/2006 12:36:55 PM

This version includes the MACD divergance. The idea is the same: that you can get a 0.5% pop the day after this signal is seen.

Backtest setup:

Stop Loss: N/A
Profit Stop: 0.5%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1

Selection Method: select by volume descending
Entry Price: close
Conditional Entry: No
Exit Price: close
Maximum Trades Per Day: 25
Maximum Open Positions: 250

offset 7 days
Show stocks where Williams %R (14) has been above -17.00 for the last 4 days
and where Williams %R (14) 5 days ago had been below -10 for 20 days
and where Williams %R (14) has increased in the last 1 day
and where Williams %R (14) has been below -3.00 for the last 10 days
and Average Volume(90) is above 50000
and close is between 3 and 12
set {divergence, MACD Fast Line(12,26) - MACD Slow Line(12,26)}
and where divergence > 0.08
and where divergence has increased in the last 1 day
draw MACD

Approach Information
Approach Name: Chris -- %R (14) Top Pop
Test started on 12/31/2003 ended on 06/29/2004, covering 123 days
Filter used:
Chris -- %R (14) Top Pop (saved filter)

Trade Statistics
There were 143 total stocks entered. Of those, 142 or 99.30% were complete and 1 or 0.70% were open.
Of the 142 completed trades, 128 trades or 90.14%resulted in a net gain.
Your average net change for completed trades was: 1.70%.
The average draw down of your approach was: -3.10%.
The average max profit of your approach was: 2.87%
The Reward/Risk ratio for this approach is: 9.41
Annualized Return on Investment (ROI): 2491.30%, the ROI of ^SPX was: 4.81%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 118 times or 83.10% 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) 24 times or 16.90% 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
Win/Loss Ratio:9.14:11.00:11.04:10.89:10.67:10.62:1
Net Change:1.70%-0.10%0.23%0.31%-1.90%-4.71%

Statistics By Variable: Match Price
2 day chg0:24:54:911:414:129:66:1211:57:115:5
5 day chg0:23:610:39:510:1511:48:106:108:106:3
10 day chg1:14:57:69:613:137:88:85:117:115:5
25 day chg0:23:66:76:99:177:87:118:85:136:4
40 day chg0:22:75:85:1010:176:98:107:97:115:5

Statistics By Variable: Average Volume
2 day chg62:692:11:04:00:11:0---1:0
5 day chg65:632:11:01:31:00:1---1:0
10 day chg60:692:11:01:30:11:0---1:0
25 day chg54:770:31:01:30:10:1---1:0
40 day chg51:811:21:01:30:10:1---1:0

StockFetcher Forums · Filter Exchange · %R (14) Top Pop ... 90% Win Rate, 2491% ROI<< >>Post Follow-up

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