StockFetcher Forums · Filter Exchange · ROI>24490%<< 1 2 >>Post Follow-up
Aktienfahnder
36 posts
msg #42016
Ignore Aktienfahnder
3/14/2006 11:46:23 AM

Seems to good to be true... This simple filter will give you a 24490% ROI if you use a stopp-loss of 10%, a profit-stopp of 150%, and a maximum holding time of 1 day - backtested for 2 years...

Show stocks where Close gained more than 30 percent over the last 1 day
and close is between 0 and 2

What am I not seeing?


heyen
124 posts
msg #42017
Ignore heyen
3/14/2006 12:37:21 PM

just a couple hundred bucks and i'll be multiple millionaire wihtin 1 year.

thank you aktienfahnder ;-)



Aktienfahnder
36 posts
msg #42018
Ignore Aktienfahnder
3/14/2006 12:42:12 PM

no problem, you´re always welcome...


maxreturn
745 posts
msg #42019
Ignore maxreturn
3/14/2006 12:45:21 PM

Could it possibly be that the majority of the ROI takes place on the day of the event? My guess is yes. Just take a look at the returns doing an offset of 1 or more days. Lot's of red.


Aktienfahnder
36 posts
msg #42021
Ignore Aktienfahnder
3/14/2006 1:11:36 PM

yes, but is that a problem?


Koronbock
201 posts
msg #42022
Ignore Koronbock
3/14/2006 1:13:00 PM

These filters are so called "toy filters". Which means, they look really great (on paper) but upon close scrutiny, they fall apart. They fail because:

1. Do not take into account liquidity.

2. Do not take into account bid/ask spread, i.e. a kstock that is 0.01 today and 0.02 tomorrow will make you a "100% profit" on paper. In reality you would lose money because the spread would be excessive (in relative terms).

3. There are thousands of tiny little stocks out there (penny stocks) which you can trade (theoretically) but even with a small account you would not be able to move in and out of the stock because of lack of shares traded without moving the stock price to your disadvantage.

In all, it is relatively easy to create "theoretical" filters which show tremendous gains but fall apart in real world trading.

Hope this is alluminating.


Aktienfahnder
36 posts
msg #42023
Ignore Aktienfahnder
3/14/2006 1:41:18 PM

@Koronbock:

Thanks, I was expecting an answer like this! - So, which kind of filters are actually working? (raising the entry price of a stock? the volume?)


judgetrade
107 posts
msg #42028
Ignore judgetrade
3/14/2006 3:16:14 PM

add this and run the test again.

set{dollarVolume, cma(volume, 100) * close}
dollarVolume > 25000
set{dollarVolumeII, cma(volume, 2) * close}
dollarVolumeII > 50000




Koronbock
201 posts
msg #42037
Ignore Koronbock
3/14/2006 4:49:01 PM

Aktienfahnder,

JUDGE has given you a good answer to start with. He is requiring a certain $ volume (or liquidity) with this formula. Personally I do not trade any stock that does not have a minimum $$ Value > 1000,000. In other words, if a stock is $1 I want at least 1000 K volume, if the stock is $5, I am fine with 200 K volume. This way, you can move in and out of a stock with ease (unless you have a very large account).

Hope this helps.


heyen
124 posts
msg #42040
Ignore heyen
3/14/2006 5:21:07 PM

Are we getting a little too serious here?
I mean 25k% Profit exceeds my own gaming with pennyfilters by far.
I never busted the 2k% Limit.
I'd say Aktienfahnder knows what he's done. Good job!

Thats the way to find the money - just not the place.

But speaking of profit - is someone reliably doing more than 100-150% after commission around here? (Not intraday)


StockFetcher Forums · Filter Exchange · ROI>24490%<< 1 2 >>Post Follow-up

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