Aktienfahnder
36 posts
msg #43759
- Ignore Aktienfahnder |
5/16/2006 9:46:18 AM
Isn´t that a nice ROI? Of course I know it´s not very realistic - but maybe there is a way to come close??? Here is the backtestresult:
Greetz,
Aktienfahnder
| Approach Information | | Approach Name: price dropped more than 40% and market not otcbb ... | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | price dropped more than 40%
and market not otcbb
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| Trade Statistics | | There were 314 total stocks entered. Of those, 312 or 99.36% were complete and 2 or 0.64% were open. | | Of the 312 completed trades, 122 trades or 39.10%resulted in a net gain. | | Your average net change for completed trades was: 2917.51%. | | The average draw down of your approach was: -14.64%. | | The average max profit of your approach was: 22.44% | | The Reward/Risk ratio for this approach is: 357.67 | | Annualized Return on Investment (ROI): 277916.98%, the ROI of ^SPX was: 6.12%. |
| 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 (2 days) 312 times or 100.00% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 122 | 117 | 134 | 131 | 139 | 138 | | Losers: | 143 | 130 | 132 | 148 | 156 | 158 | | Win/Loss Ratio: | 0.85:1 | 0.90:1 | 1.01:1 | 0.89:1 | 0.89:1 | 0.87:1 | | Net Change: | 2917.51% | 5.56% | 2921.77% | 2933.28% | 2938.46% | 2941.35% |
| Statistics By Variable: Match Price | | | <4 | <8 | <12 | <16 | <20 | <24 | <28 | <32 | <36 | <40 | | Completed | 103:106 | 7:17 | 4:5 | 2:9 | 1:3 | 3:1 | 1:1 | 1:0 | 0:1 | - | | 2 day chg | 98:94 | 6:18 | 5:4 | 3:8 | 1:3 | 2:1 | 1:1 | 1:0 | 0:1 | - | | 5 day chg | 113:94 | 7:18 | 4:7 | 5:6 | 2:2 | 2:2 | 0:2 | 1:0 | 0:1 | - | | 10 day chg | 111:112 | 8:16 | 4:6 | 3:8 | 2:2 | 2:1 | 0:2 | 1:0 | 0:1 | - | | 25 day chg | 116:120 | 9:17 | 4:6 | 3:8 | 2:2 | 4:0 | 0:2 | 1:0 | 0:1 | - | | 40 day chg | 115:120 | 9:17 | 5:7 | 4:7 | 1:3 | 3:1 | 0:2 | 1:0 | 0:1 | - |
| Statistics By Variable: Average Volume | | | <2.5M | <5.0M | <7.5M | <10.0M | <12.5M | <15.0M | <17.5M | <20.0M | <22.5M | <25.0M | | Completed | 118:126 | 3:10 | 1:2 | 0:1 | 0:1 | - | 0:2 | - | - | 0:1 | | 2 day chg | 112:113 | 4:9 | 1:2 | 0:1 | 0:1 | 0:1 | 0:2 | - | - | 0:1 | | 5 day chg | 128:115 | 5:9 | 1:2 | 0:1 | 0:1 | 0:1 | 0:2 | - | - | 0:1 | | 10 day chg | 126:132 | 4:8 | 1:2 | 0:1 | 0:1 | 0:1 | 0:2 | - | - | 0:1 | | 25 day chg | 132:140 | 6:8 | 1:2 | 0:1 | 0:1 | 0:1 | 0:2 | - | - | 0:1 | | 40 day chg | 132:141 | 5:9 | 1:2 | 0:1 | 0:1 | 0:1 | 0:2 | - | - | 0:1 |
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TheRumpledOne
6,407 posts
msg #43760
- Ignore TheRumpledOne |
5/16/2006 10:20:26 AM
Interesting....
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Koronbock
201 posts
msg #43762
- Ignore Koronbock |
5/16/2006 11:29:41 AM
Nice test but too good to be true.
If you add meaningful criteria to make this work (minimum volume and price) the test falls apart. Personally, I do not trade stocks under 500k (Volume x Price). They are too illiquid. Add the bid/ask spread you have another stumbling stone.
Interesting idea though.
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heyen
124 posts
msg #43765
- Ignore heyen |
5/16/2006 12:27:02 PM
@Koronbock
missed Aktienfahnders previous Filter? Crazy, this is a tenthousendfold better one!
@Aktienfahnder
Long time no hear! Howdy! Klasse Filter!
Ich schick Dir 5 Dollar - schick mir den Gewinn einfach am Jahresende mit der Post!!!
;-p
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leaddog
38 posts
msg #43790
- Ignore leaddog |
5/16/2006 8:59:43 PM
Koronbock
How do you handle the ask/bid spread?
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guru_trader
485 posts
msg #43798
- Ignore guru_trader |
5/17/2006 1:13:52 AM
leaddog, I haven't seen one of your posts in a while. Thanks, though, I've tweaked one of your filters for much success. I found it listed in the "filters you actually trade" thread.
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Aktienfahnder
36 posts
msg #43802
- Ignore Aktienfahnder
modified |
5/17/2006 4:05:18 AM
@koronbock:
I´m pretty aware of the facts you mentioned - however, will it really be like this in real trading. In my opinion the big money is made with filters (stocks) like this. Of course you will have a lot of trades going the wrong way... - but what about those that will run perfect? I´m currently trying to run a portfolio (demo, not real) to evaluate these possibilities...
@heyen:
thanks buddy... - war ne woche unterwegs, nun bin ich wieder da - wie läufts bei Dir? Alles Roger? Kannst mir die 5$ ja überweisen... ;-)
@ALL:
I believe that filters should be kept very simple... :-)
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Koronbock
201 posts
msg #43803
- Ignore Koronbock |
5/17/2006 5:57:05 AM
Aktienfahnder:
I am not opposed to your filter per se, just want to point out possible pitfalls. Run your filter again and put in a minimum volume of 300,000 and a minimum price of $1. Even for smaller accounts, this is the neccessary liquidity threshold, imho. See what happens (I have not done this).
Further attention should be given to bid/ask spread (which is high with these stocks) and which may spoil the party in this case. Also the published OPEN price is particularly "theoretical" because you will not get that price in actual trading, rather your fill will be worse (higher).
If the filter holds up under these circumstances, paper trade for a while.
It may still be worthwhile, just be careful before you bet the farm.
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Koronbock
201 posts
msg #43804
- Ignore Koronbock |
5/17/2006 5:59:50 AM
To leaddog:
<< How do you handle the ask/bid spread? >>
I do not trade stocks where the bid/ask spread is a problem. In other words, I stay away from stocks which are illiquid, rather my minimum requirement (Price x volume) is 500K. This way, the problem fades away.
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Aktienfahnder
36 posts
msg #43808
- Ignore Aktienfahnder |
5/17/2006 8:50:52 AM
@Koronbock:
Thanks for your advice - I apprecaite it. Personally I´m also not willing to take too much risk. I know that you are not opposing my filter per se - I see it as good advice. Still, my idea is that sometimes it´s the low volume stocks that suddenly break out. Concerning bid/ask spread, you are right. But there must be a way... ;-)
What is your approach... are you swingtrading? Eager to know!
Greetz,
Aktienfahnder
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