StockFetcher Forums · Filter Exchange · Searching for a simple but secure filter....<< >>Post Follow-up
Aktienfahnder
36 posts
msg #41779
Ignore Aktienfahnder
3/6/2006 11:43:00 AM

Hello,

my idea is to create a simple but effective filter for my trading style. I prefer stocks between 0 and 5$ - the maximum drawdown (or loss) should be 10% - and I would like to realize a 10% (or even more) win within 2 days. Best possible, it should have a win ratio of at least 60%.

I know this sounds too perfect - but maybe someone has an idea? I have tested and created a couple of filters myself and Im still trying. But Im also interested to hear your ideas.

So, please let me know of any idea. Thanks to you and greetings from Good Old Germany,

Aktienfahnder


Koronbock
201 posts
msg #41780
Ignore Koronbock
3/6/2006 12:08:44 PM

Guten Tag Aktienfahnder,

your request sounds a little bit like "I want to have the cake and eat it, too".
Your request is unrealistic. RISK and potential PROFIT are always part of the same equation. You can't have high Profit alone without the risk.

You sound like a man who said "Better to be rich and healthy than poor and sick".

Good trading.


Aktienfahnder
36 posts
msg #41781
Ignore Aktienfahnder
3/6/2006 12:13:23 PM

Ok, maybe I wanted too much... I agree that it sounds too unrealistic - and Im willing to risk something - so, lets forget about the 60% win ratio - would it make it better?


WALLSTREETGENIUS
983 posts
msg #41784
Ignore WALLSTREETGENIUS
3/6/2006 2:20:38 PM

LOL!!!!


Koronbock
201 posts
msg #41818
Ignore Koronbock
3/7/2006 4:30:55 PM

Aktienfahnder,

well, to be honest with you, you sound somewhat naive trying to "make it big quickly". I know it is a very attractive idea, to "have a great filter". As some more experienced members here have pointed out on several occassions, the filter is just part of the whole game plan (and a minor one in my opinion).

Money management is extremely important. I would like to direct your attention to this. Read about money management and "mathematical expectation". A system with a positive mathematical expectation will let you win more than you lose on average and on a constant betting size.

While a system with a negative mathematical expectation cannot (by any means) be turned into a a winning game, a system with a positive mathematical expectation can turn into a losing game with poor money managment.

Read a lot of stuff about this first, then paper trade, then invest small amounts of money which you can afford to lose. Do your homework first. AFTER ALL THIS you may be on the way to be a successful player in this game. Winning this game is not about "great filters". It is "1% inspiration and 99% perspiration".

Good luck.


heyen
124 posts
msg #41820
Ignore heyen
3/7/2006 5:42:09 PM

Unrealistic? I dont know, be aware of money management and expect those trades only to happen once a month :-). BTW these are all nasdaq stocks, traded above 250000 on average. Its only the icing on the cake. This strategy alone is not satisfying. And an expectation of 10% every 2 days is indeed not realistic.

Ausser man hat die Glaskugel, die die Zukunft zeigt :-)

Approach Information
Approach Name: Megafilter (1110%!!!) 2 Days exactly
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
>>>>> Megafilter 2 Days exactly (saved filter)

Trade Statistics
There were 23 total stocks entered. Of those, 23 or 100.00% were complete and or 0.00% were open.
Of the 23 completed trades, 13 trades or 56.52%resulted in a net gain.
Your average net change for completed trades was: 7.86%.
The average draw down of your approach was: -7.72%.
The average max profit of your approach was: 17.10%
The Reward/Risk ratio for this approach is: 3.74
Annualized Return on Investment (ROI): 769.87%, the ROI of ^SPX was: 6.12%.

Exit Statistics
Stop Loss was triggered 4 times or 17.39% 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 (3 days) 19 times or 82.61% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Winners:131013121310
Losers:101310111013
Win/Loss Ratio:1.30:10.77:11.30:11.09:11.30:10.77:1
Net Change:7.86%0.40%6.36%3.54%5.38%3.01%

Statistics By Variable: Match Price
 <2.25<2.5<2.75<3<3.25<3.5<3.75<4<4.25<4.5
Completed2:12:11:02:12:0-0:22:21:11:1
1 day chg2:11:20:12:12:0-0:21:31:11:1
2 day chg2:11:21:01:22:0-0:23:11:11:1
3 day chg2:11:21:02:12:0-0:22:21:11:1
4 day chg2:11:21:02:12:0-1:12:21:11:1
5 day chg2:10:31:02:11:1-1:12:21:10:2

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed4:42:13:21:11:10:11:01:0--
1 day chg3:51:23:21:10:20:11:01:0--
2 day chg5:32:14:11:10:20:11:00:1--
3 day chg4:42:13:21:10:20:11:01:0--
4 day chg4:42:14:11:10:20:11:01:0--
5 day chg3:51:24:11:10:20:10:11:0--



RWRiggleman
3 posts
msg #41821
Ignore RWRiggleman
3/7/2006 5:45:49 PM

Aktienfahnder;

Give this a try................


set{buy, low * .95}

High 52 Week High is between 1.00 and 3.99 and low is between 1.00 and 3.99 and Average Volume(62) is greater than 250000 and market is not OTCBB

add column High 52 Week High
add column Low 52 Week High
add column High
add column Low
add column Buy

Approach Information
Approach Name: FinanceVisor-TEST
Test started on 01/03/2006 ended on 03/07/2006, covering 43 days
Filter used:
FinanceVisor-TEST (saved filter)

Trade Statistics
There were 14 total stocks entered. Of those, 12 or 85.71% were complete and 2 or 14.29% were open.
Of the 12 completed trades, 12 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 11.42%.
The average draw down of your approach was: -6.24%.
The average max profit of your approach was: 14.21%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 593.93%, the ROI of ^SPX was: 10.94%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 12 times or 100.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (999 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg3 day chg5 day chg7 day chg9 day chg
Winners:12791097
Losers:073112
Win/Loss Ratio:0.00:11.00:13.00:110.00:19.00:13.50:1
Net Change:11.42%1.88%3.25%7.93%10.85%7.00%

Statistics By Variable: Match Price
 <1.2<1.6<2<2.4<2.8<3.2<3.6<4<4.4<4.8
Completed1:0-1:0-1:03:01:02:02:01:0
1 day chg0:1-1:00:10:13:11:00:21:11:0
3 day chg1:0-1:00:10:13:01:02:01:00:1
5 day chg1:0-1:0-1:03:01:02:00:11:0
7 day chg1:0-1:0-1:03:0-2:00:11:0
9 day chg1:0-1:0-1:01:1-2:00:11:0

Statistics By Variable: Average Volume
 <500000<1000000<1.5M<2.0M<2.5M<3.0M<3.5M<4.0M<4.5M<5.0M
Completed3:02:05:0-1:0----1:0
1 day chg2:10:33:2-1:0-1:0--0:1
3 day chg2:10:25:0-1:0----1:0
5 day chg3:01:04:1-1:0----1:0
7 day chg3:01:03:1-1:0----1:0
9 day chg2:01:03:1-0:1----1:0



Aktienfahnder
36 posts
msg #41831
Ignore Aktienfahnder
3/8/2006 2:41:42 AM

Hi to all of you,

Im very happy to receive so many responses - and, to be honest, that was part of my plan. I have to admitt that Im not as stupid as my posting made it look like. In fact I have read quite a lot about money management (so thanks for your advise - it is really very important!). And Im also currently "papertrading" some portfolios with filters from stockfetcher.

What however was my idea? - I know that if a "Holy Grail" was existing, everyone would use it. There are quite good filters around - the only problem, the higher the expected win, the higher the risk (drawdown).

Im looking for an approach which has a low drawdown - so I will not be stopped out. And a 10% win within two days - forget about it - 5 days is good enough... ;-)

Trading for real I made quite good results - using only ema, macd, rsi, and my intuition. However, I did not manage to create a filter yet, that can do the same... (probably because intuition can not be covered by technical analysis).

So long,
Aktienfahnder


Aktienfahnder
36 posts
msg #41832
Ignore Aktienfahnder
3/8/2006 2:48:08 AM

@RWRiggleman:

Thanks, I was just taking a short look at your filter - and I guess its quite good for my purposes - however, Im short on time right now, so I will check it more precisely later on. Thanks again. (but, do you have an advice on when to buy, entry?)

Greetings,
Aktienfahnder


RWRiggleman
3 posts
msg #41844
Ignore RWRiggleman
3/8/2006 6:54:43 PM

Aktienfahnder,

Absolutely!! I buy 5% below the previous days low price. Here's the filter I use to set the buy price: set(buy, low 1 day ago * .95). I also make the statement conditional.

Hope this helps................


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