StockFetcher Forums · Filter Exchange · Short - Optionable<< >>Post Follow-up
265 posts
msg #81763
Ignore trendscanner
10/26/2009 10:32:23 AM

Came up with this short filter over the weekend.


/* Short - Optionable*/
close between 1 and 15
average volume(30) > 70000
Count(rsi(2) > 99, 5) > 2
rsi(2) one day ago > 99
Average Day Range(10) reached new 4 week high within last 3 days
ECO(10,5) reached new 6 week high within last 3 days
ECO(10,5) < ECO(10,5) 1 day ago
close above upper bollinger band(20,2) within last 5 days

Backtest results for 4/1/09 through last Friday (10/23/09), using 10% stop loss, 10% profit stop, and maximum hold time of 5 days.

Trade Statistics
There were 25 total stocks entered. Of those, 25 or 100.00% were complete and or 0.00% were open.
Of the 25 completed trades, 19 trades or 76.00%resulted in a net gain.
Your average net change for completed trades was: 5.70%.
The average draw down of your approach was: -4.27%.
The average max profit of your approach was: 11.74%
The Reward/Risk ratio for this approach is: 5.89
Annualized Return on Investment (ROI): 651.26%, the ROI of ^SPX was: 62.25%.

Exit Statistics
Stop Loss was triggered 2 times or 8.00% of the time.
Stop Profit was triggered 15 times or 60.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (5 days) 8 times or 32.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Had one hit for last Friday, AMCN. Itís down 1% this AM. Traveling this week, probably wonít get a chance to try using this filter until next week.

StockFetcher Forums · Filter Exchange · Short - Optionable<< >>Post Follow-up

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