TheRumpledOne
6,407 posts
msg #43727
- Ignore TheRumpledOne |
5/15/2006 1:20:43 AM
"... donations accepted :-)"
Uh oh...
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TheRumpledOne
6,407 posts
msg #43726
- Ignore TheRumpledOne
modified |
5/15/2006 1:31:47 AM
Precaution for QQQQ is 52 but Mcoor for QQQQ is 87.
Talk about telling the future!!
If price closes above the middle, go/stay long.
If price closes below the middle, go/stay short.
If during the day the price crosses the middle, go with the flow.
MAY ALL YOUR FILLS BE COMPLETE.
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TheRumpledOne
6,407 posts
msg #43725
- Ignore TheRumpledOne
modified |
5/15/2006 1:39:56 AM
Nice work fellow traders!
I added a correlation column MCoor for the MIDDLE.
As you can see, for the "big boy" NASDAQ stocks, trading in the direction of the middle usually gives you a 60% or better chance at a profit, if you hold all day and better if you scalp out when you can.
Remember the market is made up of individual stocks not the other way around.
MAY ALL YOUR FILLS BE COMPLETE.
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heyen
124 posts
msg #43730
- Ignore heyen |
5/15/2006 4:18:08 AM
Thanks for your feedback TheRumpledOne!
Hey TRO, i have just one problem with your Middle Display:
having the close on one side above / below middle wont tell me where the
highs and lows are going to be nor if theres a pos/neg day change.
It doesnt tell me, that the close is going to be above or below the open.
Just a propability of having more profit from shorting from top or
going long from the bottom, if i knew were that is.
Test it!
Correlation to day change or "close above/below open" ain't that good.
(Around 50/50)
But as you say, its not a filter, its a display, even an idea concept only.
Hey and why is there a difference between middle & day position(.5)?
I thought they were the same, but aren't!
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heyen
124 posts
msg #43732
- Ignore heyen |
5/15/2006 5:14:00 AM
New Backtest:
Buying stock that correlate close to the qqqq. Signal is when stocks that precede the qqqq move north.
| Approach Information | | Approach Name: Foreteller | | Test started on 12/30/2005 ended on 05/12/2006, covering 91 days | | Filter used: | market is nasdaq
avgvol(90) above 100000
set{c1,count(ind(qqqq,day change) above 0,1) + count(day change above 0,1)}
set{c2,count(ind(qqqq,day change) below 0,1) + count(day change below 0,1)}
set{c3,count(max(c1,c2) equal 2,100)}
add column c3
sort by column 5 descending
set{c4,count(ind(prwt,day change) above 0,1)+count(ind(amln,day change) above 0,1)}
set{c5,count(ind(cege,day change) above 0,1)+count(ind(xlnx,day change) above 0,1)}
set{c6,c4+c5}
c6 above 2 |
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| Trade Statistics | | There were 105 total stocks entered. Of those, 105 or 100.00% were complete and or 0.00% were open. | | Of the 105 completed trades, 60 trades or 57.14%resulted in a net gain. | | Your average net change for completed trades was: 0.69%. | | The average draw down of your approach was: -1.54%. | | The average max profit of your approach was: 1.66% | | The Reward/Risk ratio for this approach is: 1.97 | | Annualized Return on Investment (ROI): 170.90%, the ROI of ^SPX was: 7.97%. |
| 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 (1 days) 105 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 | 1 day chg | 2 day chg | 3 day chg | 4 day chg | 5 day chg | | Winners: | 60 | 56 | 58 | 58 | 57 | 58 | | Losers: | 45 | 48 | 47 | 47 | 48 | 47 | | Win/Loss Ratio: | 1.33:1 | 1.17:1 | 1.23:1 | 1.23:1 | 1.19:1 | 1.23:1 | | Net Change: | 0.69% | 0.19% | 0.82% | 1.62% | 1.85% | 1.73% |
| Statistics By Variable: Match Price | | | <120 | <160 | <200 | <240 | <280 | <320 | <360 | <400 | <440 | <480 | | Completed | 25:10 | 16:19 | - | - | - | - | 6:5 | 6:4 | 4:6 | 3:1 | | 1 day chg | 22:12 | 17:18 | - | - | - | - | 6:5 | 4:6 | 3:7 | 4:0 | | 2 day chg | 21:14 | 17:18 | - | - | - | - | 7:4 | 5:5 | 5:5 | 3:1 | | 3 day chg | 22:13 | 16:19 | - | - | - | - | 7:4 | 6:4 | 5:5 | 2:2 | | 4 day chg | 22:13 | 16:19 | - | - | - | - | 6:5 | 6:4 | 5:5 | 2:2 | | 5 day chg | 23:12 | 16:19 | - | - | - | - | 8:3 | 4:6 | 5:5 | 2:2 |
| 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 | | Completed | 35:19 | 6:10 | - | - | - | 7:5 | 5:5 | 6:5 | 1:1 | - | | 1 day chg | 32:21 | 7:9 | - | - | - | 6:6 | 3:7 | 7:4 | 1:1 | - | | 2 day chg | 29:25 | 9:7 | - | - | - | 7:5 | 6:4 | 5:6 | 2:0 | - | | 3 day chg | 30:24 | 8:8 | - | - | - | 8:4 | 5:5 | 5:6 | 2:0 | - | | 4 day chg | 29:25 | 9:7 | - | - | - | 7:5 | 6:4 | 5:6 | 1:1 | - | | 5 day chg | 28:26 | 11:5 | - | - | - | 6:6 | 6:4 | 7:4 | 0:2 | - |
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__fetcheruser123
msg #43739
- Ignore __fetcheruser123 |
5/15/2006 3:17:24 PM
hscott,
What kind of trade setup were you using? I tried backtesting your filter with a 25% stop loss, like you mentioned, and my results were not so great.
Stop Loss: 25%
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
| Approach Information | | Approach Name: unnamed approach | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | set{c1,count(ind(qqqq,day change) 1 day ago above 0,1)}
set{c11,count(day change above 0,1)}
set{c12,c1+c11}
set{c13,count(c12 equal 2,100)}
set{c2,count(ind(qqqq,day change) 1 day ago below 0,1)}
set{c21,count(day change below 0,1)}
set{c22,c2 + c21}
set{c24,count(c22 equal 2,100)}
set{c23,1.8*c24}
set{c3,c13-c23}
c3 greater than 12
and Historical Volatility(100,1) less than 40
add column c3
and add column c13
and add column c23
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| Trade Statistics | | There were 501 total stocks entered. Of those, 500 or 99.80% were complete and 1 or 0.20% were open. | | Of the 500 completed trades, 234 trades or 46.80%resulted in a net gain. | | Your average net change for completed trades was: -0.04%. | | The average draw down of your approach was: -4.67%. | | The average max profit of your approach was: 4.65% | | The Reward/Risk ratio for this approach is: 0.98 | | Annualized Return on Investment (ROI): -0.40%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 3 times or 0.60% 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 (25 days) 497 times or 99.40% 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: | 234 | 241 | 262 | 280 | 227 | 269 | | Losers: | 261 | 249 | 232 | 216 | 268 | 230 | | Win/Loss Ratio: | 0.90:1 | 0.97:1 | 1.13:1 | 1.30:1 | 0.85:1 | 1.17:1 | | Net Change: | -0.04% | -0.09% | 0.19% | 0.40% | -0.03% | 1.42% |
| Statistics By Variable: Match Price | | | <400 | <800 | <1200 | <1600 | <2000 | <2400 | <2800 | <3200 | <3600 | <4000 | | Completed | 232:260 | 1:0 | - | - | - | - | - | 1:1 | - | - | | 2 day chg | 238:249 | 1:0 | - | - | - | - | - | 2:0 | - | - | | 5 day chg | 259:232 | 1:0 | - | - | - | - | - | 2:0 | - | - | | 10 day chg | 278:215 | 1:0 | - | - | - | - | - | 1:1 | - | - | | 25 day chg | 225:267 | 1:0 | - | - | - | - | - | 1:1 | - | - | | 40 day chg | 267:229 | 1:0 | - | - | - | - | - | 1:1 | - | - |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 233:257 | 0:2 | - | 1:0 | 0:1 | - | - | - | - | 0:1 | | 2 day chg | 239:246 | 0:2 | - | 1:0 | 0:1 | - | - | - | - | 1:0 | | 5 day chg | 260:229 | 0:2 | - | 1:0 | 0:1 | - | - | - | - | 1:0 | | 10 day chg | 276:215 | 1:1 | - | 1:0 | 1:0 | - | - | - | - | 1:0 | | 25 day chg | 226:264 | 0:2 | - | 1:0 | 0:1 | - | - | - | - | 0:1 | | 40 day chg | 267:227 | 0:2 | - | 1:0 | 1:0 | - | - | - | - | 0:1 |
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heyen
124 posts
msg #43740
- Ignore heyen
modified |
5/15/2006 3:36:34 PM
hscott seems to use an exit filter, would you share hscott?
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hscott
34 posts
msg #43748
- Ignore hscott |
5/15/2006 5:01:04 PM
Yes, my exit filter is 10% profit stop plus "close crossed above upper bollinger band(15,2.6)"
I don't think you want a maximum holding days value as these seem to take awhile to develop.
chrismnu2003 - ran my filter with your dates and my exits and got ROI 10.96 with 63% gain. Not as good as before true enough.
| Approach Information | | Approach Name: set{c2,count(ind(qqqq,day change) 1 day ago below ... | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | set{c1,count(ind(qqqq,day change) 1 day ago above 0,1)}
set{c11,count(day change above 0,1)}
set{c12,c1+c11}
set{c13,count(c12 equal 2,100)}
set{c2,count(ind(qqqq,day change) 1 day ago below 0,1)}
set{c21,count(day change below 0,1)}
set{c22,c2 + c21}
set{c24,count(c22 equal 2,100)}
set{c23,1.8*c24}
set{c3,c13-c23}
c3 greater than 12
and Historical Volatility(100,1) less than 40
add column c3
and add column c13
and add column c23
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| Trade Statistics | | There were 427 total stocks entered. Of those, 427 or 100.00% were complete and or 0.00% were open. | | Of the 427 completed trades, 268 trades or 62.76%resulted in a net gain. | | Your average net change for completed trades was: 1.37%. | | The average draw down of your approach was: -4.74%. | | The average max profit of your approach was: 4.91% | | The Reward/Risk ratio for this approach is: 1.78 | | Annualized Return on Investment (ROI): 10.96%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 3 times or 0.70% of the time. | | Stop Profit was triggered 69 times or 16.16% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (40 days) 241 times or 56.44% of the time. | | An exit trigger was executed 114 times or 26.70% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 268 | 221 | 238 | 253 | 207 | 240 | | Losers: | 157 | 197 | 183 | 171 | 215 | 185 | | Win/Loss Ratio: | 1.71:1 | 1.12:1 | 1.30:1 | 1.48:1 | 0.96:1 | 1.30:1 | | Net Change: | 1.37% | 0.13% | 0.46% | 0.83% | 0.56% | 2.03% |
| Statistics By Variable: Match Price | | | <400 | <800 | <1200 | <1600 | <2000 | <2400 | <2800 | <3200 | <3600 | <4000 | | Completed | 266:156 | 1:0 | - | - | - | - | - | 1:1 | - | - | | 2 day chg | 218:197 | 1:0 | - | - | - | - | - | 2:0 | - | - | | 5 day chg | 235:183 | 1:0 | - | - | - | - | - | 2:0 | - | - | | 10 day chg | 251:170 | 1:0 | - | - | - | - | - | 1:1 | - | - | | 25 day chg | 205:214 | 1:0 | - | - | - | - | - | 1:1 | - | - | | 40 day chg | 238:184 | 1:0 | - | - | - | - | - | 1:1 | - | - |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 267:156 | - | - | 1:0 | - | - | - | - | - | 0:1 | | 2 day chg | 219:197 | - | - | 1:0 | - | - | - | - | - | 1:0 | | 5 day chg | 236:183 | - | - | 1:0 | - | - | - | - | - | 1:0 | | 10 day chg | 251:171 | - | - | 1:0 | - | - | - | - | - | 1:0 | | 25 day chg | 206:214 | - | - | 1:0 | - | - | - | - | - | 0:1 | | 40 day chg | 239:184 | - | - | 1:0 | - | - | - | - | - | 0:1 |
| Statistics By Variable: ADX(14|14) | | | <10 | <20 | <30 | <40 | <50 | <60 | <70 | <80 | <90 | <100 | | Completed | 0:1 | 33:21 | 72:51 | 69:32 | 42:23 | 37:14 | 12:9 | 3:6 | - | - | | 2 day chg | 1:0 | 26:26 | 68:53 | 50:50 | 33:31 | 26:24 | 13:8 | 4:5 | - | - | | 5 day chg | 1:0 | 32:22 | 73:49 | 54:45 | 32:32 | 28:24 | 13:7 | 5:4 | - | - | | 10 day chg | 1:0 | 30:24 | 74:49 | 56:43 | 38:27 | 35:17 | 15:6 | 4:5 | - | - | | 25 day chg | 0:1 | 23:31 | 66:56 | 46:53 | 27:38 | 33:18 | 9:12 | 3:6 | - | - | | 40 day chg | 0:1 | 30:23 | 62:62 | 65:36 | 36:28 | 36:16 | 9:12 | 2:7 | - | - |
| Statistics By Variable: Comparative Relative Strength(^IXIC|10) | | | <0.8 | <0.9 | <1 | <1.1 | <1.2 | <1.3 | <1.4 | <1.5 | <1.6 | <1.7 | | Completed | 1:0 | - | 171:99 | 84:52 | 11:6 | 1:0 | - | - | - | - | | 2 day chg | 1:0 | - | 139:125 | 72:63 | 9:8 | 0:1 | - | - | - | - | | 5 day chg | 1:0 | - | 158:108 | 72:64 | 7:10 | 0:1 | - | - | - | - | | 10 day chg | 1:0 | - | 164:105 | 82:54 | 6:11 | 0:1 | - | - | - | - | | 25 day chg | 1:0 | - | 134:133 | 64:72 | 8:9 | 0:1 | - | - | - | - | | 40 day chg | 1:0 | - | 154:117 | 76:59 | 9:8 | 0:1 | - | - | - | - |
| Statistics By Variable: Historical Volatility(100|1|365) | | | <8 | <12 | <16 | <20 | <24 | <28 | <32 | <36 | <40 | <44 | | Completed | 7:4 | 36:14 | 44:32 | 48:14 | 37:34 | 21:25 | 29:16 | 28:14 | 18:4 | - | | 2 day chg | 6:4 | 31:19 | 36:39 | 30:30 | 32:38 | 17:28 | 32:13 | 22:19 | 15:7 | - | | 5 day chg | 7:4 | 31:20 | 46:29 | 32:29 | 37:32 | 20:25 | 30:15 | 21:21 | 14:8 | - | | 10 day chg | 4:7 | 31:21 | 42:33 | 41:21 | 41:30 | 24:22 | 29:15 | 26:16 | 15:6 | - | | 25 day chg | 5:6 | 28:21 | 30:45 | 37:25 | 26:44 | 22:24 | 21:24 | 24:18 | 14:8 | - | | 40 day chg | 6:5 | 33:19 | 41:35 | 43:18 | 31:40 | 19:26 | 26:19 | 25:17 | 16:6 | - |
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heyen
124 posts
msg #43749
- Ignore heyen
modified |
5/15/2006 7:23:56 PM
Watchout! Bearmarket is over?
Market was split today almost 50/50 between advancing and declining.
Bulls are testing bears tomorow...
My precaution filter indicates that tomorrow (May 16th 2006) will be a positive day for the market.
We'll see if this holds true...
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hscott
34 posts
msg #43751
- Ignore hscott |
5/15/2006 11:16:33 PM
Heyen - On your Foreteller backtest, either there is something wrong or I am missing something. If I run your filter for May 15, I get 1628 stocks. That is because when your key stocks go up any Nasdaq stock will satisfy your filter. So you must get a small number of stocks by specifying say only a max of 1 stock per day. So then the key is how you sort and which stock out of a long list you pick.
I would have thought that you'd want to add a criterion such as c3 greater than 12.
Anyway I modified your idea a little reqiring good correlation with Nasdaq and that 2 of your key stocks go up. By the way this is a great idea you had about foretelling.
| Approach Information | | Approach Name: set{c4,count(ind(qqqq,day change) 1 day ago above ... | | Test started on 06/30/2005 ended on 03/31/2006, covering 189 days | | Filter used: | set{c4,count(ind(qqqq,day change) 1 day ago above 0,1)}
set{c41,count(day change above 0,1)}
set{c42,c4+c41}
set{c43,count(c42 equal 2,100)}
set{c44,count(ind(prwt,day change) above 0,1)+count(ind(amln,day change) above 0,1)}
c44 above 1
c43 above 38
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| Trade Statistics | | There were 345 total stocks entered. Of those, 220 or 63.77% were complete and 125 or 36.23% were open. | | Of the 220 completed trades, 190 trades or 86.36%resulted in a net gain. | | Your average net change for completed trades was: 5.10%. | | The average draw down of your approach was: -5.38%. | | The average max profit of your approach was: 7.04% | | The Reward/Risk ratio for this approach is: 5.88 | | Annualized Return on Investment (ROI): 67.62%, the ROI of ^SPX was: 10.34%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 45 times or 20.45% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (250 days) 0 times or 0.00% of the time. | | An exit trigger was executed 175 times or 79.55% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 190 | 173 | 205 | 201 | 193 | 163 | | Losers: | 29 | 170 | 138 | 143 | 151 | 132 | | Win/Loss Ratio: | 6.55:1 | 1.02:1 | 1.49:1 | 1.41:1 | 1.28:1 | 1.24:1 | | Net Change: | 5.10% | -0.11% | 1.07% | 1.80% | 3.11% | 5.29% |
| Statistics By Variable: Match Price | | | <20 | <40 | <60 | <80 | <100 | <120 | <140 | <160 | <180 | <200 | | Completed | 69:13 | 59:13 | 35:2 | 15:0 | 7:0 | 1:0 | 2:0 | 1:0 | - | 1:1 | | 2 day chg | 50:58 | 54:58 | 40:32 | 19:11 | 7:6 | 0:1 | 2:0 | 0:3 | - | 1:1 | | 5 day chg | 67:40 | 59:53 | 44:28 | 22:9 | 10:3 | 1:0 | 2:0 | 0:3 | - | 0:2 | | 10 day chg | 67:42 | 58:53 | 42:30 | 20:11 | 9:4 | 1:0 | 2:0 | 1:2 | - | 1:1 | | 25 day chg | 59:49 | 56:56 | 41:31 | 23:8 | 9:4 | 1:0 | 2:0 | 1:2 | - | 1:1 | | 40 day chg | 51:43 | 47:46 | 29:32 | 21:5 | 10:3 | 1:0 | 2:0 | 2:1 | - | 0:2 |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 188:29 | 2:0 | - | - | - | - | - | - | - | - | | 2 day chg | 172:167 | 1:2 | - | - | - | - | - | - | - | 0:1 | | 5 day chg | 203:136 | 2:1 | - | - | - | - | - | - | - | 0:1 | | 10 day chg | 198:142 | 2:1 | - | - | - | - | - | - | - | 1:0 | | 25 day chg | 192:148 | 1:2 | - | - | - | - | - | - | - | 0:1 | | 40 day chg | 161:130 | 1:2 | - | - | - | - | - | - | - | 1:0 |
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