StockFetcher Forums · Filter Exchange · "The PROPHECY"<< 1 2 >>Post Follow-up
xplorer
257 posts
msg #33677
Ignore xplorer
10/25/2004 8:13:13 PM

Just to follow-up...
... the two stocks that were selected from "the Prophecy" did fairly well ... I know we had different views on these pick...and why ... but it appears that of the 10 stocks the screen displayed, the two that performed the best were the two we selected.... On target !

FAF up .41 closed at 30.33 up 1.37%
ROCK up .87 closed at 35.42 up 2.52%

Fare Well ~


yepher
353 posts
msg #33684
Ignore yepher
10/26/2004 11:07:40 AM

xplorer,

I ran the filter that started this thread and here are the cumalitve results: (this are probably better viewed in Excel or some other CSV viewer)

Result For,samples, overall,Adv #,Adv %,Dec #,Dec %,Unch,IXIC,DJIA
1 Day, 226, 0.3, 14.39, 2.86, 11.2, -2.66, 0.5, -0.01, -0.02
2 Day, 225, 0.7, 14.57, 4.23, 11.27, -3.42, 0.32, 0.08, 0.02
3 Day, 224, 0.88, 14.56, 5.08, 11.39, -4.18, 0.27, 0.09, 0.04
4 Day, 223, 0.87, 14.55, 5.87, 11.51, -4.74, 0.22, 0.12, 0.04
1 Week, 222, 1.03, 15.01, 6.42, 11.14, -5.21, 0.24, 0.14, 0.06
1 Month, 208, 0.65, 13.16, 13.3, 12.75, -11.9, 0.21, 0.49, 0.49
3 Month, 176, -0.95, 13.02, 21.38, 14.99, -20.58, 0.14, 0.14, 1.52
Current, 226, -2.83, 11.06, 32.51, 15, -29.06, 0.03, -1.27, -3.37

FYI,
These results are calculated by stepping through the stockfetcher performance screen form date offset 1 to date offset 300. Summing of each fields and then divide by the total number of samples.

Here is an example how one field would be calulated.

adv % = (n=1∑300) / sample count

where
n is date offset
and sample count the actual results returned for that field




xplorer
257 posts
msg #33686
Ignore xplorer
10/26/2004 1:01:59 PM

Yepher,

Thanks for the analysis ... I would like a better way to benchmark our screens without it being relative to the day the current trading day.... as the results would always be biased to the current day's sentiment. Correct ?

I assume you ran this outside of SF ? How can I incorporate this testing on any and every screen?

FYI...there is a nice tool from www.QMatix,com that live updates an Excel spreadsheet (yes.. real time without havining to manually refresh) , the program is called XLQ, and is awesome ! It may help with the analysis....

Thanks again !


xplorer
257 posts
msg #33687
Ignore xplorer
10/26/2004 1:19:42 PM

... to further clarify ... some of my screens are for trading, and are really written to hold from 0 to 10 days ... other screens for 0 - 30 days... so ideally it would be great to input the expected "hold time", then when you back test for 60 days, it would assume the gains after the expected "hold time", say 10 days... and not all the way up to the current day. ... know what I mean ? ... and also grab the "maximum gain" and "maximum loss"...

I'm off to the drawing board.... thanks for the spark!


yepher
353 posts
msg #33689
Ignore yepher
10/26/2004 3:34:06 PM

As you say the results are biased toward the trigger day's open value. I don't believe there is a workaround for this within Stockfetcher.

> I assume you ran this outside of SF ? How can I incorporate this testing on any and every screen?

These results were generated directly from the StockFetcher's Performance tool. Although I collect the data automagically and do the calculations automatically.

For true backtesing I generally use Metastock. I have plans to autoconvert Stockfetcher to/from Metastock (and probably TradeStation) filters but have yet to achieve my goal. That goal had the nice side effect of producing my own StockFetcher manual.

> some of my screens are for trading, and are really written to hold from 0 to 10 days ... other screens for 0 - 30 days

I believe the data you seek is contained in the result set already.

This row is what the filter produced on average after 1 week from the trigger day:
1 Week, 222, 1.03, 15.01, 6.42, 11.14, -5.21, 0.24, 0.14, 0.06

And this row is what the filter produces on average after 1 month from the trigger day:
1 Month, 208, 0.65, 13.16, 13.3, 12.75, -11.9, 0.21, 0.49, 0.49

There ia a lot of "raw" data that accompanies these brief results but I did not want to post it because it is quite long. If you are interested in the "raw" form of the data let me know and I will provide a link to download the data.

I think you are probably already aware but Cegis has done some really good work with back-testing within Stockfetcher.

If you have a programming background and are interested in creating your own custom back-testing system you might have a look at:

http://eiffel-mas.sourceforge.net/


Regards,


StockFetcher Forums · Filter Exchange · "The PROPHECY"<< 1 2 >>Post Follow-up

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