StockFetcher Forums · Filter Exchange · Top Notch "Backtest EXIT Filter"<< >>Post Follow-up
louie6digits
34 posts
msg #97960
Ignore louie6digits
12/11/2010 1:01:39 PM

This is the best EXIT strategy I have ever devised when you need to backtest new filters. I posted the enhancement
results while using this EXIT filter.

EXIT TRIGGER:
Fetcher[linear regression slope(10) above 0.20]

/* Used when buying stocks */
Fetcher[linear regression slope(10) below -0.20]

/* Used when selling stocks */


Trade Statistics
There were 177 total stocks entered. Of those, 120 or 67.80% were complete and 57 or 32.20% were open.
Of the 120 completed trades, 86 trades or 71.67%resulted in a net gain.
Your average net change for completed trades was: 5.62%.
The average draw down of your approach was: -10.91%.
The average max profit of your approach was: 12.04%
The Reward/Risk ratio for this approach is: 3.33
Annualized Return on Investment (ROI): 50.68%, the ROI of ^SPX was: 4.81%.

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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 120 times or 100.00% of the time.


StockFetcher Forums · Filter Exchange · Top Notch "Backtest EXIT Filter"<< >>Post Follow-up

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