StockFetcher Forums · Filter Exchange · VOLUME DISPLAY<< 1 2 >>Post Follow-up
glm47
51 posts
msg #42535
Ignore glm47
3/26/2006 5:44:35 PM

Cut and pasted from your post earlier in this thread:

/* dvpct - percentage dollar volume increased(+)/decreased(-) */

set{dv1, close 1 day ago * volume 1 day ago }
set{dv, close * volume }
set{netdvchg, dv - dv1}
set{dvpc, netdvchg / dv1 }
set{dvpct, dvpc * 100}

/* valchg - percentage value increased(+)/decreased(-) */

set{netchg, close - close 1 day ago}
set{CCC, netchg / close 1 day ago}
set{VVV, volume / volume 1 day ago}
set{CCCVVV, CCC * VVV}
set{valchg, CCCVVV * 100 }


add column dvpct
add column valchg

close above 50
volume above 1000000



TheRumpledOne
6,359 posts
msg #42536
Ignore TheRumpledOne
3/26/2006 6:05:07 PM

"Anyway, here are the backtest results of TRO's Volume Change filter with my own Swing Trade parameters along with RSI(10) entry and exit signals. I was impressed by the 61% ROI... "

You didn't post YOUR filter.

The close/volume selection criteria I used was just for example purposes.


glm47
51 posts
msg #42539
Ignore glm47
3/26/2006 6:14:47 PM

Yes but those parameters are a filter by themselves...


TheRumpledOne
6,359 posts
msg #42540
Ignore TheRumpledOne
3/26/2006 7:01:36 PM

So you're NOT going to post your filter?


glm47
51 posts
msg #42541
Ignore glm47
3/26/2006 7:17:17 PM

TRO you have the filter, you made it!

Here is what I have done with your post. I clicked the Fetcher magnifying glass on the second Fetcher filter you posted in this thread. I browsed through a few pages of results and was impresssed by the ratio of green to red in the Performance column.

So impressed in fact I decided to backtest it and used the following criteria in my backtest.



Approach Information
Approach Name: TRO Volume Change - Win Ratio Test (Swing Trade Params)
Test started on 12/30/2005 ended on 03/24/2006, covering 57 days
Filter used:
TRO Volume change - high win ratio (saved filter)

Trade Statistics
There were 150 total stocks entered. Of those, 140 or 93.33% were complete and 10 or 6.67% were open.
Of the 140 completed trades, 81 trades or 57.86%resulted in a net gain.
Your average net change for completed trades was: 1.00%.
The average draw down of your approach was: -2.65%.
The average max profit of your approach was: 3.77%
The Reward/Risk ratio for this approach is: 1.87
Annualized Return on Investment (ROI): 61.72%, the ROI of ^SPX was: 16.76%.

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 (4 days) 140 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:818080645029
Losers:585860554021
Win/Loss Ratio:1.40:11.38:11.33:11.16:11.25:11.38:1
Net Change:1.00%0.31%1.01%0.10%0.37%0.07%

Statistics By Variable: Match Price
 <30<45<60<75<90<105<120<135<150<165
Completed28:2632:2111:67:41:11:01:0---
2 day chg32:2130:2310:75:62:01:00:1---
5 day chg26:2831:2313:47:41:11:01:0---
10 day chg18:2729:1910:54:41:01:01:0---
25 day chg17:1621:156:55:31:0-0:1---
40 day chg12:613:93:61:0------

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
Completed75:522:22:1---1:11:2--
2 day chg72:532:23:1---1:12:1--
5 day chg73:541:33:1---1:12:1--
10 day chg59:492:21:2---1:11:1--
25 day chg46:322:21:2---1:10:3--
40 day chg25:172:11:1---1:10:1--



glm47
51 posts
msg #42542
Ignore glm47
3/26/2006 7:27:46 PM

That was the first backtest result I have ever posted. Didn't know it would not show the criteria I used for the backtest. Here they are, pasted from the System Summary page of my backtest profile:

Entry Filter
TRO Volume change - high win ratio (saved filter)

Basic Setup
Name: TRO Volume Change - Win Ratio Test (Swing Trade Params)
Approach Type: Long
Start Date: 12/30/2005
End Date: 03/24/2006
Benchmark Symbol: ^SPX

Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 4
Exit Trigger #1: rsi(10)>97

Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 5 days
after 10 days
after 25 days
after 40 days


Advanced Options
Selection Method: select by rsi(10)<2
Entry Price: open
Conditional Entry: No
Exit Price: N/A
Maximum Trades Per Day: 10
Maximum Open Positions: 10





TheRumpledOne
6,359 posts
msg #42543
Ignore TheRumpledOne
modified
3/26/2006 8:39:10 PM

Ok, thanks for explaining.

Too funny, I wasn't even trying to create a filter... just a display to be added to other filters.

But I hardly call:

close above 50
volume above 1000000

A filter!

Of course, those stocks are probably volatile enough that you can swingtrade them.

But your entry was rsi(10) < 2, that's what's causing the profit to appear!!







TheRumpledOne
6,359 posts
msg #42544
Ignore TheRumpledOne
modified
3/26/2006 8:42:17 PM

Fetcher[
/* dvpct - percentage dollar volume increased(+)/decreased(-) */

set{dv1, close 1 day ago * volume 1 day ago }
set{dv, close * volume }
set{netdvchg, dv - dv1}
set{dvpc, netdvchg / dv1 }
set{dvpct, dvpc * 100}

/* valchg - percentage value increased(+)/decreased(-) */

set{netchg, close - close 1 day ago}
set{CCC, netchg / close 1 day ago}
set{VVV, volume / volume 1 day ago}
set{CCCVVV, CCC * VVV}
set{valchg, CCCVVV * 100 }


add column dvpct
add column valchg
add column rsi(10)

close above 50
volume above 1000000

rsi(10) below 2
]









glm47
51 posts
msg #42545
Ignore glm47
3/26/2006 9:18:28 PM

I didn't even read the filter before clicking the Fetcher. I was just impressed by how much green I saw.

The volume above 1 million and close above $50.00 reduces 10,000 potential stocks to only 164. This alone made me think it was a filter. Now that I have read the filter I feel like a dope...lol


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