StockFetcher Forums · Filter Exchange · WAY too good to be true, but why?<< >>Post Follow-up
makabootycall
11 posts
msg #59386
Ignore makabootycall
1/30/2008 12:17:03 AM

Trade Statistics
There were 230 total stocks entered. Of those, 229 or 99.57% were complete and 1 or 0.43% were open.
Of the 229 completed trades, 213 trades or 93.01%resulted in a net gain.
Your average net change for completed trades was: 3.51%.
The average draw down of your approach was: -3.12%.
The average max profit of your approach was: 5.68%
The Reward/Risk ratio for this approach is: 25.63
Annualized Return on Investment (ROI): 9926.56%, the ROI of ^SPX was: -24.31%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 209 times or 91.27% 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) 20 times or 8.73% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

>>>>>>>>>>>>>>>>>> I use a .90% profit stop with a 1 day max hold with no stop loss or trailing stop. . This is the filter and my advanced option settings are below

/* Unfilled Gap Up */
and show stocks where low is above high 1 day ago
and Average Volume(30) is above 250000
and open is less than 100
and open is more than 2
and draw Average Volume(30)
add column close-to-open gap

Advanced Options
Selection Method: select by close-to-open gap descending
Entry Price: low 1 day ago <----------this can be changed to "open 1 day ago" with still excellent results,but I wonder if the backtest considers the timing of the conditional entry relative to the .9% profit stop....
Conditional Entry: Yes
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 10
Maximum Selected Stocks: All





gpwestfall
12 posts
msg #59391
Ignore gpwestfall
1/30/2008 11:19:34 AM

The filter is entering the stock at the previous day low which occurred well after the open price it is selling at. I've experienced the same thing on various filters, obviously SF is not looking at intraday data to see if exit was possible with a sell price occurring after the entry price is met. In other words entry price must be met 1st and then sell price must be met "after" entry. SF does not verify this criteria is met, only that the prices were met. Please follow up if you find a solution as I am also needing to utilize that intraday criteria in conjuction with historical data.

dwiggains
391 posts
msg #59400
Ignore dwiggains
1/30/2008 5:08:51 PM

Hi
I came up with a scan about like yours. The real problem is in your statement
and show stocks where low is above high 1 day ago
it should read stocks where open is above high
your statment automatically throws out the losses.
I wish it was true.

See ya
David

nikoschopen
2,824 posts
msg #59404
Ignore nikoschopen
1/30/2008 8:04:55 PM

it should read stocks where open is above high

That in itself is contradictory.

gpwestfall
12 posts
msg #59405
Ignore gpwestfall
1/30/2008 8:49:48 PM

Of the 229 completed trades, 213 trades or 93.01%resulted in a net gain

doesnt sound like its throwing out losses to me.


dwiggains
391 posts
msg #59408
Ignore dwiggains
1/31/2008 10:48:03 AM

Hi
The statement "show stocks where low is above high 1 day ago"
says you will not know if this is true till the trading day is over.
You need to know if this is true at the open not the close.
Hope this helps.
See ya
David


dwiggains
391 posts
msg #59409
Ignore dwiggains
1/31/2008 10:56:55 AM

Hi
nikoschopen you are correct
It should read open is above high 1 day ago

See ya
David

makabootycall
11 posts
msg #59419
Ignore makabootycall
1/31/2008 3:01:40 PM

Well, you guys are correct if I am trying to use this filter same day, however I am looking for stocks that gapped YESTERDAY, and then proceeding. HOWEVER, as 1 post indicated, it is quite possible that the "conditional entry" is met, but on its way down, which would cause the backtest to show a profit (as it only considers the range, and not the timing of each price) when a loss occured. But I did a little more looking into the details and found this....a stock that gaps up tends to find support, at least in the next days trading, around the low of the gap day. With this information in hand, you apply a target buy at the "low 1 day ago" (buy it the day after it gapped) if it occurs, I have found that at least over the past 10 days (intraday history dating past that is hard to find), the price tends to bounce of this support, at least 1%. With enough capital, these gains can be magnified. Any comments suggestions? Unfortunately, any kind of entry pricing beyond open can severely affect your results.

ASIDE FROM ALL THAT even if you did change the filter to "open is above high" it still posts excellent results, losing only a few %pts on ROI and W/L ratio. But that doesnt fill my needs, I am looking for an unfilled gap up..."low is greater than high 1 day ago"

Keventerprises
3 posts
msg #59981
Ignore Keventerprises
modified
2/26/2008 5:13:47 PM

Very interesting results on this filter. The exit strategy and Advanced Options seem to have alot to do with the high results because these alone dramatically increased the success of any other filters that I tried. The Conditional Entry and 1% Profit Stop seem to be key and critical to success of this filter. I got ROI results as high as 16,633.43% and 96-98% Wins with as high as 73:1 Risk:Reward Ratio by using an RSI Increasing Filter and these Entry and Exit options. Any more experience or input lately from anyone?

StockFetcher Forums · Filter Exchange · WAY too good to be true, but why?<< >>Post Follow-up

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