StockFetcher Forums · Filter Exchange · Who has acheived 75% or 80% in backtesting results?<< >>Post Follow-up
munafo
2 posts
msg #64796
Ignore munafo
7/9/2008 12:40:47 AM

Anyone?

cunparis
71 posts
msg #64829
Ignore cunparis
7/10/2008 1:59:14 AM

I certainly haven't, and judging from lack of responses, no one else has.

But is it necessary? Is 65% 1.5 ratio enough? Statistics say yes but my capability to suffer a drawdown without abandoning the strategy says differently. ;)



chetron
2,817 posts
msg #65038
Ignore chetron
7/16/2008 8:55:05 AM

TRY THE LONG VERSIONS. LET ME KNOW YOUR RESULTS. ENJOY.



BACKTEST ME PLEASE

johnpaulca
11,289 posts
msg #65052
Ignore johnpaulca
7/16/2008 4:45:38 PM

Hey Chetron,

Didn't someone backtested a filter you wrote and I tweaked and they achieved about 80%...I think it was a month or two ago.

MARY4MONEY
806 posts
msg #65058
Ignore MARY4MONEY
7/16/2008 8:36:22 PM

>90% on at least 30 previous screens- here is the easist one---filter(which has to follow the qqqq bottoms like yesterday) filter--- close above ma(200) and weekly rsi(2) below 5 and 20d below 0.90 and wm% above 0.12----most of the financial stocks did this from their last 3 days lows--

chetron
2,817 posts
msg #65062
Ignore chetron
7/16/2008 9:17:47 PM

clickable...

Fetcher[

set{wm%, weekly atr(8)/weekly ema(8)}
close above ma(200)
weekly rsi(2) below 5
20d below 0.90
wm% above 0.12

]



chetron
2,817 posts
msg #65065
Ignore chetron
7/16/2008 9:30:06 PM




johnpaulca
- Ignore johnpaulca 7/16/2008 4:45:38 PM

Hey Chetron,

Didn't someone backtested a filter you wrote and I tweaked and they achieved about 80%...I think it was a month or two ago.


***************************************************

hi jp,

marine backtested the obv filter, but i haven't been able to replicate.
i am horrible at backtesting. i only use the SF defaults. that being said, the obv filter does get an over 75% rating when tested as a SHORT filter as opposed to LONG filter, 30%.

actually, all your filters work better as short filters, per SF default backtesting.

i should try to reverse the filter as i have done on others to see if that brings them more in line.

OBV FILTERS

ANOTHER INTERESTING COLLABORATION

chetron
2,817 posts
msg #65104
Ignore chetron
7/17/2008 9:22:47 AM

this is the best one reversed with 51%

i still like your filters though ;)

Fetcher[


Set{MA50,CMA(OBV(1),50)}
set{SD,cstddev(OBV(1),50)}
set{SD50,1.4 * SD}
set{BOLU,MA50 + SD50}
set{BOLD,MA50 - SD50}

draw BOLU on plot OBV(1)
draw BOLD on plot OBV(1)
draw cma(relative strength(^SPX,50),20)
draw ma50 on plot obv(1)
Volume is above 300000
close is above 30
Williams %R(100) is above -70
close is above upper bollinger band(13,0.1) for the last 20 days
close is above ema(34)
ema(34) is above ema(100)
add column sector

]



StockFetcher Forums · Filter Exchange · Who has acheived 75% or 80% in backtesting results?<< >>Post Follow-up

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