StockFetcher Forums · Filter Exchange · Winning Strategy<< 1 2 3 4 5 ... 14 >>Post Follow-up
levamit
101 posts
msg #104059
Ignore levamit
12/30/2011 5:55:26 PM

Hello Traders,

This result between 1.1.02 - 01.01.04 from the Backtesting :
Trade Statistics
There were 482 total stocks entered. Of those, 482 or 100.00% were complete and or 0.00% were open.
Of the 482 completed trades, 414 trades or 85.89%resulted in a net gain.
Your average net change for completed trades was: 1.92%.
The average draw down of your approach was: -9.10%.
The average max profit of your approach was: 10.37%
The Reward/Risk ratio for this approach is: 2.57
Annualized Return on Investment (ROI): 341.32%, the ROI of ^SPX was: -2.07%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 407 times or 84.44% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (3 days) 75 times or 15.56% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

The strategy working year after year until 30/12/12
and every Test are winning more then 80%

the next 2 years 03-04 :
Trade Statistics
There were 407 total stocks entered. Of those, 407 or 100.00% were complete and or 0.00% were open.
Of the 407 completed trades, 350 trades or 86.00%resulted in a net gain.
Your average net change for completed trades was: 1.48%.
The average draw down of your approach was: -6.60%.
The average max profit of your approach was: 7.42%
The Reward/Risk ratio for this approach is: 2.79
Annualized Return on Investment (ROI): 258.12%, the ROI of ^SPX was: 18.53%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 341 times or 83.78% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (3 days) 66 times or 16.22% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

What are you thinking about the results ?


Kevin_in_GA
4,411 posts
msg #104065
Ignore Kevin_in_GA
12/30/2011 7:20:58 PM

Obviously these are very good stats. But you know that already ... which then begs the question "Why are you posting only the stats and not the filter?"

If you are concerned that suddenly everyone will start using it and the profits will disappear, I can tell you that this is extremely unlikely - first, most people won't trade it with enough money to move the prices, and second even if a thousand individual traders started using it the impact on the filter would likely be marginal.

Try posting the filter when you post the stats - this is how you will earn credibility and respect from others traders.

budandann
14 posts
msg #104067
Ignore budandann
12/30/2011 7:40:06 PM

Thank you ,Kevin, for your comment . My sentiments exactly.

levamit
101 posts
msg #104070
Ignore levamit
modified
12/31/2011 12:17:45 AM

Hello Traders,

Buy at close on the next day After he found stocks, and sell limit 2% without any stop loss.
max days hold are 3 days without any stress.
This is the filter
Fetcher[
Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
Lower Keltner Band(5)dropped more then 3 percent
Day Position(0.5,1)below day position 2 days ago
do not draw day position (-1.00,5)
do not draw day position
average Volume(4) > 120000
close > 1.20
IMI(4) below 9
]



So, Keep me up what are you thinking about....

Regards,
la




bkhurana43
103 posts
msg #104072
Ignore bkhurana43
12/31/2011 9:31:41 AM

Is it possible to have a TOS (Thinkorswim) Scan script based on the above filter?
Any help would be highly appreciated.

03bsbme
20 posts
msg #104073
Ignore 03bsbme
modified
12/31/2011 11:00:33 AM

I think part of the reason you are getting such good returns is the way Stockfetcher handles the entry and exit prices. When running this filter and setting the entry price as the close, in the backtest the stock isn't bought at the close the way you would buy it. It is only using that as the entry price. What happens is that the entry price is the close, but it still uses data from that same day to see if a stop was hit. In the backtest the close might be $10 and the high of the day $12. Stockfetcher will say that the stop was hit in the backtested data when that is impossible in real life. This can skew the results quite a bit.

All that being said, when using the open price as the entry the filter still appears to perform pretty well even in down markets.

duke56468
683 posts
msg #104075
Ignore duke56468
12/31/2011 11:43:26 AM

The problem I'm having seems to be the entry "buy at close day after the trigger" SF back test also often sells at 2% gain same day which is not possible. If you use buy at "open" day after trigger outcome is not nearly as good. Maybe I'm not looking at this the right way.

duke56468
683 posts
msg #104077
Ignore duke56468
modified
12/31/2011 11:54:13 AM

If you enter at the open it seems to work a little better as a SHORT during some periods.

Mactheriverrat
1,305 posts
msg #104080
Ignore Mactheriverrat
12/31/2011 1:08:32 PM

No stocks matched your filter

levamit
101 posts
msg #104081
Ignore levamit
12/31/2011 1:33:46 PM

Hello Traders,

Please try this strategy and check it :
Exit Setup
Stop Loss: N/A
Profit Stop: 2%
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3

Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 2 days
after 3 days
after 4 days


Advanced Options
Selection Method: select by volume descending
Entry Price: close
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 2
Maximum Open Positions: 5
Maximum Selected Stocks: 2
Close all OPEN positions: Yes

and keep me up,
L.A

StockFetcher Forums · Filter Exchange · Winning Strategy<< 1 2 3 4 5 ... 14 >>Post Follow-up

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