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Dylan
27 posts
msg #104082
Ignore Dylan
modified
12/31/2011 1:58:19 PM

I agree. The EXIT date needs to be at least 2 days away from the trigger date when the buy is set to "buy at close". If you look at the backtesting, you will notice the "exit date" is often times one day away from the "trigger date". This shouldn't be.

During my backtesting of 1/1/02 - 1/1/04, I get 1,216 stocks with an entry set to OPEN.

If I change my entry to "buy at close", the day following the trigger, i get 1,465 picks.

1) Why is there a difference in picks when the trigger parameters are the same?

2) The original post shows 482 stocks during this exact time-frame. How do you get 482 stocks?

Thx

Dylan



levamit
101 posts
msg #104089
Ignore levamit
modified
12/31/2011 4:49:32 PM

Hi,

I was checked again :
here the result :

Approach Information
Approach Name: 02-03
Test started on 12/31/2001 ended on 12/31/2003, covering 504 days
Filter used:
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
]


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.

Statistics By Holding Period
Completed 2 day chg 3 day chg 4 day chg
Winners: 414 249 266 254
Losers: 66 208 203 218
Win/Loss Ratio: 6.27:1 1.20:1 1.31:1 1.17:1
Net Change: 1.92% 1.61% 2.70% 3.74%

Statistics By Variable: Match Price
<1.5 <3 <4.5 <6 <7.5 <9 <10.5 <12 <13.5 <15
Completed 25:3 141:15 110:21 77:13 32:9 18:4 5:0 5:1 1:0 -
2 day chg 14:13 83:63 69:58 46:39 17:21 11:11 4:1 4:2 1:0 -
3 day chg 16:12 88:65 77:50 44:42 19:22 12:10 4:1 5:1 1:0 -
4 day chg 12:16 88:65 72:56 44:44 19:22 8:14 5:0 5:1 1:0 -

Statistics By Variable: Average Volume
<5.0M <10.0M <15.0M <20.0M <25.0M <30.0M <35.0M <40.0M <45.0M <50.0M
Completed 373:60 28:2 5:2 4:1 1:0 - - 2:1 - 1:0
2 day chg 224:188 17:12 3:4 2:2 0:1 - - 2:1 - 1:0
3 day chg 240:183 18:11 3:4 3:2 0:1 - - 1:2 - 1:0
4 day chg 232:194 15:14 2:5 3:2 0:1 - - 2:1 - 0:1

you need to change in advanced options:
Entry Price: close
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 2
Maximum Open Positions: 5
Maximum Selected Stocks: 2


levamit
101 posts
msg #104090
Ignore levamit
modified
12/31/2011 5:20:50 PM

Take a look for 10-11 Backtest result :
Approach Name: 10-11
Test started on 12/31/2009 ended on 12/30/2011, covering 504 days
Filter used:
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
date offset 11/22/2011
]


Trade Statistics
There were 577 total stocks entered. Of those, 577 or 100.00% were complete and or 0.00% were open.
Of the 577 completed trades, 467 trades or 80.94%resulted in a net gain.
Your average net change for completed trades was: 1.16%.
The average draw down of your approach was: -6.84%.
The average max profit of your approach was: 7.69%
The Reward/Risk ratio for this approach is: 1.86
Annualized Return on Investment (ROI): 187.08%, the ROI of ^SPX was: 5.70%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 449 times or 77.82% 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) 128 times or 22.18% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

some trades results:
Sym Trigger Date Entry Exit Date Exit Price Max Profit Gain/
YMI 11/22/2011 1.32 11/25/2011 1.35 6.06% 2.00% PROFIT STOP
ALU 11/22/2011 1.48 11/25/2011 1.54 8.11% 4.05% PROFIT STOP
CX 11/23/2011 3.48 11/28/2011 3.77 21.26% 8.33% PROFIT STOP
S 11/25/2011 2.45 11/29/2011 2.50 5.71% 2.00% PROFIT STOP
WG 11/28/2011 3.66 11/30/2011 3.83 9.02% 4.64% PROFIT STOP
PWER 11/28/2011 3.94 11/30/2011 4.08 9.14% 3.55% PROFIT STOP

Dylan
27 posts
msg #104097
Ignore Dylan
12/31/2011 7:03:52 PM

Good work Levamit, and thanks for sharing.

I was typing while you posted the Advanced Options Parameters that I was missing in my Backtesting.

Happy a safe and happy New Years everyone!

- Thx
Dylan


coolsf
21 posts
msg #104106
Ignore coolsf
1/1/2012 9:41:23 AM

Levamit, Thanks for the strategy.

Your scan code includes all stocks above 1.2$. Yet I see that the results coming out are for stocks between 4.5$ and 1.2$. Why not big caps?

levamit
101 posts
msg #104107
Ignore levamit
1/1/2012 9:44:51 AM

Hello Traders,

With this filter you can work on two different strategies:
1 - take a profit of 2% within 3 days Max.
2 - take any profit/loss at 3 days Max.
When you want to work with the second option you need to change to buy at opening price the next day after trigger date and delete the profit target of 2% and leave it empty.
The second option can make more money but the level of success goes down accordingly.

Regards,
L.A

levamit
101 posts
msg #104109
Ignore levamit
1/1/2012 9:52:27 AM

Hi coolsf,

If the major stock will be the same conditions they will also appear.

L.A

duke56468
683 posts
msg #104112
Ignore duke56468
modified
1/1/2012 11:27:12 AM

Levamit...Thanks for sharing. The strategy has been profitable in up and down markets since 1/1/08 according to my backtesting with the exception of the most recent trimester. Here it showed a win rate of 75% but a $-2851.88 loss not including commissions.

saico
55 posts
msg #104114
Ignore saico
modified
1/1/2012 11:31:20 AM

Dont forget to calculate the commissions. Since you trade very low priced stocks it will have a huge impact to the net profit, even if you use a deep commission broker like IB. Just for example, with a position size of 1000 USD and trading a 2$ stock you would have to pay around 8 USD per round turn. This would cut a 2% profit by almost 50% from 20$ to 12$. Also the fact that the system has very high single position drawdowns would keep me away from trading bigger size. You might change the minimum closing price to 5 which will give a bit less performance but also less commissions and it turns the 6 recent months into a profitable range.

What I like is,that it has good results during strong bear markets like during 2008.

Much thanks for sharing!

novacane32000
273 posts
msg #104165
Ignore novacane32000
1/2/2012 5:12:34 PM

Poor results the last 6 months.
Good results the 1st 6 months of 2011.
I tested with and without a 10% stop.
Most traders cannot stomach more than a 10% loss.
The stats below show better results without a 10% stop but how many of you will hold through a drawdown of >20% even if the stats show the stock will come back up?



6/29/11 thru 12/30/11
3 day hold
No Stop

Trade Statistics
There were 143 total stocks entered. Of those, 141 or 98.60% were complete and 2 or 1.40% were open.
Of the 141 completed trades, 62 trades or 43.97%resulted in a net gain.
Your average net change for completed trades was: -0.79%.
The average draw down of your approach was: -10.15%.
The average max profit of your approach was: 8.29%
The Reward/Risk ratio for this approach is: 0.84
Annualized Return on Investment (ROI): -65.32%, the ROI of ^SPX was: -5.84%.


6/29/11 thru 12/30/11
3 day hold
10% Stop

Trade Statistics
There were 161 total stocks entered. Of those, 159 or 98.76% were complete and 2 or 1.24% were open.
Of the 159 completed trades, 59 trades or 37.11%resulted in a net gain.
Your average net change for completed trades was: -1.28%.
The average draw down of your approach was: -8.99%.
The average max profit of your approach was: 7.97%
The Reward/Risk ratio for this approach is: 0.75
Annualized Return on Investment (ROI): -148.63%, the ROI of ^SPX was: -5.84%.


1/1/11 thru 6/29/11
3 day hold
No Stop

Trade Statistics
There were 158 total stocks entered. Of those, 154 or 97.47% were complete and 4 or 2.53% were open.
Of the 154 completed trades, 81 trades or 52.60%resulted in a net gain.
Your average net change for completed trades was: 1.69%.
The average draw down of your approach was: -7.61%.
The average max profit of your approach was: 8.09%
The Reward/Risk ratio for this approach is: 1.60
Annualized Return on Investment (ROI): 138.61%, the ROI of ^SPX was: 8.03%.


1/1/11 thru 6/29/11
3 day hold
10% Stop

Trade Statistics
There were 180 total stocks entered. Of those, 176 or 97.78% were complete and 4 or 2.22% were open.
Of the 176 completed trades, 89 trades or 50.57%resulted in a net gain.
Your average net change for completed trades was: 1.14%.
The average draw down of your approach was: -6.94%.
The average max profit of your approach was: 8.40%
The Reward/Risk ratio for this approach is: 1.36
Annualized Return on Investment (ROI): 116.85%, the ROI of ^SPX was: 8.03%.


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