StockFetcher Forums · Filter Exchange · Winning Strategy<< 1 ... 9 10 11 12 13 ... 14 >>Post Follow-up
tennek1719
7 posts
msg #106050
Ignore tennek1719
4/28/2012 11:41:22 AM

Try this


Exit Setup
Stop Loss: N/A
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: N/A
Exit Trigger #1: RSI(2) crossed below 30
Exit Trigger #2: RSI(2) crossed below 50
Exit Trigger #3: RSI(2) crossed below 70
Exit Trigger #4: RSI(2) crossed below 80
Exit Trigger #5: RSI(2) crossed below 90


tombrown1
61 posts
msg #106076
Ignore tombrown1
5/1/2012 1:05:19 PM

I believe this will yield bogus results unless you set the minimum holding days to 1.

tennek1719
7 posts
msg #106077
Ignore tennek1719
modified
5/1/2012 5:22:10 PM

RESULTS

Name Created Start Date End Date Win(%) Lose(%) W/L Ratio Reward/Risk ROI(%)

TestingFromLevamit 5/1/2012 12/28/2007 12/30/2009 60% 39% 1.51:1 1.19 81.39%
TestingFromLevamit 5/1/2012 12/30/2009 12/30/2011 59% 38% 1.55:1 1.60 149.45%
TestingFromLevamit 5/1/2012 12/30/2011 4/30/2012 57% 42% 1.34:1 1.49 111.42%

Code straight from Winning Strategy

Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
CCI(4) < -80
Day Position(0.05,1) 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
RSI(2) < 5
stochRSI(4,2) below 0.25 within last 3 days
add column IMI(4)
sort on column 5 ascending

EXIT USED

Entry Filter
TestingFromLevamit (saved filter)

Basic Setup
Name: TestingFromLevamit
Approach Type: Long
Start Date: 12/30/2011
End Date: 04/30/2012
Benchmark Symbol: ^SPX

Exit Setup
Stop Loss: N/A
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 5
Exit Trigger #1: RSI(2) crossed below 30
Exit Trigger #2: RSI(2) crossed below 50
Exit Trigger #3: RSI(2) crossed below 70
Exit Trigger #4: RSI(2) crossed below 80
Exit Trigger #5: RSI(2) crossed below 90

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: volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 10
Maximum Open Positions: 250
Maximum Selected Stocks: All
Close all OPEN positions: Yes


IT'S WORKING JUST FINE

ADDED ONE DAY MINIMUM, WORKS BETTER

tombrown1
61 posts
msg #106080
Ignore tombrown1
5/2/2012 12:59:48 PM

Tennek,
I like your new exit strategy. It has promise. Here are the results I found. They are percentage gain using the equity summary with money management set at 2 max trades per day/3 max held/2 max selected stocks

11-12: 68%
10-11: 53%
9-10: 309%
8-9: 350%
7-8: 132%
6-7: 11%
5-6: 86%
4-5: 173%
3-4: 580%
2-3: 497%

However, by taking out the 10% profit stop it did better in 7 out of 10 years including the 3 most recent years:

11-12: 121%
10-11: 156%
9-10: 404%
8-9: 113%
7-8: 62%
6-7: 21%
5-6: 111%
4-5: 187%
3-4: 544%
2-3: 1858%


Excellent system, but it still doesn't outperform the results for the system I posted earlier in this thread (however my earlier results were from backtesting two months off of this current backtest). My older system outperformed this one in 6 out of 10 years, and it was a significant difference in those years.

I do like the idea of exiting off of a descending RSI - I think there is some potential there.

Nice contribution!

TB


Chiweez
5 posts
msg #106081
Ignore Chiweez
5/2/2012 5:02:46 PM

Tombrown - How big did the drawdowns get once you removed the 10% profit stop?

Thanks!

tombrown1
61 posts
msg #106092
Ignore tombrown1
5/3/2012 1:14:39 PM

I didn't save the backtests so I would have to run them again. But honestly I don't see why people are concerned with drawdowns. Sure if you are trading your entire account on one stock using this method then drawdown might be a concern. But I'm trading no more than one sixth of my account in any one stock and the big losers are offset by the winners.

novacane32000
273 posts
msg #106095
Ignore novacane32000
5/3/2012 9:59:42 PM

Money management-Even if you are only trading 1/6 of your account/trade (which is actually quite high) you will crash and burn with no stop loss.

A filter that wins 75% of time will lose 5 or 6 in row given enough trades. With no stop loss ,half your account can and will be wiped out during a losing streak and you will have a losing streak no matter how good your filter is.

levamit
101 posts
msg #106099
Ignore levamit
modified
5/4/2012 9:24:34 AM

Hello,

With that filter you can fall with the stock 40/50% until the day you sale it back.
And at next day you suddenly discover you're out with a profit of 15%.
And if you had a stoploss most cases you would lose.

Stoploss its not formula to win and A filter that wins 75% too because most of time is can make for you 1%-5% for most trades with bad performance.
And with filter that wins 48% most trade will give you 25-50% for 1/3 of your trade you will get out with more money then filter with 75% win.


Warm Regards,
LA

tombrown1
61 posts
msg #106102
Ignore tombrown1
5/4/2012 10:40:19 AM

In 10 years this system has never had 6 50% losers in a row. Nothing even remotely resembling that. A stop loss however would kill you by a thousand paper cuts.



Chiweez
5 posts
msg #106106
Ignore Chiweez
5/4/2012 6:20:09 PM

I pulled the trigger on OPHC, LEAP & EGLE when the filter (the one on top of page 8 I believe) returned these stocks on May 2nd.

Getting quite nervous with my holdings, but especialy OPHC even though I only used a third of my account to test this filter out.

To be continued....

StockFetcher Forums · Filter Exchange · Winning Strategy<< 1 ... 9 10 11 12 13 ... 14 >>Post Follow-up

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