StockFetcher Forums · Filter Exchange · Winning Strategy<< 1 2 3 4 5 ... 14 >>Post Follow-up
duke56468
683 posts
msg #104185
Ignore duke56468
1/3/2012 9:00:15 AM

Since most of the severe losses are at the end of 3 days and most of the wins are in day 2, adjusting max hold to 2 makes it profitable in this last 4 mo. Also I adjusted the filter to try to catch more up market days. This also makes for less trades and less profit in some of the previous trimesters.

Approach Name: Stocks are not OTCBB Bollinger Width Oscillator(5,...
Test started on 08/31/2011 ended on 12/30/2011, covering 84 days
Filter used:
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
ind(spy,close) above ind(spy,close 2 day 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 39 total stocks entered. Of those, 39 or 100.00% were complete and or 0.00% were open.
Of the 39 completed trades, 28 trades or 71.79%resulted in a net gain.
Your average net change for completed trades was: 0.23%.
The average draw down of your approach was: -7.12%.
The average max profit of your approach was: 8.05%
The Reward/Risk ratio for this approach is: 1.12
Annualized Return on Investment (ROI): 41.29%, the ROI of ^SPX was: 10.81%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 25 times or 64.10% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (2 days) 14 times or 35.90% of the time.
An exit trigger was executed 0 times or 0.00% of the time.



duke56468
683 posts
msg #104753
Ignore duke56468
1/31/2012 10:21:33 PM

By sorting on IMI(4) ascending and trading one stock a day with the following hold/stoploss, made this filter profitable all 3 trimesters last year per my backtests.

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
add column IMI(4)
sort on column 5 ascending
]



Approach Name: LEVAMIT BIG WINNER sort on IMI
Test started on 08/31/2011 ended on 12/30/2011, covering 84 days
Filter used:
LEVAMIT BIG WINNER sort on IMI (saved filter)



Trade Statistics
There were 61 total stocks entered. Of those, 61 or 100.00% were complete and or 0.00% were open.
Of the 61 completed trades, 29 trades or 47.54%resulted in a net gain.
Your average net change for completed trades was: 2.31%.
The average draw down of your approach was: -7.52%.
The average max profit of your approach was: 10.34%
The Reward/Risk ratio for this approach is: 1.69
Annualized Return on Investment (ROI): 220.75%, the ROI of ^SPX was: 10.81%.

Exit Statistics
Stop Loss was triggered 14 times or 22.95% of the time.
Stop Profit was triggered 0 times or 0.00% 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) 47 times or 77.05% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Stop Loss: 10%
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3


Advanced Options
Selection Method:
Entry Price: close
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 10
Maximum Selected Stocks: 1
Close all OPEN positions: Yes

12/30/11
12/30/11 sold 1708.07 shares ($12076.06) of ZAGG at 7.07 for a gain of $717.39
Transaction Summary
Daily Gains : $717.39
Running Gain/(Loss) : $14304.08
# Stocks held at end of day : 0

Summary
Invested In Stock: $0.00
Market Value of Stock: $0.00
Market Value - Invested: - $0.00
Available Cash: $114304.08
Total (Cash + Market): $114304.08



tombrown1
61 posts
msg #105157
Ignore tombrown1
2/27/2012 5:45:50 PM

I've been having a lot of fun backtesting this thing for a while now, and wanted to post my results to maybe spur some more discussion on what I think is one of the best systems I've found in the forums here so far.
Paramaters:

I use October 20 to October 20 for each year's testing.

I use levamit's entry that was posted on page 1 of this thread. (Note, I do not use the 2% profit take, but rather a hold for 3 days per levamit's later recommendation).

Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3

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


Percentage gain based on the equity summary:
2002-03: 696%
2003-04: 97%
2004-05: 390%
2005-06: 178%
2006-07: 70%
2007-08: 366%
2008-09: 425%
2009-10: 160%
2010-11: 114%
Feb. 25 2011 - Feb. 27 2012: 10%


Yep - 10%. That's the one that is killing me. It performs like a rock star for 9 straight years and then the last year is a big dud.

Some of you have posted some ideas to make this last year more profitable - but I haven't found any of them to work regularly over the entire period.

Is this just something I should keep trading - and trust that the system will eventually make up for this last year's dud? Maybe it would be worth buying some better software to test back 10 more years and see how it did?

Is this an example of a scenario in which levamit formed the strategy without leaving room for a walk-through period to be sure it wasn't overly curve-fitted?

Sorry for all the questions.

Best,

Tom






novacane32000
273 posts
msg #105159
Ignore novacane32000
2/27/2012 8:26:02 PM

I backtested using a 2 day exit and also got very good results albeit not as good as your 3 day exit.

I documented 1053 trades from 2002 thru 2011 with an avr gain of 2.57% / Trade. The caveat for me was if I take out the top 10 trades which range from 49% to 153% the avr gain drops to 1.36% / trade.
Incredibly ,of those top ten trades 5 had a drawdown of greater than 10% . I will only speak for myself and say I probably would have been stopped out as I will rarely hold beyond a 10% stop unless I have historical statistical proof it is in my best interest to hold-and even then it is tough!!

The 10% drawdowns on my 1053 trades = 280 or 26.5%

Winning % was at 55%.

tombrown1
61 posts
msg #105163
Ignore tombrown1
2/27/2012 10:53:05 PM

Novacane,
You have your historical analysis to not put in a stop - so trust it and go with it! As far as I'm concerned, I'm only planning on trading half of the account with this method - so each stock receives 10% of the entire account. So even if the stock goes all the way to zero we only lose 10% off the entire account.
And why mess with the 2-day exit when the 3-day performs better?

TB

levamit
101 posts
msg #105173
Ignore levamit
2/28/2012 4:32:41 PM

Guys,

All what are you need to do is to put your orders on your broker account and turn off the computer.
Believe me this is work and without any stress from you.
Sometimes you loss and most times you win and big.
I didn't put all the money on only 5 stocks you can put half and your account continue to growing up.
Believe me just stick to it even some times you loss 80% most time you are in the correct side.
Take a look again in the backtesting , you didn't lose any year ??!!! This is the best method to earn money from the market.
Only in 3 days and you can sometimes earn 50% from your investment without to sitting all the days on frontend of your computer or screen.

TEST it and update me about the strategy,
Regards,
LA


dangrzywacz
7 posts
msg #105175
Ignore dangrzywacz
2/28/2012 5:39:23 PM

surviorship bias is probably a major issue with this strategy....when a portion of your trades are under 1 it is quite likely that this is excluding all delisted stocks.

tombrown1
61 posts
msg #105177
Ignore tombrown1
modified
2/28/2012 7:10:27 PM

dang,
The strategy excludes all stocks below 1.20. There is also a pretty large sample of stocks in the backtest - and only putting 20% into each trade - you could certainly weather a couple stocks that go all the way to zero - although I think there would be very few of those - especially since you are only holding for 3 days and not waiting for an exit indicator.

levamit,
I did update the backtesting 3 posts above yours. I love this strategy, but the last year's results have me a little worried (though it still was profitable). Thanks for your hard work and sharing this system!


TB

levamit
101 posts
msg #105388
Ignore levamit
3/12/2012 12:13:28 PM

Hello Traders,

I made some changes in the code the performance are better please update me about the filter.
The strategy is the same max 3 days holdings and buys and sell at open.

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
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) < 1
stochRSI(4,2) below 0.25 within last 3 days
add column IMI(4)
sort on column 5 ascending
]



Regards,
LA

tombrown1
61 posts
msg #105390
Ignore tombrown1
3/12/2012 3:57:42 PM

levamit,
Thanks for your work on the new filter. I ran it through some backtests and it doesn't do as well as your older filter. However, it does much better for the last year which is important. Here are my numbers for this filter:

11-12: 184%
10-11: 90%
9-10: 224%
8-9: 163%
7-8: 71%
6-7: 50%
5-6: 66%
4-5: 141%
3-4: 127%
2-3: 545%

Still better than any filter I've created!

Best,

Tom

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

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