StockFetcher Forums · Filter Exchange · Winning Streak!<< 1 2 3 4 5 >>Post Follow-up
6,358 posts
msg #45595
Ignore TheRumpledOne
7/9/2006 12:09:00 PM

I have read this before:

A must read!

msg #45953
Ignore __fetcheruser123
7/18/2006 3:29:20 PM

I'm not sure how you guys are getting those numbers but my backtests showed different results...

Approach Type: Long
Start Date: 07/16/2004
End Date: 07/17/2006
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: 1

Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: close
Maximum Trades Per Day: 3
Maximum Open Positions: 25

Approach Information
Approach Name: unnamed approach
Test started on 07/16/2004 ended on 07/17/2006, covering 504 days
Filter used:
Open between 1 and 8
and average volume(20) above 500000
and vvv above .1
and market is nasdaq
and RSI(2) decreasing 2 days

Trade Statistics
There were 1340 total stocks entered. Of those, 1337 or 99.78% were complete and 3 or 0.22% were open.
Of the 1337 completed trades, 662 trades or 49.51%resulted in a net gain.
Your average net change for completed trades was: 0.83%.
The average draw down of your approach was: -4.52%.
The average max profit of your approach was: 5.17%
The Reward/Risk ratio for this approach is: 1.31
Annualized Return on Investment (ROI): 242.14%, the ROI of ^SPX was: 5.66%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 199 times or 14.88% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 1138 times or 85.12% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Win/Loss Ratio:1.05:10.99:10.94:10.86:10.72:10.69:1
Net Change:0.83%0.80%0.72%0.37%-0.25%1.18%

Statistics By Variable: Match Price
2 day chg18:10187:175182:17796:10365:8546:6036:2411:12--
5 day chg17:10189:174171:19187:11365:8648:5833:2916:7--
10 day chg19:9192:173147:21591:11368:7940:6832:2712:11--
25 day chg14:12183:176139:21975:12251:9333:7223:3512:11--
40 day chg15:10169:181120:22682:11353:8829:7522:2913:8--

Statistics By Variable: Average Volume
2 day chg460:46688:8333:3619:2117:1118:213:41:01:11:3
5 day chg449:47988:8631:3917:2313:1518:216:21:01:12:2
10 day chg425:50293:8230:4213:2613:1621:185:31:00:20:4
25 day chg402:51074:9716:559:319:1915:185:30:10:20:4
40 day chg373:51068:9513:5918:2212:1614:185:30:10:20:4

33 posts
msg #45959
Ignore Stocksight
7/19/2006 2:10:02 AM

Set your Entry Price to low - Entry Price: low. It really improves your results, but you would never know this the day of the trade. Just a loophole backtesting end of day data.

msg #45962
Ignore __fetcheruser123
7/19/2006 8:19:48 AM

Um, no... Why would I set my entry price to low? I'm not asking how to improve the stats, I'm just asking how the two other guys that showed backtests on this thread produced such high results with the same filter. If they used an entry price of low for the day then theres no point in continuing this discussion. I'd prefer to hear from them, though.

195 posts
msg #45963
Ignore traderblues
7/19/2006 9:41:21 AM

Stocksight is close. The results are dependent on the price you are able to buy the stocks at. But the entry price is not 'low'. There is no way to trade this in the real world. Look up 'pivot points' in the index. That should give you a clue.

14 posts
msg #45985
Ignore waldo1323
7/19/2006 10:09:03 PM

traderblues, maybe i'm not understanding your last post about this scan, but are you adding something to the scan other than what is posted to get a closer buy area?

Open between 1 and 8
and average volume(20) above 500000
and vvv above .1
and market is nasdaq
and RSI(2) decreasing 2 days

i usually look at the scan results, look at the charts, write em down and then put em on my watchlist the next day and watch for a pullbacl or volume increase and then watch for a sma line cross to the upside. Maybe i'm not using any of my scans correctly but i don't expect a scan to pinpoint my buy spot but if you have any info on this scan that you think i need to add or know about i'd appreciate your advice. sure wish there was a way you could contact me.

msg #45998
Ignore __fetcheruser123
7/20/2006 11:49:21 AM

I'm not asking how to trade it, I'm just asking how you got the backtest results you posted... What criteria did you use?

195 posts
msg #46009
Ignore traderblues
7/20/2006 5:40:42 PM

In the Advanced Page, change the entry price from Open to S1. Make sure to check the conditional box. Simple as that.

msg #46027
Ignore __fetcheruser123
7/21/2006 4:02:54 PM

I don't understand, what is S1?

195 posts
msg #46028
Ignore traderblues
7/21/2006 5:52:46 PM

It's a pivot point, based on the trading range the day before. There's more explanation in the Index, under Pivot Points.

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