StockFetcher Forums · Filter Exchange · Winning Streak!<< 1 2 3 4 5 >>Post Follow-up
__fetcheruser123
msg #46523
Ignore __fetcheruser123
8/21/2006 10:36:52 PM

traderblues,

What are the criteria for your filter or are you keeping them to yourself?




traderblues
195 posts
msg #46530
Ignore traderblues
8/22/2006 7:47:59 AM

I need to keep the filter to myself for now. But it's pretty simple:

1. RSI(2) is very low (oversold)
2. close is above open (set-up for a bounce)
3. The stocks daily volatility is very high (better chance of getting 15%+ profit)

Sell at 15% profit or better
No stop loss. I have had two stocks recently that were down 30%+ and came back for a good profit.
Sell after 20 trading days if you haven't sold for a profit.

Paper trade it for awhile, so you can get comfortable with it.


woodstock
10 posts
msg #46531
Ignore woodstock
8/22/2006 9:40:20 AM

traderblues, you just confirm my words :) I'll show only few things and if you can reason then you'll see own error.

1. 1 day chg - Win 240, Los - 0. (strange results)
2. "The stocks daily volatility is very high (better chance of getting 15%+ profit"
3. "Sell at 15% profit or better"
4. SF has a small bug when it uses Stop Profit

Trade's table is a clue for your success:)



traderblues
195 posts
msg #46532
Ignore traderblues
8/22/2006 10:25:24 AM

Woodstock,

Yeah, I've been doing some research the last couple of days on S1, and I think you're right. But what about the profit stop bug? I didn't realize that.

Anyway, I re-ran my backtest. I used 'open' for an entry price, and I took out the 15% profit stop. I'm now using RSI(2) as an exit filter. It does reduce things a bit. (In reality I will still use the 15% profit target, but will also use the RSI(2) exit filter.





Approach Information
Approach Name: RSI(2) entry & exit 7-31-04 to 7-31-06
Test started on 07/30/2004 ended on 07/31/2006, covering 504 days
Filter used:
RSI(2) 5-a-day 20 day hold (saved filter)

Trade Statistics
There were 299 total stocks entered. Of those, 289 or 96.66% were complete and 10 or 3.34% were open.
Of the 289 completed trades, 197 trades or 68.17%resulted in a net gain.
Your average net change for completed trades was: 5.55%.
The average draw down of your approach was: -13.80%.
The average max profit of your approach was: 15.76%
The Reward/Risk ratio for this approach is: 2.21
Annualized Return on Investment (ROI): 105.94%, the ROI of ^SPX was: 7.85%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% 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 (100 days) 0 times or 0.00% of the time.
An exit trigger was executed 289 times or 100.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg5 day chg10 day chg20 day chg
Winners:197163162162152144
Losers:89118126130141147
Win/Loss Ratio:2.21:11.38:11.29:11.25:11.08:10.98:1
Net Change:5.55%1.54%1.90%2.13%2.24%2.34%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed178:7314:123:21:10:11:0----
1 day chg144:10014:133:31:11:00:1----
2 day chg144:10714:132:41:11:00:1----
5 day chg146:10812:162:41:10:11:0----
10 day chg138:11710:182:41:10:11:0----
20 day chg128:12512:163:31:10:10:1----

Statistics By Variable: Average Volume
 <4.0M<8.0M<12.0M<16.0M<20.0M<24.0M<28.0M<32.0M<36.0M<40.0M
Completed191:864:21:1------1:0
1 day chg161:1121:41:1------0:1
2 day chg157:1212:52:0------1:0
5 day chg155:1275:21:1------1:0
10 day chg146:1375:20:2------1:0
20 day chg138:1435:20:2------1:0



woodstock
10 posts
msg #46563
Ignore woodstock
8/24/2006 6:27:01 AM

I see more realistic results. SF executes Stop Profit on a day when the trade was opened. Despite the fact that SF does not know order of trading actions. What was
before - our trade or price touches "stop profit".


traderblues
195 posts
msg #46564
Ignore traderblues
8/24/2006 7:56:12 AM

Woodstock,

Good point. So the temporary solution is to set your backtest so it holds for at least 2 days.


traderblues
195 posts
msg #46568
Ignore traderblues
8/24/2006 1:02:40 PM

Necessity is the mother of invention.

OK, I worked on my filter some more,and made it more robust. I am still using 'open' as my entry, have an RSI exit filter, and a 15% profit stop. I hold for a minimum of 2 days, to eliminate the profit stop bug. No stop loss.
Back to a more 'reasonable' return. :~)

 
Approach Information
Approach Name: RSI(2) Opportunity 7-31-04 to 7-31-06
Test started on 07/30/2004 ended on 07/28/2006, covering 503 days
Filter used:
RSI(2) Opportunity Entry (saved filter)

Trade Statistics
There were 231 total stocks entered. Of those, 225 or 97.40% were complete and 6 or 2.60% were open.
Of the 225 completed trades, 181 trades or 80.44%resulted in a net gain.
Your average net change for completed trades was: 8.14%.
The average draw down of your approach was: -14.05%.
The average max profit of your approach was: 18.52%
The Reward/Risk ratio for this approach is: 3.16
Annualized Return on Investment (ROI): 117.49%, the ROI of ^SPX was: 7.95%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 141 times or 62.67% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (100 days) 1 times or 0.44% of the time.
An exit trigger was executed 83 times or 36.89% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:181145130123108113
Losers:438297104121110
Win/Loss Ratio:4.21:11.77:11.34:11.18:10.89:11.03:1
Net Change:8.14%2.71%1.94%2.53%2.43%6.52%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed124:2343:118:52:21:13:0--0:1-
2 day chg97:5132:238:63:11:13:0--1:0-
5 day chg91:5727:286:82:21:13:0--0:1-
10 day chg81:6834:204:102:21:11:2--0:1-
25 day chg76:7422:335:91:31:13:0--0:1-
40 day chg77:7125:287:51:30:23:0--0:1-

Statistics By Variable: Average Volume
 <3.0M<6.0M<9.0M<12.0M<15.0M<18.0M<21.0M<24.0M<27.0M<30.0M
Completed169:424:04:12:01:0---1:0-
2 day chg138:772:13:22:00:1---0:1-
5 day chg122:923:13:21:10:1---1:0-
10 day chg114:1004:03:21:10:1---1:0-
25 day chg102:1142:22:31:11:0---0:1-
40 day chg103:1072:24:12:01:0---1:0-



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