StockFetcher Forums · General Discussion · Backtest challenge<< 1 2 >>Post Follow-up
traderblues
195 posts
msg #47756
Ignore traderblues
10/31/2006 10:42:19 PM

Now that we have a new equity chart for the backtester, we can challenge each other to accumulate the largest balance. Here's a two-year backtest that ends up with over $1,000,000.

Approach Information
Approach Name: RSI(2) Opportunity 9-1-02 to 9-1-04
Test started on 08/30/2002 ended on 09/01/2004, covering 504 days
Filter used:
RSI(2) Opportunity Entry (saved filter)

Trade Statistics
There were 291 total stocks entered. Of those, 288 or 98.97% were complete and 3 or 1.03% were open.
Of the 288 completed trades, 224 trades or 77.78%resulted in a net gain.
Your average net change for completed trades was: 7.58%.
The average draw down of your approach was: -11.97%.
The average max profit of your approach was: 15.82%
The Reward/Risk ratio for this approach is: 3.31
Annualized Return on Investment (ROI): 159.67%, the ROI of ^SPX was: 10.04%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 183 times or 63.54% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time ( days) 0 times or 0.00% of the time.
An exit trigger was executed 105 times or 36.46% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:224148153169171168
Losers:61134128118120121
Win/Loss Ratio:3.67:11.10:11.20:11.43:11.43:11.39:1
Net Change:7.58%1.04%1.75%3.77%9.75%17.46%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed192:4222:167:22:01:00:1----
2 day chg124:10717:215:42:00:10:1----
5 day chg133:9914:234:42:00:10:1----
10 day chg149:8815:225:40:20:10:1----
25 day chg145:9421:185:40:20:10:1----
40 day chg144:9419:193:61:11:00:1----

Statistics By Variable: Average Volume
 <10.0M<20.0M<30.0M<40.0M<50.0M<60.0M<70.0M<80.0M<90.0M<100.0M
Completed223:581:2------0:1-
2 day chg146:1311:3------1:0-
5 day chg153:1230:4------0:1-
10 day chg169:1130:4------0:1-
25 day chg169:1172:2------0:1-
40 day chg164:1203:1------1:0-



packraider
10 posts
msg #47777
Ignore packraider
11/2/2006 10:11:53 PM

I'm going to have to upgrade to do more than 4 months to try to match this. Nice results. Are you willing to share the filter? The new equity line is much more useful than the roi, which seems almost meaningless.


traderblues
195 posts
msg #47992
Ignore traderblues
11/15/2006 9:45:45 PM

OK, if nobody else wants to play, I guess I'll play with myself. If your skeptical, go here:

http://www.stocktickr.com/BTStrader/closed/

It's all about RSI(2). Thanks Muddy and TRO. I couldn't have done it without all of your previous work.

Approach Information
Approach Name: RSI(2) Opportunity 10-1-04 to 10-1-06
Test started on 10/01/2004 ended on 09/29/2006, covering 503 days
Filter used:
RSI(2) Opportunity Entry (saved filter)

Trade Statistics
There were 176 total stocks entered. Of those, 174 or 98.86% were complete and 2 or 1.14% were open.
Of the 174 completed trades, 109 trades or 62.64%resulted in a net gain.
Your average net change for completed trades was: 6.75%.
The average draw down of your approach was: -10.29%.
The average max profit of your approach was: 14.64%
The Reward/Risk ratio for this approach is: 2.76
Annualized Return on Investment (ROI): 273.80%, the ROI of ^IXIC was: 8.97%.

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 (10 days) 55 times or 31.61% of the time.
An exit trigger was executed 119 times or 68.39% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:1099195938372
Losers:6178757993100
Win/Loss Ratio:1.79:11.17:11.27:11.18:10.89:10.72:1
Net Change:6.75%3.44%3.03%3.61%3.38%4.18%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed82:4518:95:60:12:01:0--1:0-
2 day chg71:5413:154:60:11:21:0--1:0-
5 day chg73:5215:135:60:11:21:0--0:1-
10 day chg71:5715:124:70:12:11:0--0:1-
25 day chg65:6613:154:70:11:20:1--0:1-
40 day chg55:7312:154:70:11:20:1--0:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed104:604:1-----1:0--
2 day chg88:752:3-----1:0--
5 day chg90:734:2-----1:0--
10 day chg88:775:1-----0:1--
25 day chg79:903:3-----1:0--
40 day chg69:972:3-----1:0--



wallman
299 posts
msg #47993
Ignore wallman
11/15/2006 10:10:55 PM

Hi Tradeblues
You're welcome for sure!
I'd love to play alone but can't figure out how,I have enough problem turning on my computer each day.
That's why i stick to ONE LINE FILTERS,ha
BTW,I've visted that site before,think it was a link on Top10traders? Is this your site,if so,I was very impressed by it
regards,Muddy


traderblues
195 posts
msg #47997
Ignore traderblues
11/16/2006 9:06:04 AM

That's not my website, but those are my trades. It has been working very well. When I first learned about RSI(2) I was a non-believer. Obviously, not anymore!


wantonellis
102 posts
msg #48059
Ignore wantonellis
modified
11/19/2006 5:07:59 PM



wallman
299 posts
msg #48061
Ignore wallman
11/19/2006 7:06:50 PM

Traderblues,
I went and looked at your closed trades and on second thought ahhhhhhhhhhhh ..
Very glad i don't know how to play against you
Awesome work my friend!
Muddy


__fetcheruser123
msg #48063
Ignore __fetcheruser123
11/20/2006 12:16:40 AM

traderblues,

good work on your screens, very impressive. i'm curios, what type of risk management do you employ? stops, etc?

-chris


traderblues
195 posts
msg #48069
Ignore traderblues
11/20/2006 8:29:56 AM

none. no stops, per se. I just look for good exit points.


lvainik
52 posts
msg #48080
Ignore lvainik
11/20/2006 5:04:41 PM

Wantonellis

What is your approach ; pray tell?

Thanks!



StockFetcher Forums · General Discussion · Backtest challenge<< 1 2 >>Post Follow-up

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