StockFetcher Forums · General Discussion · Backtest challenge<< 1 2 >>Post Follow-up
lockwhiz
206 posts
msg #48170
Ignore lockwhiz
11/26/2006 10:10:41 PM

Traderblues ... I am interested in you backtesting... or as SF call it "Exit Statistics" .... Obviously no Stop Loss ... (IMHO -a trailing stop is best)....but what did you use for your Stop Profit ?


traderblues
195 posts
msg #48175
Ignore traderblues
modified
11/27/2006 7:36:40 AM

lockwhiz,

I found that 15% stop profit gives the best results, although anywhere from 12% to 18% gave very good results. A 12% profit target gave a success rate of around 80%, but the average gain per trade was reduced.



neskander
6 posts
msg #49472
Ignore neskander
1/23/2007 4:53:11 AM

only playing the challenge

 
Approach Information
Approach Name: $27m dreamer
Test started on 12/31/2004 ended on 12/01/2006, covering 484 days
Filter used:
$27m dreamer (saved filter)

Trade Statistics
There were 1795 total stocks entered. Of those, 1545 or 86.07% were complete and 250 or 13.93% were open.
Of the 1545 completed trades, 907 trades or 58.71%resulted in a net gain.
Your average net change for completed trades was: 122.83%.
The average draw down of your approach was: -37.29%.
The average max profit of your approach was: 190.35%
The Reward/Risk ratio for this approach is: 8.99
Annualized Return on Investment (ROI): 455.44%, the ROI of ^SPX was: 7.70%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 776 times or 50.23% 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) 769 times or 49.77% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed10 day chg30 day chg50 day chg70 day chg100 day chg
Winners:907719762719713674
Losers:589764834834820788
Win/Loss Ratio:1.54:10.94:10.91:10.86:10.87:10.85:1
Net Change:122.83%13.96%42.54%58.58%61.59%84.29%

Statistics By Variable: Match Price
 <0.01<0.02<0.03<0.04<0.05<0.06<0.07<0.08<0.09<0.1
Completed12:499:2694:2482:4196:5687:6480:8274:52140:116143:124
10 day chg4:1047:5348:6658:7276:7670:8768:9266:62151:117131:129
30 day chg2:1469:5361:6063:7985:8270:10174:9466:76141:126131:149
50 day chg4:1461:4961:5664:7573:8566:9876:9566:70128:138120:154
70 day chg4:1467:4361:4967:6667:9367:9471:9366:64123:145120:159
100 day chg4:1369:4263:4066:6362:8664:8062:9460:65106:151118:154

Statistics By Variable: Average Volume
 <30.0M<60.0M<90.0M<120.0M<150.0M<180.0M<210.0M<240.0M<270.0M<300.0M
Completed900:5862:21:0-1:0---1:12:0
10 day chg716:7582:21:0-0:1---0:10:2
30 day chg760:8261:31:0-0:1---0:20:2
50 day chg718:8251:30:1-0:1---0:20:2
70 day chg712:8111:30:1-0:1---0:20:2
100 day chg674:7780:40:1-0:1---0:20:2



AdamW328
84 posts
msg #49905
Ignore AdamW328
2/8/2007 4:09:54 PM

Traderblues....great job!!!!

can you post the screen that you use to get these results. I am not aware of RSI(2) and would like to look into this more. Thanks!


neskander
6 posts
msg #50087
Ignore neskander
2/17/2007 1:16:57 AM

Traderblues,
here is the latest challenge..achieved $245,000,000 over two years!


 
Approach Information
Approach Name: vol 06 max $245 million return sf
Test started on 01/16/2004 ended on 01/13/2006, covering 502 days
Filter used:
vol 06 max $245 million return (saved filter)

Trade Statistics
There were 66 total stocks entered. Of those, 56 or 84.85% were complete and 10 or 15.15% were open.
Of the 56 completed trades, 43 trades or 76.79%resulted in a net gain.
Your average net change for completed trades was: 177.59%.
The average draw down of your approach was: -26.36%.
The average max profit of your approach was: 224.04%
The Reward/Risk ratio for this approach is: 19.79
Annualized Return on Investment (ROI): 662.28%, the ROI of ^SPX was: 6.76%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 29 times or 51.79% 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) 27 times or 48.21% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed10 day chg30 day chg50 day chg70 day chg100 day chg
Winners:432633394045
Losers:133432272521
Win/Loss Ratio:3.31:10.77:11.03:11.44:11.60:12.14:1
Net Change:177.59%19.99%106.11%182.75%177.82%237.55%

Statistics By Variable: Match Price
 <0.3<0.4<0.5<0.6<0.7<0.8<0.9<1<1.1<1.2
Completed2:04:13:17:05:04:514:44:2--
10 day chg0:13:22:12:54:13:710:112:6--
30 day chg1:13:24:16:23:22:811:113:5--
50 day chg1:12:34:16:24:14:615:83:5--
70 day chg1:13:25:07:14:13:612:115:3--
100 day chg2:03:24:18:04:15:514:95:3--

Statistics By Variable: Average Volume
 <300000<600000<900000<1.2M<1.5M<1.8M<2.1M<2.4M<2.7M<3.0M
Completed33:115:11:01:0-2:01:0--0:1
10 day chg20:272:51:00:1-2:00:1--1:0
30 day chg25:274:31:00:1-2:01:0--0:1
50 day chg33:203:41:00:1-1:11:0--0:1
70 day chg31:215:21:00:1-2:01:0--0:1
100 day chg36:174:31:01:0-2:01:0--0:1



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

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus