StockFetcher Forums · General Discussion · Backtesting Contest / how high can you go ?<< >>Post Follow-up
lvainik
52 posts
msg #48435
Ignore lvainik
12/7/2006 9:10:04 AM

I am working with Backtesting
Optionable stocks
12/31/03-12/31/05 Max period

Only 5 stocks per day
Maximum hold of 8 total stocks

my high $ figure is $100,000 growing to $183,000

**************

Using these rules which are workable ( Impossible to use more than say 8 -10 stocks at a time ( default is 250???))

has anyone been able to grow $ to $500,000 say
I'm curious

I use optionable cause it mostly excludes $1 and pennies etc.

Thanks!

My best result was with a filter right only 20% of the time? with with nice profitability on the good ones.


traderblues
195 posts
msg #48450
Ignore traderblues
modified
12/7/2006 7:48:14 PM

Ivainik,

My best so far is up to around $4,000,000. I issued a similar challenge awhile back, but didn't get a lot of interest. If you want to see my results, search for Backtest Challenge in the forums. I tried to put a link to it in this post, but it didn't work.

Brian





__fetcheruser123
msg #48539
Ignore __fetcheruser123
12/10/2006 10:26:20 PM

Here's one that's about $1.5m. I've got a couple short filters that I think could do better but SF doesn't calculate the graphs properly for short systems.

Approach Information
Approach Name: tester
Test started on 12/06/2004 ended on 12/06/2006, covering 505 days
Filter used:
Smallcap-Long; 80% WR; 6.13 RR (saved filter)

Trade Statistics
There were 88 total stocks entered. Of those, 86 or 97.73% were complete and 2 or 2.27% were open.
Of the 86 completed trades, 64 trades or 74.42%resulted in a net gain.
Your average net change for completed trades was: 6.86%.
The average draw down of your approach was: -9.26%.
The average max profit of your approach was: 13.55%
The Reward/Risk ratio for this approach is: 4.56
Annualized Return on Investment (ROI): 262.49%, the ROI of ^SPX was: 9.10%.

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 ( days) 0 times or 0.00% of the time.
An exit trigger was executed 86 times or 100.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:646056504342
Losers:212628343936
Win/Loss Ratio:3.05:12.31:12.00:11.47:11.10:11.17:1
Net Change:6.86%3.76%4.66%7.97%11.66%9.05%

Statistics By Variable: Match Price
 <0.4<0.8<1.2<1.6<2<2.4<2.8<3.2<3.6<4
Completed10:58:37:38:05:17:26:15:24:24:2
2 day chg11:36:59:16:26:16:34:33:44:25:2
5 day chg10:58:28:25:35:25:45:13:43:34:2
10 day chg9:55:66:47:16:16:34:23:43:31:5
25 day chg9:63:86:47:15:12:63:21:64:23:3
40 day chg6:83:85:47:14:22:65:02:44:14:2

Statistics By Variable: Average Volume
 <2.5M<5.0M<7.5M<10.0M<12.5M<15.0M<17.5M<20.0M<22.5M<25.0M
Completed49:1812:22:00:1----1:0-
2 day chg45:2111:52:01:0----1:0-
5 day chg44:239:42:00:1----1:0-
10 day chg43:235:91:10:1----1:0-
25 day chg32:328:62:01:0----0:1-
40 day chg32:306:62:01:0----1:0-

Statistics By Variable: EMA(10)
 <0.5<1<1.5<2<2.5<3<3.5<4<4.5<5
Completed11:68:310:25:07:37:18:04:54:1-
2 day chg12:47:49:36:08:25:34:44:65:0-
5 day chg11:69:18:45:16:45:25:33:64:1-
10 day chg10:65:68:46:07:36:24:33:61:4-
25 day chg9:83:810:25:14:42:53:44:53:2-
40 day chg6:103:89:24:24:43:45:14:44:1-



StockFetcher Forums · General Discussion · Backtesting Contest / how high can you go ?<< >>Post Follow-up

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