StockFetcher Forums · General Discussion · Can anyone beat this filter? ROI=1489.8 %<< 1 2 3 >>Post Follow-up
Way2Late
37 posts
msg #35942
Ignore Way2Late
5/8/2005 7:37:29 PM

Like it's been said in the other forums you have to be careful with the ROI results. Several things aren't taken into account in backtesting with your parameters.

1. On the really cheap stocks they move more than 1% at a jump, for example IVOC triggered on May 5th, it's open price was .0004, when it sold below that it was at .0003 a 25% loss that stockfetcher only included at a 1% stop loss.

2. Sometimes it appears that stockfetcher doesn't catch stoplosses on stocks that trade in fractions of a cent, for example SWYC triggered on April 05 the open was .021 (according to Prophet.net) Stockfetcher rounds down to .02 so it stopped out on April 07 so you not only don't get the 42% gain but a 5% loss but stockfetcher doesn't show that.

3. Unless you're trading more shares than 10 or 20 thousand on the .01 and .02 cent stocks your commisions are going to add a significant percentage loss to your bottom line.

There were 300 trades that were available from May 8th 2004 to May 8th 2005 (based on the 2M avg volume). The total return according to Stockfetcher for those 300 trades was in the neighborhood of 1100%.

If you average 4% Slippage and commisions (which in my opinion would be easy to do on stocks of this low price) you're going to lose money on this system.

I've just shown 2 examples of slippage from the stockfetcher calcuations, one for 25% one for 47% and those don't even count commisions.

Be careful out there.

Rick






ddfridd
40 posts
msg #35943
Ignore ddfridd
5/8/2005 8:16:52 PM

a great filter..thanks!..

I don't even use the 'backtesting' feature because I mostly daytrade..however, I do check my filters by 'date offset of 1'..
and this filter apparently bats a very good green average.

what I'm going to do is get my tradeBot back and scan for tanking/low rsi 2 stocks near the closing minutes and buy try that route.

Good luck to all!


ddfridd
40 posts
msg #35945
Ignore ddfridd
5/8/2005 8:19:39 PM

OT: while i'm over here, you guys may want to check out PDVN chart for tomorrow


Koronbock
201 posts
msg #35949
Ignore Koronbock
5/9/2005 3:32:56 AM

WaytoLate,
thanks for your thoughtful post. Whenever I see ROIs above - let' s say - 200%, I am scratching my head and surely find something that will not hold up in the real world. Your post sums up some of the major caveats.

Another one I want to point out: If you are buying on the OPEN (theoretically) you have a good chance of never getting filled at the Open price, as there is often a flurry of buying and selling going on which will result in the OPENING RANGE and most often (at least for off-floor traders) you will get filled at the worst price during that time. The same goes for exiting at the Open. Those prices that SF records will almost always never be attainable.

Taking all these caveats into account, this system, despite its enormeous ROI may not come out profitable AT ALL but instead be a consistent LOSER.



TheRumpledOne
6,358 posts
msg #35950
Ignore TheRumpledOne
5/9/2005 8:23:39 AM

DDFRIDD:

Your trade bot scan idea is a good one.

However, let me caution you to only buy on green 60 minute candles at the close.

Also, make sure momentum(25) is heading north, if you buy at the market close.

MAY ALL YOUR FILLS BE COMPLETE.



shelupinin
120 posts
msg #35952
Ignore shelupinin
5/9/2005 1:43:38 PM

to Way2Late: Thank you for some warning! Tomorrow I'll try to use this filter in real trading... let's see what is real performance of this filter...


shelupinin
120 posts
msg #35957
Ignore shelupinin
5/10/2005 2:04:14 AM

I've just tested filter
Fetcher[rsi(2)<1 and price is below 1 and average volume(10) is above 2000000]

without any stop loss and profit loss, just holding time = 2 days. With such conditions ROI=2054.7%, 69% - winners, 18% - loosers. So anyway it's GREAT filter!!!


Koronbock
201 posts
msg #35958
Ignore Koronbock
5/10/2005 5:54:47 AM

Sorry to spoil the party. But your filter will simply NOT hold up in real trading.

As several others have pointed out,

1) when you want to buy at the Open with a market order, your filter does not take into account any "Opening Range" activity, which means, the Open Price which SF is showing will almost never be your fill price (you will usually get filled at the WORST price in that Opening Range).

2) When you want so sell, the same is true, plus

3) The volume for selling your stocks is often NOT there, so the lack of liquidity will also work against you and make this impractical.

Theoretically you may be able to trade tiny amounts, but then your commission will eat up your profits.

In all: Nice looking filter results with no practical value for real trading.




Way2Late
37 posts
msg #35963
Ignore Way2Late
5/10/2005 9:57:29 PM

Ya know, Koronbock, I was ready yesterday evening to write a similar post as yours, but I realized that since we had done some work and pointed out that there were some errors in the logic behind the filter, that there probably wasn't much point in writing it. Since shelupinin was going to trade it anyway it occured to me that they weren't willing to do any real work so why should I bother.

Several hours should be spent downloading the list of information, pouring over the charts and old data, making spreadsheets and figuring out the real potential. We told them some of the things that needed to be looked at.

I was pretty sure they wouldn't really use a 1% stop loss, probably not use a stop loss at all, so it probably won't be long before they are back at a 9-5 job or if they are still working will lose the money they are playing with.

If it were as easy as writing a 3 line filter everyone would be doing it and there would be no one left behind the counter to ask if you wanted fries with your burger.

However, trading isn't really about stock picking, it's about discipline and money management and emotions. There is a lot of work involved but it's mostly between our own ears. A lesson I've only lately come to understand because of a couple of good books, Trading in the Zone, by Mark Douglas and the Way of the Warrior Trader by Richard D. McCall.

Good Luck




Koronbock
201 posts
msg #35967
Ignore Koronbock
5/11/2005 3:16:46 AM

Way2Late,
thanks for posting this, your comments are quite valuable. Yes, unfortunately in this business there are many who are high on excitement and low on skill. They will all be up for a rude awakening when they take their hard earned money to the market place, only find out that the pros will take their money with pleasure.

But we all have to go throgh our own experience.

thanks for your nice post.




StockFetcher Forums · General Discussion · Can anyone beat this filter? ROI=1489.8 %<< 1 2 3 >>Post Follow-up

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