StockFetcher Forums · General Discussion · EVALUATING LARRY CONNORS' ETF TRADING STRAEGY<< 1 2 3 4 >>Post Follow-up
fortyfour
185 posts
msg #86507
Ignore fortyfour
modified
1/18/2010 2:59:49 PM

Thanks Drew9.....



Way off topic but the wife just reminded me to get rid of the "stockefetcher glaze"
over my eyes and log on to www.redcross.org and donate.....since Im too old
to facebook, twitter or any new verb theyve come up with recenty.

gaurav
11 posts
msg #86508
Ignore gaurav
1/18/2010 3:55:31 PM

Thanks All, great post. I read the book recently and below is what I could understand about the cumulative RSI approach.

Fetcher[
/* Filter explanation: */
/* The security being used is above its 200 day MA */
/* use a 2-period RSI */
/* Take the past 5 days of the 2-period RSI and add them */
/* Buy if the cumulative RSI is below 30 */
/* and if the RSI(2) is less than 5 */
/* Exit when the 2-period RSI closes above 75 */
/* or if the stock closes above MA(5) */
etf
set {rsisum, sum(RSI(2),3)}
RSI(2) is below 5
and average volume(30) is greater than 1,000,000
and price is between 1 and 250
and price is above MA(200)
and rsisum is below 30
add column RSI(2)
add column rsiyes
and add column MA(5)
and add column MA(200)
and add column average RSI(10)
and add column rsicum
and draw RSI(2)
draw MA(5)
and sort column 5 ascending
]



I have the basic plan and could only test for the last four months. I don't understand the SF back testing completely but would appreciate if somebody could back test is for a longer period.

Approach Information
Approach Name: Cumulative RSI less than 30
Test started on 10/01/2009 ended on 01/15/2010, covering 73 days
Filter used:
Cumulative RSI less than 30 - ETF (saved filter)

Trade Statistics
There were 56 total stocks entered. Of those, 46 or 82.14% were complete and 10 or 17.86% were open.
Of the 46 completed trades, 41 trades or 89.13%resulted in a net gain.
Your average net change for completed trades was: 5.99%.
The average draw down of your approach was: -3.88%.
The average max profit of your approach was: 6.62%
The Reward/Risk ratio for this approach is: 30.07
Annualized Return on Investment (ROI): 99.57%, the ROI of ^SPX was: 26.02%.

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 (25 days) 11 times or 23.91% of the time.
An exit trigger was executed 35 times or 76.09% of the time.

drew9
171 posts
msg #86510
Ignore drew9
1/18/2010 4:22:21 PM

gaurav, nice alternative! One thing I wanted to point out after going through the motions of individually testing the ETF's. Taking the test period back to 2 years is not going to be very realistic as SF will only count an ETF if it was around from the beginning of the backtest period. Problem I found was that many of the leveraged ETF's - particularly the 3X were not around more than a year. Going back any further and then they would be excluded with no results. So taking your filter and backtesting for two years will not give accurate results. The ETF's that were selected for your results may all be completely excluded if you go too far back. I think based on Connors backtests with the many sector funds that have been around for years, the results do bear out and I think with the advent of the leveraged funds and our enhancements, they will just get better!

chetron
2,817 posts
msg #86511
Ignore chetron
1/18/2010 4:28:27 PM

DREW, ALSO POSTED A "NOT ETF" RESULT AND THERE WEREN'T ANY REAL DIFFERENCES AS FAR AS PROFITABILITY.

FWIW

drew9
171 posts
msg #86512
Ignore drew9
modified
1/18/2010 4:39:32 PM

Chetron, yes I did notice and while intriging, comparing to penny stocks was not exactly an apples to apples comparison.

gaurav, despite my prior post, here is how the results look. Used RSI(2) above 75 for an exit. Again, in the real world this should be much better as most of the better ETF's are being excluded due to a short history.

Approach Name: gaurav filter
Test started on 01/15/2008 ended on 01/15/2010, covering 505 days
Filter used:
gaurav filter (saved filter)

Trade Statistics
There were 187 total stocks entered. Of those, 183 or 97.86% were complete and 4 or 2.14% were open.
Of the 183 completed trades, 135 trades or 73.77%resulted in a net gain.
Your average net change for completed trades was: 0.96%.
The average draw down of your approach was: -3.83%.
The average max profit of your approach was: 2.83%
The Reward/Risk ratio for this approach is: 1.78
Annualized Return on Investment (ROI): 43.78%, the ROI of ^SPX was: -9.56%.

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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 183 times or 100.00% of the time.


gaurav
11 posts
msg #86513
Ignore gaurav
1/18/2010 4:43:09 PM

Thanks Drew. The game plan for the rest of the month is to use a paper money account and trade ETFs or stocks that are in the IBD100 list. Let's see how this goes.


chetron
2,817 posts
msg #86514
Ignore chetron
modified
1/18/2010 5:06:23 PM

I APPRECIATE YOUR DESIRE NOT TO MIX THE FRUITS UP, BUT NOT WANTING TO INuNDATE THE THREAD WITH ALL THE DATA I GATHERED, I ONLY POSTED THE EXTREMES, BUT ALL THE DATA IN BETWEEN WAS JUST AS PROFITABLE, ALL THE TIME. I WAS NOT ABLE TO COME UP WITH any NEGATIVE DATA, WHAT SO EVER WITH ANY STOCK SAMPLE. SET.

HTH



sdadesky
4 posts
msg #86515
Ignore sdadesky
1/18/2010 5:28:15 PM

Hi guys,

Intriguing threat, though I have not read the Connors book yet.

Tried backtesting following


etf
close above MA(200)
average volume(50) above 100000
close below close 1 day ago
RSI(2) 1 day ago below 2

over a recent longer period:
Results pretty dismal

Created StartDate EndDate Win(%) Lose(%) W/LRatio Reward/Risk ROI(%) Options
1/18/2010 9/15/2006 9/14/2007 57% 41% 1.41:1 0.88 -3.10% delete copy




There were 102 total stocks entered. Of those, 101 or 99.02% were complete and 1 or 0.98% were open.
Of the 101 completed trades, 58 trades or 57.43%resulted in a net gain.
Your average net change for completed trades was: -0.09%.
The average draw down of your approach was: -1.86%.
The average max profit of your approach was: 2.25%
The Reward/Risk ratio for this approach is: 0.88
Annualized Return on Investment (ROI): -3.09%, the ROI of ^SPX was: 12.51%.


When I change the period to ma(100) day results improve significantly:

Created StartDate EndDate Win(%) Lose(%) W/LRatio Reward/Risk ROI(%) Options
1/18/2010 9/15/2006 9/14/2007 67% 31% 2.20:1 1.85 15.29%

but still barely ahead of s&p 500


I believe I had the exit set up as you preferred:
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
Exit Trigger #1: exit when the RSI(2) crosses back below 70 from above

To my understanding, this would throw a big wrench in the works.

sdadesky



chetron
2,817 posts
msg #86516
Ignore chetron
modified
1/18/2010 6:32:22 PM

YOU GUYS CAN EXIT WHEN YOU WANT BUT WHY?

ORIGINAL EXIT

kevin on connors 9/15/2006 9/14/2007 1/18/2010 9/15/2006 9/14/2007 72% 28% 2.56:1 4.17 43.18%

KEV'S NEW ANd IMPROVED???????

kevin on connors 9/15/2006 9/14/2007 1/18/2010 9/15/2006 9/14/2007 60% 38% 1.61:1 1.11 2.49%

BOTH STILL PROFITABLE.

fortyfour
185 posts
msg #86524
Ignore fortyfour
1/18/2010 7:41:22 PM

Maybe it isnt a wrench...


What if tesing for the year prior returned +40%
Your test period -3%
and the following year +25%

StockFetcher Forums · General Discussion · EVALUATING LARRY CONNORS' ETF TRADING STRAEGY<< 1 2 3 4 >>Post Follow-up

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