StockFetcher Forums · General Discussion · IS THIS GOOD SHORT FILTER RESULTS?<< >>Post Follow-up
mesayah
658 posts
msg #86538
Ignore mesayah
1/19/2010 12:54:23 AM

I'M new so not good at backtesting, so is this good or bad?...


There were 2856 total stocks entered. Of those, 2843 or 99.54% were complete and 13 or 0.46% were open.
Of the 2843 completed trades, 568 trades or 19.98%resulted in a net gain.
Your average net change for completed trades was: -1.36%.
The average draw down of your approach was: -7.33%.
The average max profit of your approach was: 6.00%
The Reward/Risk ratio for this approach is: 0.15
Annualized Return on Investment (ROI): -34220.88%, the ROI of ^SPX was: 4.81%.

Exit Statistics
Stop Loss was triggered 2275 times or 80.02% of the time.
Stop Profit was triggered 568 times or 19.98% 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) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Eman93
4,659 posts
msg #86539
Ignore Eman93
1/19/2010 1:00:43 AM

I would say yes..

You win 80% of the trades going short with and average draw down of 7% or profit if you look at like that...

Whats the time frame? 2000+ trades is a lot of trades.... whats the typical number of results from the filter?

mesayah
658 posts
msg #86540
Ignore mesayah
modified
1/19/2010 1:20:13 AM

5 -100 range. tested since 2003


How was 7% achieved when i set the stop profit to 1% and stop loss to 2%? gaps???
What am i missing...

chetron
2,817 posts
msg #86542
Ignore chetron
modified
1/19/2010 6:52:04 AM

YES, YOU CAN GET BIGGER RETURNS/LOSS THAN YOUR STOPS, I ASSUMED, DUE TO GAPS ALSO.

BUT YOUR ROI IS NEGATIVE? I THOUGHT IF YOU SET THE BACKTEST FOR SHORT, IT WOULD GIVE YOU A POSITIVE NUMBER IF GOOD?

DID YOU SET THE BACKTEST FOR SHORT PLAYS?

for instance.....

Approach Information
Approach Name: GO SHORT OBRIEN
Test started on 05/01/2008 ended on 08/21/2009, covering 330 days
Filter used:
Ma (5) crossed above ma (10)
+DI (20) crossed above -DI (20)
and price is less than 5.0
and draw mfi (30)
and draw +volume
and draw macd
and draw rsi





Trade Statistics
There were 4237 total stocks entered. Of those, 4177 or 98.58% were complete and 60 or 1.42% were open.
Of the 4177 completed trades, 2274 trades or 54.44%resulted in a net gain.
Your average net change for completed trades was: 0.66%.
The average draw down of your approach was: -14.69%.
The average max profit of your approach was: 12.89%
The Reward/Risk ratio for this approach is: 1.10
Annualized Return on Investment (ROI): 52.58%, the ROI of ^SPX was: -19.43%.

Exit Statistics
Stop Loss was triggered 1870 times or 44.77% of the time.
Stop Profit was triggered 2239 times or 53.60% 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) 68 times or 1.63% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


mesayah
658 posts
msg #86566
Ignore mesayah
1/19/2010 10:58:37 AM

It was a long filter not set for short.

chetron
2,817 posts
msg #86567
Ignore chetron
1/19/2010 11:12:08 AM

WHAT DO YOU GET WHEN YOU SET IT FOR SHORT?

StockFetcher Forums · General Discussion · IS THIS GOOD SHORT FILTER RESULTS?<< >>Post Follow-up

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