StockFetcher Forums · General Discussion · Problem w/ "slope of" during backtesting<< >>Post Follow-up
atva96
5 posts
msg #46289
Ignore atva96
8/9/2006 6:17:55 PM

Show stocks where pattern is incomplete-double-bottom
and the CMF(21) crossed above 0.1
and the 42 day slope of the CMF(21) is above 0

While backtesting this filter it appears that selected stocks meet the the first 2 criteria. The final criteria (slope of) is also met but not concurrent with the first 2 criteria. While looking at the chart for selected stocks a 42 day slope line is drawn for the CMF(21), but the slope line is always from 42 days ago to the current date.

I would like the 42 day slope line (and criteria test) to begin 42 days previous to the date upon which the first 2 criteria are met.

Any ideas? Is this a flaw in the software or improper coding of criteria?

Tx
Milton

 
Approach Information
Approach Name: cmf_up_&_incomplete_double _bottom
Test started on 01/03/2005 ended on 04/29/2005, covering 81 days
Filter used:
cmf_up_&_incomplete_double _bottom (saved filter)

Trade Statistics
There were 20 total stocks entered. Of those, 17 or 85.00% were complete and 3 or 15.00% were open.
Of the 17 completed trades, 6 trades or 35.29%resulted in a net gain.
Your average net change for completed trades was: -2.84%.
The average draw down of your approach was: -7.47%.
The average max profit of your approach was: 5.52%
The Reward/Risk ratio for this approach is: 0.49
Annualized Return on Investment (ROI): -52.51%, the ROI of ^SPX was: -13.86%.

Exit Statistics
Stop Loss was triggered 7 times or 41.18% of the time.
Stop Profit was triggered 4 times or 23.53% 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) 6 times or 35.29% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:6138876
Losers:11712121314
Win/Loss Ratio:0.55:11.86:10.67:10.67:10.54:10.43:1
Net Change:-2.84%-0.32%-0.52%-2.24%-3.82%-8.12%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed3:52:31:2--0:1----
2 day chg5:55:12:1--1:0----
5 day chg4:63:31:2--0:1----
10 day chg4:63:31:2--0:1----
25 day chg3:73:31:2--0:1----
40 day chg3:72:41:2--0:1----

Statistics By Variable: Average Volume
 <400000<800000<1.2M<1.6M<2.0M<2.4M<2.8M<3.2M<3.6M<4.0M
Completed5:91:0-0:1-----0:1
2 day chg9:62:0-1:1-----1:0
5 day chg5:102:0-1:1-----0:1
10 day chg6:91:1-1:1-----0:1
25 day chg5:101:1-1:1-----0:1
40 day chg4:111:1-1:1-----0:1



StockFetcher Forums · General Discussion · Problem w/ "slope of" during backtesting<< >>Post Follow-up

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