StockFetcher Forums · General Discussion · SF backtesting function<< >>Post Follow-up
alichambers
48 posts
msg #45388
Ignore alichambers
6/30/2006 7:02:31 AM

Hi,

I'm a bit confused on how to set a trailing stop loss on the SF backtesting utility.

I have created a simple scan to look for pullbacks in uptrending stocks. After entry, I expect to be out within a few days.

I would like to use a trailing stop loss at the low of each day +/- 0.5% of the price to give some "leeway" against variations.

How do I do this?

Thanks - alex

Approach Information
Approach Name: Dr Williams TTC-A test
Test started on 12/30/2005 ended on 05/01/2006, covering 82 days
Filter used:
Dr Williams: TTC-A (saved filter)

Trade Statistics
There were 174 total stocks entered. Of those, 129 or 74.14% were complete and 45 or 25.86% were open.
Of the 129 completed trades, 87 trades or 67.44%resulted in a net gain.
Your average net change for completed trades was: 2.35%.
The average draw down of your approach was: -3.33%.
The average max profit of your approach was: 5.83%
The Reward/Risk ratio for this approach is: 2.43
Annualized Return on Investment (ROI): 28.89%, the ROI of ^SPX was: 12.19%.

Exit Statistics
Stop Loss was triggered 11 times or 8.53% of the time.
Stop Profit was triggered 34 times or 26.36% 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) 84 times or 65.12% 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:8710610910895102
Losers:426465657772
Win/Loss Ratio:2.07:11.66:11.68:11.66:11.23:11.42:1
Net Change:2.35%0.80%1.26%1.74%1.87%1.67%

Statistics By Variable: Match Price
 <100<200<300<400<500<600<700<800<900<1000
Completed79:397:1-0:10:1--1:0--
2 day chg94:629:11:01:00:1--1:0--
5 day chg97:619:31:01:00:1--1:0--
10 day chg96:619:31:01:00:1--1:0--
25 day chg90:665:70:10:10:1--0:1--
40 day chg95:637:50:10:10:1--0:1--

Statistics By Variable: Average Volume
 <10.0M<20.0M<30.0M<40.0M<50.0M<60.0M<70.0M<80.0M<90.0M<100.0M
Completed86:410:1----1:0---
2 day chg105:630:1----1:0---
5 day chg108:640:1----1:0---
10 day chg107:640:1----1:0---
25 day chg95:750:1----0:1---
40 day chg101:710:1----1:0---



Koronbock
201 posts
msg #45390
Ignore Koronbock
6/30/2006 7:55:19 AM

Ali,
go to BACKTESTING > choose your filter, click EDIT. Scroll down the menu and find EXIT SETUP, click on TRAILING STOP LOSS, enter "0.5" (without the " "), click SAVE .
You are done!

Hope this helps,




Birkoff
4 posts
msg #45406
Ignore Birkoff
6/30/2006 11:44:35 PM

What will 0.5 represent?


alichambers
48 posts
msg #45422
Ignore alichambers
7/2/2006 8:23:50 AM

Thanks.

Alex


StockFetcher Forums · General Discussion · SF backtesting function<< >>Post Follow-up

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