StockFetcher Forums · General Discussion · SWING TRADING<< 1 2 3 4 5 ... 12 >>Post Follow-up
TheRumpledOne
6,358 posts
msg #57256
Ignore TheRumpledOne
modified
11/30/2007 6:52:43 PM

Found this today:

http://www.traderslog.com/swing-trading-rules.htm

The following conditions are fairly reliable indicators for the start of one of these trends (I personally skip the first buy or sell swing when one occurs because the move ensuing could be quite strong):

Narrowest range in the last 7 days
3 consecutive days with small range
The point of a wedge
A breakaway gap
A rising ADX (14-period) above 32

=============================

*** WORK IN PROGRESS ***

Fetcher[
set{xrange, high - low}
set{ nr7, count( xrange equal xrange 7 day low, 1) }
set{ bkgap, count( open above close 1 day ago, 1) * count( low above close 1 day ago, 1) }

set{adx32, count( adx(14) above 32 , 1 ) }

set{ high5, high 5 day high }
set{ low5, low 5 day low }



set{ x1, nr7 + bkgap}
set{ x2, x1 + adx32 }

x2 above 0
]



Just for fun.





betyerbottomdollar
169 posts
msg #57264
Ignore betyerbottomdollar
11/30/2007 9:10:58 PM


This is one year of trading last week's IBD100. Exit is close above upper Bollinger band. Not bad.

There were 1179 total stocks entered. Of those, 1087 or 92.20% were complete and 92 or 7.80% were open.
Of the 1087 completed trades, 877 trades or 80.68%resulted in a net gain.
Your average net change for completed trades was: 5.92%.
The average draw down of your approach was: -5.82%.
The average max profit of your approach was: 9.86%
The Reward/Risk ratio for this approach is: 9.81
Annualized Return on Investment (ROI): 79.26%, the ROI of ^SPX was: 5.76%.

nikoschopen
2,824 posts
msg #57266
Ignore nikoschopen
11/30/2007 9:28:00 PM

BYBD,

Obviously those results are based on the assumption that you hold ure portfolio for at least one year, but we all know that you don't. In addition, it doesn't take into consideration that the IBD 100 list is subject to change on a weekly basis. So my question is how can you reasonably quantify the backtest performance that can accurately reflect the actual trading in the real world?

I have no doubt that ure a great trader, but it would help your fellow newbie traders (myself included) if you can reveal the real trades rather than the "what could have been" trades. Otherwise, keep up the good work.

Cheers!

betyerbottomdollar
169 posts
msg #57271
Ignore betyerbottomdollar
12/1/2007 12:04:16 AM

"...how can you reasonably quantify the backtest performance that can accurately reflect the actual trading in the real world?"

I can't.

Well, I can. I can backtest the last year of the IBD100 for a week at a time. But who is going to put in the time to do that? That does not make this backtest any less relevant. The number of stocks returned by TRO's filter alone is roughly in the gazillions, so to better reflect actual trading it needs to be trimmed it down. Some people add a minimum price close and average volume, I apply it to the latest IBD100. As TRO said, it is "a work in progress".

But really, how many backtests do you do that reflect actual trading in the real world? None, unless you trade every stock your filter returns.




"it would help your fellow newbie traders (myself included) if you can reveal the real trades rather than the "what could have been" trades."

Hmmm...something tells me I am newer than you :) So, are you asking for list of trades made by this filter? There are thousands. I will be happy to run it any way you like and will post the results if you wish (up to any two year period). But something tells me that is not what you are requesting...I don't think I understand your question.

Wanna know something kinda funny? When I sometimes scan the forum threads and see your posts with "ure" written, my brain wants to register "urine" and I almost always have to double take.

"I have no doubt that urine a great trader..."
I am number 1. A whiz. And I am not european.

ugh...sorry bout that...getting late and my brain is all punned out. I should have put the lid on that before I flushed all those jokes outta my system. Gotta go!

nikoschopen
2,824 posts
msg #57273
Ignore nikoschopen
12/1/2007 1:41:06 AM

LOL. I'm a real pisser, aren't I? You may also be interested in the uncensored version that needs no flushing.

On a serious note, it seems to me like everyone has all these great filters/systems that return astronomical ROI but they don't bother telling us how their system stacked up in the real world, at least not on a consistent basis, to know whether it's profitable over time.

Ures (uhh, urine as well) truly. Damn, that sounds almost poetic.

luc1grunt
622 posts
msg #57277
Ignore luc1grunt
12/1/2007 9:44:38 AM

Filter in correlation with current markets...tough to do for more advanced screening criteria. Yearly holds...very tough.

Niko, since I'm too lazy to keep searching for what I know was once posted.....can i get your e-mail?

Grunt

betyerbottomdollar
169 posts
msg #57284
Ignore betyerbottomdollar
12/1/2007 10:38:54 AM

Ah yes...I believe I understand where you are coming from. And urine luck...it just so happens that I have been keeping a trading diary on my trusty Windows Wordperfect. I haven't been keeping it long; it starts in September when I began my current trading strategy (told ya I am a newbie). And it isn't very specific as to which of the ten filters I used to get in at. But it has charts and a brief notation about how much I came out. And so far I am 7-0.

The file size is 264kb; if you would like I can send it to you.

luc1grunt
622 posts
msg #57287
Ignore luc1grunt
12/1/2007 11:39:51 AM

I think the question asked was rhetorical or even better, a question to ponder yourself. For a yearly hold strategy based on a succesful backtest, overal trend has to be considered (I know, duh). And, as you have pointed out, buying the complete list the system generates (tough to do).

I think alf has a pretty damn good long term strategy with the use of filters for entry.

I guess I have had a hard time backtesting long term "investment" criteria. In that arena, I tend to use value criteria and margin of safety as opposed to backtest results.

My 2 cents. Grunt.


TheRumpledOne
6,358 posts
msg #57293
Ignore TheRumpledOne
12/1/2007 12:05:32 PM

Backtest?

The market is DYNAMIC.

Backtesting doesn't make you money.

Backtesting is "I could have..., If only..."

One problem with backtesting ( and paper trading ) is EMOTION is left out of the equation.

How many of you are AUTO TRADING?

How many of you enter your orders BEFORE the market opens or AFTER the market closes?

What's the reason we are debating this in the first place?

We need to focus on identifying and mastering PROFITABLE trading methods like WAITING FOR GREEN.



luc1grunt
622 posts
msg #57297
Ignore luc1grunt
12/1/2007 1:09:52 PM

I don't think anything is being debated.

Trading and investing are seperate and should be treated accordingly. The OP mentioned backtesting IBD and 1 year holds. What has this got to do with day trades or entering on green?

Long term investing and trading are different..................why do people have to make this so complicated?

Trade daily for income...invest long term for acumulated wealth.

StockFetcher Forums · General Discussion · SWING TRADING<< 1 2 3 4 5 ... 12 >>Post Follow-up

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