StockFetcher Forums · General Discussion · Trade statistics breakdown<< 1 2 3 4 >>Post Follow-up
bagsby32
23 posts
msg #98698
Ignore bagsby32
1/22/2011 3:20:27 AM

Avg draw down, reward/risk ratio, etc, can anyone breakdown what they all mean and what numbers I should be looking for on my backtests? Ex: Is a 0.76 R/R ratio good or bad. Thanks.

Kevin_in_GA
4,549 posts
msg #98700
Ignore Kevin_in_GA
1/22/2011 7:53:35 AM

Higher is better for R/R - here is a pretty good filter to try.

Approach Name: RMI(8,14) cross below 65
Test started on 09/21/2010 ended on 01/21/2011, covering 85 days

Filter used:
market is s&p 500
close above 1
average volume(20) above 200000
MA(10) below MA(45)
rmi(8,14) crossed below 65

Exit Setup
Stop Loss: N/A
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: N/A
Exit Trigger #1: ma(10) above MA(45)
Exit Trigger #2: rmi(8,14) crossed above 45


Trade Statistics
There were 73 total stocks entered. Of those, 64 or 87.67% were complete and 9 or 12.33% were open.
Of the 64 completed trades, 59 trades or 92.19% resulted in a net gain.
Your average net change for completed trades was: 4.00%.
The average draw down of your approach was: -2.44%.
The average max profit of your approach was: 5.25%
The Reward/Risk ratio for this approach is: 19.75
Annualized Return on Investment (ROI): 107.31%, the ROI of ^SPX was: 35.73%.

duke56468
683 posts
msg #98701
Ignore duke56468
1/22/2011 11:20:36 AM

Kevin... could you help me with the thinking behind this filter? It backtests well using the exit triggers you outline but without any stops the pucker factor gets pretty huge on some of the stock selections. How did you come up with 65 for the RMI to cross for entry? Again many thanks for your contributions.

bagsby32
23 posts
msg #98704
Ignore bagsby32
modified
1/22/2011 5:27:57 PM

Kevin, how does this look?

Approach Name: SYMBOL LIST
09/21/2010 ended on 01/21/2011, covering 85 days

Exit Setup
Stop Loss: N/A
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 45


Trade Statistics
There were 168 total stocks entered. Of those, 155 or 92.26% were complete and 13 or 7.74% were open.
Of the 155 completed trades, 154 trades or 99.35%resulted in a net gain.
Your average net change for completed trades was: 10.45%.
The average draw down of your approach was: -20.41%.
The average max profit of your approach was: 19.84%
The Reward/Risk ratio for this approach is: 91.59
Annualized Return on Investment (ROI): 801.77%, the ROI of ^SPX was: 35.73%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 154 times or 99.35% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (45 days) 1 times or 0.65% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


bagsby32
23 posts
msg #99085
Ignore bagsby32
2/14/2011 1:00:49 AM

Approach Information
Approach Name: Bagsby money 1
Test started on 02/01/2011 ended on 02/11/2011, covering 8 days
Filter used:
Bagsby money 1 (saved filter)



Trade Statistics
There were 41 total stocks entered. Of those, 18 or 43.90% were complete and 23 or 56.10% were open.
Of the 18 completed trades, 14 trades or 77.78%resulted in a net gain.
Your average net change for completed trades was: 10.74%.
The average draw down of your approach was: -4.94%.
The average max profit of your approach was: 15.24%
The Reward/Risk ratio for this approach is: 11.11
Annualized Return on Investment (ROI): 596.84%, the ROI of ^SPX was: 95.82%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 8 times or 44.44% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (7 days) 10 times or 55.56% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


Rick67
64 posts
msg #99117
Ignore Rick67
2/15/2011 4:11:09 AM

Anything will work great when tested over a market uptrend. How does it work on a sideways or downtrending market? Try testing this from May 5, 2010 to 9/10/2010.

duke56468
683 posts
msg #99125
Ignore duke56468
2/15/2011 8:33:57 AM

Thats a tough period, I cant get much to work long there either.

maxreturn
745 posts
msg #99128
Ignore maxreturn
2/15/2011 9:38:46 AM

Suggestion, instead of spending so much time fiddling with filters spend more time looking at monthly and weekly SPX charts. Study how price swings (I use zig zag), volume, momentum (I use MACD) and support and resistance work together to give you a clearer picture of what the long term trend is, and just as important what conditions need to be in place to indicate a high probability of a long term market reversal.

bagsby32
23 posts
msg #99133
Ignore bagsby32
modified
2/15/2011 12:13:37 PM

Approach Information
Approach Name: IS this the one
Test started on 05/05/2010 ended on 09/10/2010, covering 89 days
Filter used:
IS this the one (saved filter)



Trade Statistics
There were 1138 total stocks entered. Of those, 888 or 78.03% were complete and 250 or 21.97% were open.
Of the 888 completed trades, 679 trades or 76.46%resulted in a net gain.
Your average net change for completed trades was: 622.11%.
The average draw down of your approach was: -22.66%.
The average max profit of your approach was: 648.78%
The Reward/Risk ratio for this approach is: 70.56
Annualized Return on Investment (ROI): 9707.65%, the ROI of ^SPX was: -14.17%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 673 times or 75.79% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (45 days) 215 times or 24.21% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


Looks like it works on any time table.

bagsby32
23 posts
msg #99135
Ignore bagsby32
modified
2/15/2011 12:22:28 PM

Approach Name: IS this the one
Test started on 10/08/2010 ended on 02/15/2011, covering 89 days
Filter used:
IS this the one (saved filter)



Trade Statistics
There were 1343 total stocks entered. Of those, 1094 or 81.46% were complete and 249 or 18.54% were open.
Of the 1094 completed trades, 948 trades or 86.65%resulted in a net gain.
Your average net change for completed trades was: 13411.18%.
The average draw down of your approach was: -18.08%.
The average max profit of your approach was: 13439.12%
The Reward/Risk ratio for this approach is: 3083.41
Annualized Return on Investment (ROI): 278550.42%, the ROI of ^SPX was: 41.68%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 944 times or 86.29% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (45 days) 150 times or 13.71% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


StockFetcher Forums · General Discussion · Trade statistics breakdown<< 1 2 3 4 >>Post Follow-up

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