StockFetcher Forums · General Discussion · Trade statistics breakdown<< 1 2 3 4 >>Post Follow-up
mahkoh
891 posts
msg #99138
Ignore mahkoh
2/15/2011 2:03:49 PM

Bagsby, I'm getting curious. Would you care to share your "is this the one" filter?

duke56468
683 posts
msg #99142
Ignore duke56468
2/15/2011 9:25:12 PM

bagsby32....with 1138 trades (commissions) and 22% still open the filter could still be under water even though the it shows a 9707 ROI. What does the bottom line say under "equity summary"?

Eman93
4,659 posts
msg #99150
Ignore Eman93
2/16/2011 2:19:38 AM

Kevin_in_GA
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%

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

You need to assign a risk a stop loss or risk is 100% no other way to calc an RR. if risk is 100 and your average return is 4% the your RR is .04 reward for every dollar. but you are winning 92% its the other 9 open that could wipe out all the gains... just saying. put in an 8% stop loss and see what you get for an RR.. the draw down was only 2.44 so you should be good...

Eman93
4,659 posts
msg #99151
Ignore Eman93
modified
2/16/2011 2:31:27 AM

this is buy the open after the trigger and sell at end of day.......... good luck

Test started on 06/30/2009 ended on 02/15/2011, covering 411 days
Filter used:
Average Volume(2) > 500000

close 1 day ago < 2.00

close > 2.01
close < 2.23




Trade Statistics
There were 517 total stocks entered. Of those, 516 or 99.81% were complete and 1 or 0.19% were open.
Of the 516 completed trades, 224 trades or 43.41%resulted in a net gain.
Your average net change for completed trades was: 0.58%.
The average draw down of your approach was: -7.75%.
The average max profit of your approach was: 9.16%
The Reward/Risk ratio for this approach is: 1.15
Annualized Return on Investment (ROI): 89.59%, the ROI of ^SPX was: 25.98%.

Exit Statistics
Stop Loss was triggered 157 times or 30.43% of the time. this was set at 8%
Stop Profit was triggered 47 times or 9.11% of the time. this was set at 20%
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 312 times or 60.47% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Eman93
4,659 posts
msg #99152
Ignore Eman93
2/16/2011 2:46:25 AM

Statistics Performance Chart Trades Equity Summary new! System Summary Edit Backtests Backtest Forum Help
Approach Information
Approach Name:
Test started on 03/03/2009 ended on 02/15/2011, covering 494 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

Trade Statistics
There were 464 total stocks entered. Of those, 459 or 98.92% were complete and 5 or 1.08% were open.
Of the 459 completed trades, 365 trades or 79.52%resulted in a net gain.
Your average net change for completed trades was: 3.02%.
The average draw down of your approach was: -3.82%.
The average max profit of your approach was: 6.09%
The Reward/Risk ratio for this approach is: 3.02
Annualized Return on Investment (ROI): 74.17%, the ROI of ^SPX was: 44.26%.

Exit Statistics
Stop Loss was triggered 79 times or 17.21% of the time.
Stop Profit was triggered 87 times or 18.95% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (300 days) 0 times or 0.00% of the time.
An exit trigger was executed 293 times or 63.83% of the time.

Eman93
4,659 posts
msg #99153
Ignore Eman93
2/16/2011 2:49:40 AM

Still not bad only 10% loss

Test started on 03/02/2007 ended on 02/15/2008, covering 242 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

Trade Statistics
There were 296 total stocks entered. Of those, 287 or 96.96% were complete and 9 or 3.04% were open.
Of the 287 completed trades, 164 trades or 57.14%resulted in a net gain.
Your average net change for completed trades was: -0.47%.
The average draw down of your approach was: -4.59%.
The average max profit of your approach was: 4.15%
The Reward/Risk ratio for this approach is: 0.83
Annualized Return on Investment (ROI): -10.61%, the ROI of ^SPX was: -3.76%.

Exit Statistics
Stop Loss was triggered 94 times or 32.75% of the time.
Stop Profit was triggered 15 times or 5.23% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (300 days) 0 times or 0.00% of the time.
An exit trigger was executed 178 times or 62.02% of the time.

Eman93
4,659 posts
msg #99154
Ignore Eman93
modified
2/16/2011 3:17:31 AM

from 05 to 07 a 12% return not bad for a truly mechanical system.. one would think a good trader could do better

these all were run with 8% stop loss.. 10% profit


if you use the gambling analogy...

and break this down Kevin


so if you risk reward is 2 that is double your money so you only need to win 50% to break even.... right...

so as your risk reward goes down you win % must go up as a ratio expressed 2/50 = risk reward / solve for win %

so the above risk of 8 and reward of 10.. how much win % do you need to break even? first we need the ratio of 10/8

2/50 = 1.25/X so your win % must be at least 31.25 - 100 = 68.75% to break even... its late... is that correct? seems right we are winning less than double the risk........ just some things to think about....









bagsby32
23 posts
msg #99156
Ignore bagsby32
2/16/2011 6:29:29 AM

Here you go Duke. Not sure what this all means though.

Transaction Summary
Daily Gains : $772793.18
Daily Losses : $7907980.97
Running Gain/(Loss) : $71992232.23
# Stocks held at end of day : -100

Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $72092232.23
Total (Cash + Market): $72092232.23


Eman93
4,659 posts
msg #99157
Ignore Eman93
modified
2/16/2011 7:37:34 AM

Rick67
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.
------------------------------------------------------------------------------------------------------------------------------------

Part of trading is determining the trend... build rules around trend... use bull or bear filter.....if no trend then stay out...

duke56468
683 posts
msg #99159
Ignore duke56468
2/16/2011 9:26:46 AM

Eman93.......did you stick with garsworld?

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

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