StockFetcher Forums · General Discussion · Trade statistics breakdown<< 1 2 3 4 >>Post Follow-up
Eman93
4,659 posts
msg #99163
Ignore Eman93
2/16/2011 4:18:23 PM

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

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

I bought the software... paid for it first day... great tool. very easy to use... only no real date off set so you could see what happened with your filter in the past...

bagsby32
23 posts
msg #99265
Ignore bagsby32
modified
2/19/2011 9:17:20 PM

Approach Information
Approach Name: MY BEST WORK YET
Test started on 01/03/2011 ended on 02/18/2011, covering 33 days
Filter used:
MY BEST WORK YET (saved filter)



Trade Statistics
There were 128 total stocks entered. Of those, 74 or 57.81% were complete and 54 or 42.19% were open.
Of the 74 completed trades, 66 trades or 89.19%resulted in a net gain.
Your average net change for completed trades was: 16.50%.
The average draw down of your approach was: -11.18%.
The average max profit of your approach was: 31.30%
The Reward/Risk ratio for this approach is: 9.74
Annualized Return on Investment (ROI): 911.19%, the ROI of ^SPX was: 50.82%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 66 times or 89.19% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (20 days) 8 times or 10.81% of the time.
An exit trigger was executed 0 times or 0.00% of the time.





How can I get my draw down lower?

Eman93
4,659 posts
msg #99271
Ignore Eman93
modified
2/20/2011 12:32:29 AM

this is no stop loss and no profit stop just sell at end of day..... good luck


Statistics Performance Chart Trades Equity Summary new! System Summary Edit Backtests Backtest Forum Help
Approach Information
Approach Name: 222
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 < 2.10




Trade Statistics
There were 302 total stocks entered. Of those, 301 or 99.67% were complete and 1 or 0.33% were open.
Of the 301 completed trades, 137 trades or 45.51%resulted in a net gain.
Your average net change for completed trades was: 1.01%.
The average draw down of your approach was: -5.07%.
The average max profit of your approach was: 5.75%
The Reward/Risk ratio for this approach is: 1.39
Annualized Return on Investment (ROI): 249.08%, the ROI of ^SPX was: 25.98%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 301 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Eman93
4,659 posts
msg #99276
Ignore Eman93
2/20/2011 11:31:04 AM

I do think the filter Kevin posted has the most merit,,, 81% win rate is pretty damm good.. and the highest I have seen.


Rick67
64 posts
msg #99296
Ignore Rick67
2/21/2011 8:49:07 AM

RE: How can I get my draw down lower?

I have done a lot of system testing in Amibroker. This is a program that allows one to optimize various variables (including stop losses) to find the best value. Sounds good, but in a nutshell, optimization can be a trap.

Anyway back to the subject. Basically you can lower drawdowns but at a trade-off. Once you lower drawdowns with stop losses etc,. you start reducing the percentage of winners and overall profit. You have to find a happy medium you can live with.

Rick

bagsby32
23 posts
msg #100090
Ignore bagsby32
4/3/2011 7:41:32 PM

This looks decent.

Approach Information
Approach Name: TEST
Test started on 11/24/2010 ended on 03/30/2011, covering 86 days
Filter used:
TEST (saved filter)



Trade Statistics
There were 207 total stocks entered. Of those, 197 or 95.17% were complete and 10 or 4.83% were open.
Of the 197 completed trades, 180 trades or 91.37%resulted in a net gain.
Your average net change for completed trades was: 7.14%.
The average draw down of your approach was: -6.99%.
The average max profit of your approach was: 12.10%
The Reward/Risk ratio for this approach is: 10.95
Annualized Return on Investment (ROI): 583.92%, the ROI of ^SPX was: 35.08%.


Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 173 times or 87.82% 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) 10 times or 5.08% of the time.
An exit trigger was executed 14 times or 7.11% of the time.


bagsby32
23 posts
msg #100091
Ignore bagsby32
4/3/2011 7:45:06 PM

Approach Information
Approach Name: TEST
Test started on 02/14/2011 ended on 03/30/2011, covering 31 days
Filter used:
TEST (saved filter)



Trade Statistics
There were 87 total stocks entered. Of those, 77 or 88.51% were complete and 10 or 11.49% were open.
Of the 77 completed trades, 74 trades or 96.10%resulted in a net gain.
Your average net change for completed trades was: 6.81%.
The average draw down of your approach was: -6.23%.
The average max profit of your approach was: 11.26%
The Reward/Risk ratio for this approach is: 12.75
Annualized Return on Investment (ROI): 886.92%, the ROI of ^SPX was: -0.28%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 72 times or 93.51% 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) 2 times or 2.60% of the time.
An exit trigger was executed 3 times or 3.90% of the time.


bagsby32
23 posts
msg #100398
Ignore bagsby32
4/24/2011 12:05:44 AM

Approach Information
Approach Name: TEST
Test started on 02/14/2011 ended on 04/21/2011, covering 47 days
Filter used:
TEST (saved filter)



Trade Statistics
There were 77 total stocks entered. Of those, 73 or 94.81% were complete and 4 or 5.19% were open.
Of the 73 completed trades, 66 trades or 90.41%resulted in a net gain.
Your average net change for completed trades was: 6.08%.
The average draw down of your approach was: -5.90%.
The average max profit of your approach was: 11.46%
The Reward/Risk ratio for this approach is: 6.94
Annualized Return on Investment (ROI): 1118.15%, the ROI of ^SPX was: 3.42%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 65 times or 89.04% 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) 1 times or 1.37% of the time.
An exit trigger was executed 7 times or 9.59% of the time.


My draw down is getting lower guys. Work in progress.

Eman93
4,659 posts
msg #100404
Ignore Eman93
modified
4/24/2011 11:51:24 AM

bagsby32

Unless you post the filter your numbers are meaningless to me. Any one can just change the numbers.

Unless they are reproducible it means nothing.





bagsby32
23 posts
msg #100405
Ignore bagsby32
modified
4/24/2011 6:12:23 PM

You are correct. Sorry about that.

Fetcher[
SYMLIST ()
set{alpha, relative strength(SPY,20) + relative strength(SPY,63)}
add column alpha
add column market
add column CCI(8)
add column money
add column obv
ADD COLUMN FULL STOCHASTIC(6,3,3) %D
Draw RSI(2) line at 90
Draw RSI(2) line at 20
show stocks where Average Volume(90) is above 1500000
ADD COLUMN FI(4)
draw FULL stochastic(6,3,3) line at 20
draw FULL stochastic(6,3,3) line at 90
draw OBV
set{money, close * average volume(50)}
money >8000
money < 9500000
DRAW CCI(8)
DRAW CCI(8) LINE AT -100
ADD COLUMN EMA (5)
ADD COLUMN RSI(2)
Draw Linear Regression Channel(40)
DRAW Parabolic SAR(0.4,8.0)
ADD COLUMN Parabolic SAR(0.4,8.0)
draw macd(4,8,1)
draw macd(2,3,1)
set{ra,count(open < low 1 day ago,1)}
set{rb,count(close > close 1 day ago,1)}
set{rc,count(close > open 1 day ago,1)}
set{rd,count(volume > volume 1 day ago,1)}
set{re,count(low < low 1 day ago,1)}
set{rx, ra + rb}
set{ry, rc + rd}
set{rz, rx + ry}
set{uturn, rz + re}

set{ra2,count(close 1 day ago < open 1 day ago,1)}
set{rb2,count(close > open,1)}
set{rc2,count(low < low 1 day ago,1)}
set{rd2,count(low < low 2 days ago,1)}
set{re2,count(close > close 1 day ago,1)}
set{rf2,count(volume > volume 1 day ago,1)}
set{rx2, ra2 + rb2}
set{ry2, rc2 + rd2}
set{rz2, re2 + rf2}
set{rz1, rx2 +ry2}
set{dailyreversal, rz1 + rz2}

add column uturn
add column dailyreversal
]



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

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