StockFetcher Forums · General Discussion · backtesting worthy filters, part 2<< >>Post Follow-up
psheridan050
52 posts
msg #46902
Ignore psheridan050
9/13/2006 9:54:16 AM

Im working on a filter that has a Stop Loss of 9.49% and a Profit Stop of 14%. I havent gotten around to a trailing stop yet. Maximum Trades Per Day is 5
and Maximum Open Positions is 5. the filter trades stocks with a close between
$5.50 and $24.00 with Average Volume(30) above 1000000. Looking at the the results displayed to go, does it appear i have developed a worthy filter? Im a bit worried about the high stop loss of 9.49%. And average net change is only 1.54%. Any and all comments would be appreciated.




 
Approach Information
Approach Name: AAAA
Test started on 09/10/2004 ended on 09/11/2006, covering 504 days
Filter used:
End of the Trend (down) (saved filter)

Trade Statistics
There were 223 total stocks entered. Of those, 223 or 100.00% were complete and or 0.00% were open.
Of the 223 completed trades, 145 trades or 65.02%resulted in a net gain.
Your average net change for completed trades was: 1.54%.
The average draw down of your approach was: -1.78%.
The average max profit of your approach was: 3.44%
The Reward/Risk ratio for this approach is: 3.29
Annualized Return on Investment (ROI): 346.62%, the ROI of ^SPX was: 7.94%.

Exit Statistics
Stop Loss was triggered 3 times or 1.35% of the time.
Stop Profit was triggered 8 times or 3.59% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time ( days) 0 times or 0.00% of the time.
An exit trigger was executed 212 times or 95.07% of the time.

Statistics By Holding Period
 Completed2 day chg3 day chg4 day chg5 day chg10 day chg
Winners:14577828798100
Losers:73142139134124121
Win/Loss Ratio:1.99:10.54:10.59:10.65:10.79:10.83:1
Net Change:1.54%-1.62%-1.27%-1.08%-0.95%-0.69%

Statistics By Variable: Match Price
 <6<8<10<12<14<16<18<20<22<24
Completed5:19:19:314:211:612:919:1121:1824:1021:12
2 day chg0:61:104:83:136:1111:910:2018:2210:2414:19
3 day chg1:52:94:82:1410:812:910:2115:249:2517:16
4 day chg2:42:95:72:149:99:1212:2019:2012:2115:18
5 day chg2:43:87:54:1210:88:1313:1923:1711:2217:16
10 day chg1:53:84:73:1212:68:1313:1923:1714:2019:14

Statistics By Variable: Average Volume
 <15.0M<30.0M<45.0M<60.0M<75.0M<90.0M<105.0M<120.0M<135.0M<150.0M
Completed140:713:2----1:0-1:0-
2 day chg74:1383:2----0:1-0:1-
3 day chg78:1363:2----1:0-0:1-
4 day chg82:1323:2----1:0-1:0-
5 day chg93:1223:2----1:0-1:0-
10 day chg96:1183:2----1:0-0:1-



traderblues
195 posts
msg #46903
Ignore traderblues
modified
9/13/2006 10:40:51 AM

2 comments:

1. Your stop loss and profit stop are really a non-factor. Between the two, they only accounted for less than 5% of total trades. Maybe try lowering your profit stop a little bit.
2. You only have 223 trades in two years, that averaged 1.54% per trade. That is about 2 trades per week. If you are trading 200k, and splitting your money into 5 parts, each trade would make you $616, so you'd make about $1,232 per week. If you look at the first graph, you rarely get up to 5 positions. Most of the time you have 2 or less positions at any one time. Try making your filter a little less restrictive to let in a few more stocks.



StockFetcher Forums · General Discussion · backtesting worthy filters, part 2<< >>Post Follow-up

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