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shillllihs
3,544 posts
msg #114941
Ignore shillllihs
8/17/2013 7:12:17 PM

is this good or bad for a short filter?

Approach Name: BABY
Test started on 2010-12-31 ended on 0000-00-00, covering 82 days
Filter used:
BABY (saved filter))

Trade Statistics
There were 159 total stocks entered. Of those, 98 or 61.64% were complete and 61 or 38.36% were open.
Of the 98 completed trades, 98 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 25.72%.
The average draw down of your approach was: -28.40%.
The average max profit of your approach was: 30.92%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 385.05%, the ROI of ^SPX was: 25.61%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $112,991.53. Cash: $84,193.57 Market value of holdings at end: $28,797.96 (paid: $24,572.99)
Realized gain/loss: $10,189.61 ($103.98 per trade.)
Total Commissions Paid: $2,300.15
Unrealized gain/loss: $-4,224.97.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 98 times or 100.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (83 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 98 60 65 47 41 27
Losers: 0 94 90 109 116 131
Win/Loss Ratio: 0.00:1 0.64:1 0.72:1 0.43:1 0.35:1 0.21:1
Net Change: 25.7 8.7 -3.9 -5.2 -12.2 -31.3

Statistics By Variable: Match Price
<3 <4 <5 <6 <7 <8 <9 <10 <11 <12 <13
Completed 42:0 19:0 12:0 13:0 9:0 3:0 - - - - -
2 day chg 23:36 11:18 11:14 6:14 6:10 3:2 - - - - -
5 day chg 26:34 9:19 10:14 12:10 6:10 2:3 - - - - -
10 day chg 16:44 9:21 8:16 9:12 4:12 1:4 - - - - -
25 day chg 16:43 7:23 4:21 6:16 6:10 2:3 - - - - -
40 day chg 9:50 3:28 5:20 4:18 5:11 1:4 - - - - -

Statistics By Variable: Average Volume
<0 <4.0M <8.0M <12.0M <16.0M <20.0M <24.0M <28.0M <32.0M <36.0M <40.0M
Completed 93:0 4:0 - - - - - 1:0 - - -
2 day chg 59:90 1:3 - - - - - 0:1 - - -
5 day chg 65:85 0:4 - - - - - 0:1 - - -
10 day chg 47:104 0:4 - - - - - 0:1 - - -
25 day chg 41:111 0:4 - - - - - 0:1 - - -
40 day chg 27:126 0:4 - - - - - 0:1 - - -


duke56468
683 posts
msg #114946
Ignore duke56468
8/18/2013 8:35:59 AM

How does it work the next 4 months 2011-4-30 to 2011-8-30?

shillllihs
3,544 posts
msg #114952
Ignore shillllihs
modified
8/18/2013 5:19:11 PM

So what do you think? Anyone?

Approach Name: BABY
Test started on 2011-04-30 ended on 2011-08-30, covering 85 days
Filter used:
BABY (saved filter))

Trade Statistics
There were 213 total stocks entered. Of those, 136 or 63.85% were complete and 77 or 36.15% were open.
Of the 136 completed trades, 135 trades or 99.26%resulted in a net gain.
Your average net change for completed trades was: 24.55%.
The average draw down of your approach was: -419.04%.
The average max profit of your approach was: 29.45%
The Reward/Risk ratio for this approach is: 468.57
Annualized Return on Investment (ROI): 375.33%, the ROI of ^SPX was: -31.45%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $116,667.17. Cash: $79,559.05 Market value of holdings at end: $37,080.12 (paid: $32,211.90)
Realized gain/loss: $13,677.30 ($100.57 per trade.)
Total Commissions Paid: $3,123.55
Unrealized gain/loss: $-4,868.22.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 135 times or 99.26% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (83 days) 1 times or 0.74% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 135 90 83 78 68 37
Losers: 1 114 125 131 144 175
Win/Loss Ratio: 135.00:1 0.79:1 0.66:1 0.59:1 0.47:1 0.21:1
Net Change: 24.6 391.7 -5.8 301.6 -19.9 130.4

Statistics By Variable: Match Price
<3 <4 <5 <6 <7 <8 <9 <10 <11 <12 <13
Completed 52:0 34:0 19:1 15:0 10:0 5:0 - - - - -
2 day chg 36:35 21:32 17:14 7:13 9:15 0:5 - - - - -
5 day chg 33:44 23:30 13:19 5:13 8:15 1:4 - - - - -
10 day chg 30:45 18:35 17:15 6:14 7:17 0:5 - - - - -
25 day chg 26:51 13:41 15:16 4:17 10:14 0:5 - - - - -
40 day chg 13:64 9:45 7:25 2:18 6:18 0:5 - - - - -

Statistics By Variable: Average Volume
<0 <1000000 <2.0M <3.0M <4.0M <5.0M <6.0M <7.0M <8.0M <9.0M <10.0M
Completed 116:1 8:0 4:0 6:0 1:0 - - - - - -
2 day chg 77:92 5:13 2:5 6:2 0:1 - - - - 0:1 -
5 day chg 66:106 9:11 4:3 3:4 0:1 - - - - 1:0 -
10 day chg 64:107 8:12 3:5 2:6 0:1 - - - - 1:0 -
25 day chg 59:115 6:14 2:6 1:7 0:1 - - - - 0:1 -
40 day chg 30:144 2:18 2:6 2:6 1:0 - - - - 0:1 -

duke56468
683 posts
msg #114953
Ignore duke56468
8/18/2013 6:58:03 PM

It looks like BABY could be a winner if you could stomach the serious drawdown without a stop or exit. Does it work with a reasonable exit strategy?

StockFetcher Forums · General Discussion · i'm a little slow<< >>Post Follow-up

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