corsino
259 posts
msg #35841
- Ignore corsino |
5/2/2005 12:14:17 AM
Sorry fellows,the filter does give +1000% ROI, there must be a syntax error, probably the spacing of something.
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corsino
259 posts
msg #35842
- Ignore corsino |
5/2/2005 1:36:27 AM
Is there any way to attach the wording of the filter along with the backtest results,without retyping the filter? The results seem to differ when I retype it. Anyway,these are the 2-day hold results again:
+1000% ROI FILTER
| Approach Information | | Approach Name: M15.2 -RSI(2) <1 / COG(3) >1/ 10% DROP | | Test started on 12/31/2004 ended on 04/29/2005, covering 82 days | | Filter used: | | M15.2 -RSI(2) <1 / COG(3) >1/ 10% DROP (saved filter) |
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| Trade Statistics | | There were 15 total stocks entered. Of those, 15 or 100.00% were complete and or 0.00% were open. | | Of the 15 completed trades, 9 trades or 60.00%resulted in a net gain. | | Your average net change for completed trades was: 9.00%. | | The average draw down of your approach was: -5.25%. | | The average max profit of your approach was: 14.08% | | The Risk/Reward ratio for this approach is: 5.84 | | Annualized Return on Investment (ROI): 1110.92%, the ROI of ^IXIC was: -35.57%. |
| 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 (2 days) 15 times or 100.00% 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: | 9 | 11 | 9 | 6 | 5 | 3 | | Losers: | 4 | 4 | 5 | 8 | 7 | 3 | | Win/Loss Ratio: | 2.25:1 | 2.75:1 | 1.80:1 | 0.75:1 | 0.71:1 | 1.00:1 | | Net Change: | 9.00% | 9.25% | 18.09% | 15.51% | 21.23% | 3.00% |
| Statistics By Variable: Match Price | | | <0.6 | <0.9 | <1.2 | <1.5 | <1.8 | <2.1 | <2.4 | <2.7 | <3 | <3.3 | | Completed | 2:1 | 3:1 | 1:2 | 1:0 | - | - | 1:0 | - | 1:0 | - | | 2 day chg | 4:0 | 3:1 | 1:2 | 1:1 | - | - | 1:0 | - | 1:0 | - | | 5 day chg | 3:1 | 3:1 | 1:1 | 1:1 | - | - | 1:0 | - | 0:1 | - | | 10 day chg | 3:1 | 2:2 | 1:2 | 0:1 | - | - | 0:1 | - | 0:1 | - | | 25 day chg | 3:1 | 2:0 | 0:3 | 0:1 | - | - | 0:1 | - | 0:1 | - | | 40 day chg | 2:2 | 1:0 | 0:1 | - | - | - | - | - | - | - |
| Statistics By Variable: Average Volume | | | <1000000 | <2.0M | <3.0M | <4.0M | <5.0M | <6.0M | <7.0M | <8.0M | <9.0M | <10.0M | | Completed | 7:4 | 1:0 | - | - | - | 1:0 | - | - | - | - | | 2 day chg | 9:4 | 1:0 | - | - | - | 1:0 | - | - | - | - | | 5 day chg | 8:5 | - | - | - | - | 1:0 | - | - | - | - | | 10 day chg | 5:7 | 0:1 | - | - | - | 1:0 | - | - | - | - | | 25 day chg | 4:6 | 0:1 | - | - | - | 1:0 | - | - | - | - | | 40 day chg | 2:2 | 0:1 | - | - | - | 1:0 | - | - | - | - |
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leaddog
38 posts
msg #35845
- Ignore leaddog |
5/2/2005 10:00:13 AM
Have you tried to copy the text from "My Filters" and paste it into the message?
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corsino
259 posts
msg #35846
- Ignore corsino |
5/2/2005 10:48:42 AM
Hi Leaddog
No I haven't tried copying and pasting because, to be honest,I can't remember exactly how to do it. But it seems that since the backtesting program does go to the selected filter, it could fetch the wording too.
Actually I don't mind retyping the filter to make it clickable, but the problem is that the filter results are significantly different then.I've posted a comment about the different results on Bactesting Support.It may be a glitch in the programming, or it may be that I'm doing something wrong.
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cjust
5 posts
msg #35847
- Ignore cjust |
5/2/2005 11:26:21 AM
corsino, I think if you add some stops to the filter I posted on the first page, you'll still do pretty well on a 5 day trade. Here are the backtest results for year to date with $10 stops. (I also think you're on to something with some backtesting quirks - this filter performs much better when I backtest it from my filters than when I cut and copy it into the filter - I had a 64% success rate when I backtested it originally - when I copied it in, the rate dropped into the 50s).
| Approach Information | | Approach Name: RSI - 10 stops - 5 day hold - typed in | | Test started on 12/31/2004 ended on 04/29/2005, covering 82 days | | Filter used: | count(RSI(2) 1 day ago above 99,60) is above 0
RSI(2) is below 5
close one day ago more than 10% below close 2 day ago
close more than 5% below close 1 day ago and
average volume(90) is above 100000 and
CLOSE ABOVE 1 and close below 8
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| Trade Statistics | | There were 46 total stocks entered. Of those, 44 or 95.65% were complete and 2 or 4.35% were open. | | Of the 44 completed trades, 25 trades or 56.82%resulted in a net gain. | | Your average net change for completed trades was: 1.37%. | | The average draw down of your approach was: -8.40%. | | The average max profit of your approach was: 9.04% | | The Risk/Reward ratio for this approach is: 1.34 | | Annualized Return on Investment (ROI): 240.75%, the ROI of ^SPX was: -14.07%. |
| Exit Statistics | | Stop Loss was triggered 17 times or 38.64% of the time. | | Stop Profit was triggered 21 times or 47.73% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (5 days) 6 times or 13.64% 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: | 25 | 24 | 25 | 22 | 13 | 8 | | Losers: | 19 | 20 | 17 | 15 | 21 | 18 | | Win/Loss Ratio: | 1.32:1 | 1.20:1 | 1.47:1 | 1.47:1 | 0.62:1 | 0.44:1 | | Net Change: | 1.37% | 2.60% | 4.26% | 4.47% | -0.56% | -3.54% |
| Statistics By Variable: Match Price | | | <1 | <2 | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | | Completed | 1:1 | 8:8 | 2:2 | 4:4 | 3:1 | 3:2 | 2:1 | 2:0 | - | - | | 2 day chg | 1:1 | 9:7 | 2:2 | 5:3 | 2:2 | 3:2 | 1:2 | 1:1 | - | - | | 5 day chg | 2:0 | 8:8 | 2:2 | 2:4 | 3:1 | 4:1 | 2:1 | 2:0 | - | - | | 10 day chg | 2:0 | 8:5 | 3:1 | 1:4 | 3:1 | 2:3 | 2:1 | 1:0 | - | - | | 25 day chg | 1:1 | 6:6 | 1:2 | 0:4 | 1:3 | 1:4 | 2:1 | 1:0 | - | - | | 40 day chg | 1:1 | 4:6 | 0:2 | 0:4 | 1:2 | 0:1 | 1:2 | 1:0 | - | - |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 21:18 | 2:0 | - | - | - | 0:1 | - | 1:0 | - | 1:0 | | 2 day chg | 21:18 | 1:1 | - | - | - | 0:1 | - | 1:0 | - | 1:0 | | 5 day chg | 22:15 | 2:0 | - | - | - | 0:1 | - | 0:1 | - | 1:0 | | 10 day chg | 18:14 | 1:1 | - | - | - | 1:0 | - | 1:0 | - | 1:0 | | 25 day chg | 12:17 | 0:2 | - | - | - | 0:1 | - | 1:0 | - | 0:1 | | 40 day chg | 7:16 | 0:1 | - | - | - | 0:1 | - | 1:0 | - | - |
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cjust
5 posts
msg #35848
- Ignore cjust |
5/2/2005 11:29:43 AM
nevermind the backtest quirk from my previous message - I was using different filter dates.
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corsino
259 posts
msg #35850
- Ignore corsino |
5/2/2005 1:35:57 PM
Hi cjust
You are probably right that filter results can be improved by stops. I'm not really trying to get maximum results now. I'm just posting basic filters and letting others ,that may be interested, refine them to their liking.
Thanks for your comments. I'll brush up on "copy and paste" to see if that helps.
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leaddog
38 posts
msg #35853
- Ignore leaddog |
5/2/2005 6:00:13 PM
corsino
This is how I copy and paste:
To copy, high light the text by dragging the mouse cursor over it and then press the Ctrl and C keys together.
To paste, place the cursor where you want the text and press the Ctrl and V keys together.
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corsino
259 posts
msg #35855
- Ignore corsino |
5/2/2005 6:36:46 PM
OK, let's see if it works for me
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corsino
259 posts
msg #35857
- Ignore corsino |
5/2/2005 7:02:43 PM
M 600 - COG>1 + 10 % DECREASE · Rename · Add · Global Filter [On]
| Approach Information | | Approach Name: M 600 - COG>1 + 10 % DECREASE | | Test started on 12/31/2004 ended on 04/29/2005, covering 82 days | | Filter used: | | M 600 - COG>1 + 10 % DECREASE (saved filter) |
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| Trade Statistics | | There were 14 total stocks entered. Of those, 14 or 100.00% were complete and or 0.00% were open. | | Of the 14 completed trades, 6 trades or 42.86%resulted in a net gain. | | Your average net change for completed trades was: 19.65%. | | The average draw down of your approach was: -6.11%. | | The average max profit of your approach was: 28.74% | | The Risk/Reward ratio for this approach is: 12.78 | | Annualized Return on Investment (ROI): 970.64%, the ROI of ^IXIC was: -35.57%. |
| 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 (5 days) 14 times or 100.00% 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: | 6 | 11 | 9 | 6 | 5 | 3 | | Losers: | 8 | 3 | 4 | 7 | 6 | 3 | | Win/Loss Ratio: | 0.75:1 | 3.67:1 | 2.25:1 | 0.86:1 | 0.83:1 | 1.00:1 | | Net Change: | 19.65% | 10.73% | 20.58% | 18.17% | 23.04% | 3.22% |
| Statistics By Variable: Match Price | | | <0.6 | <0.9 | <1.2 | <1.5 | <1.8 | <2.1 | <2.4 | <2.7 | <3 | <3.3 | | Completed | 2:2 | 2:2 | 1:1 | 0:2 | - | - | 1:0 | - | 0:1 | - | | 2 day chg | 4:0 | 3:1 | 1:1 | 1:1 | - | - | 1:0 | - | 1:0 | - | | 5 day chg | 3:1 | 3:1 | 1:0 | 1:1 | - | - | 1:0 | - | 0:1 | - | | 10 day chg | 3:1 | 2:2 | 1:1 | 0:1 | - | - | 0:1 | - | 0:1 | - | | 25 day chg | 3:1 | 2:0 | 0:2 | 0:1 | - | - | 0:1 | - | 0:1 | - | | 40 day chg | 2:2 | 1:0 | 0:1 | - | - | - | - | - | - | - |
| Statistics By Variable: Average Volume | | | <1000000 | <2.0M | <3.0M | <4.0M | <5.0M | <6.0M | <7.0M | <8.0M | <9.0M | <10.0M | | Completed | 5:7 | 0:1 | - | - | - | 1:0 | - | - | - | - | | 2 day chg | 9:3 | 1:0 | - | - | - | 1:0 | - | - | - | - | | 5 day chg | 8:4 | - | - | - | - | 1:0 | - | - | - | - | | 10 day chg | 5:6 | 0:1 | - | - | - | 1:0 | - | - | - | - | | 25 day chg | 4:5 | 0:1 | - | - | - | 1:0 | - | - | - | - | | 40 day chg | 2:2 | 0:1 | - | - | - | 1:0 | - | - | - | - |
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