janeiro
25 posts
msg #36196
- Ignore janeiro |
6/4/2005 7:40:53 AM
shel....though i trust in the power of rsi 2...i dont get the same result u had....uhm....too strange...
Approach Information
Approach Name: unnamed approach
Test started on 12/31/2004 ended on 04/25/2005, covering 78 days
Filter used:
RSI(2) < 1
and RSI(15) below 30
and price is above 5
and volume is above 100000
Trade Statistics
There were 1402 total stocks entered. Of those, 1385 or 98.79% were complete and 17 or 1.21% were open.
Of the 1385 completed trades, 322 trades or 23.25%resulted in a net gain.
Your average net change for completed trades was: -0.95%.
The average draw down of your approach was: -1.72%.
The average max profit of your approach was: 1.79%
The Risk/Reward ratio for this approach is: 0.15
Annualized Return on Investment (ROI): -523.50%, the ROI of ^SPX was: -13.43%.
Exit Statistics
Stop Loss was triggered 765 times or 55.23% 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) 620 times or 44.77% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
Entry Filter
RSI(2) < 1
and RSI(15) below 30
and price is above 5
and volume is above 100000
Basic Setup
Name: unnamed approach
Approach Type: Long
Start Date: 12/31/2004
End Date: 04/25/2005
Benchmark Symbol: ^SPX
Exit Setup
Stop Loss: 1%
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1
Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 5 days
after 10 days
after 25 days
after 40 days
Advanced Options
Selection Method: select by volume descending
Entry Price: open is 3% above yesterday close
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 25
Maximum Open Positions: 250
UHm...TOO STRANGE...
|
corsino
259 posts
msg #36203
- Ignore corsino |
6/4/2005 2:36:49 PM
Shelupinin
I also clicked on your filter to backtest it:
period : 12/31/2004 to 06/03/05
Stop loss: 1%
Max holding period : 1
Some of the results:
W/L : 33%/65%
Risk/reward : 1.21
ROI : 71.93%
But I'm wondering the practicality of 1% loss stops. It seems a very tight %, at least to me.
|
roca1018
163 posts
msg #36208
- Ignore roca1018 |
6/5/2005 6:56:25 AM
Has anyone backtested stocks with rsi(2)under 1 and green 10 or 15 minutes after the open to see if they close green over 50% of the time? It seems that a number of stocks that you would have entered do not hold up and either close unc or down.
the most recent example is SVSE on 5/31. Are there other indicators that confirm
that a stock turning green stays green?
Thanks,
Rich
|
TheRumpledOne
6,407 posts
msg #36215
- Ignore TheRumpledOne |
6/5/2005 11:30:05 AM
ROCA...
Look at a 3mon/daily www.prophet.net chart with rsi(2) AND LINEAR REGRESSION.
SVSE is in a DOWNTREND!!
The ema(13) crossed below the ema(26) on 5/23/2005.. that's THE KISS OF DEATH!
On these plays, you have to be in/out quick!!
Not to mention, look at a 10day/60min chart... same thing...ema(13) below ema(26).
You have to wait for the stock to rise above the ema(5)(daily and/or 60 minute) to stay in the stock, otherwise it is a scalp at best.
The name of the game is RECONIZING THE TREND.
So if you can't watch all day, let me suggest you start using the price crossing above the ema(5) as your guide. Just make sure the TREND is heading UP if you are trading long.
MAY ALL YOUR FILLS BE COMPLETE.
P.S. One positive note about SVSE, looking at the 1year/week chart a lower price is making a higher rsi(2)... that's positive divergence! WAIT FOR GREEN and get ready to LOAD THE BOAT!!
|
corsino
259 posts
msg #36220
- Ignore corsino |
6/5/2005 3:53:41 PM
The Rumpled One...
I just did a quick scan, but by the time ema (13) crosses ema (26), the rsi (2) seems to be too high to be considered rsi (2) >1.
|
corsino
259 posts
msg #36221
- Ignore corsino |
6/5/2005 3:56:49 PM
Typo...I meant rsi(2) < 1.
Now the price crossing ema (5) might include lower Rsi (2)
|
corsino
259 posts
msg #36222
- Ignore corsino |
6/5/2005 4:17:09 PM
Has anyone done any study of results when Rsi(2) < 1 when the trend is positive as opposed to when the trend is negative? It seems that most of the stock picks I see are when the trend is going down. I read a book by Williams about his %R, and he advised using it when the trend was up. The same probably applies to RSI (2).
|
dwiggains
441 posts
msg #36250
- Ignore dwiggains |
6/7/2005 5:46:40 PM
I have tried to use RSI(2) < 1 but cannot get the hang of it. I want to be with the trend and have tried using a MA of 30 to 40 days where close had to be higher than the MA to enter. TheRumpledOne do you have any suggestions?
Thanks David
|
brokedown
21 posts
msg #36253
- Ignore brokedown |
6/8/2005 7:47:19 AM
Its pretty rare to see rsi(2)<1 when stock is in an uptrend. Better off to use rsi(2)>75. Shows strength.
Tom
|
corsino
259 posts
msg #36256
- Ignore corsino |
6/8/2005 7:25:13 PM
This is a filter for rsi(2) below 1 and rising linear regression lines. You might tinker with it.
|