| StockFetcher Forums · Backtesting Support · What's a Good Risk:Reward Ratio? | << >>Post Follow-up |
| mousedoc 4 posts msg #36126 - Ignore mousedoc |
5/28/2005 12:25:46 AM I've been trying various filters and trade management strategies in the backtesting. The best Risk:Reward ratio I've come up with is 2.51 with 120 trades over 123 days. Most are in the 1.2-1.9 range for 1 1/2 years. A poster in another forum suggested using the following for comparing backtesting results: risk:reward X number of trades = rating Any thoughts? |
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| mousedoc 4 posts msg #36127 - Ignore mousedoc |
5/28/2005 12:28:40 AM Another thought for comparing strategies is the include the Win:Loss ratio in the formula. Seems like a high win/loss and high risk/reward is desirable, but I don't seem to be able to come up with a strategy that is better than roughly 60/40 in backtesting.
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| mousedoc 4 posts msg #36128 - Ignore mousedoc |
5/28/2005 12:30:03 AM Oops. Posted wrong backtest. Here's the right one.
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| corsino 259 posts msg #36129 - Ignore corsino |
5/28/2005 1:37:16 AM mousedoc I think that your risk/reward ratio of 2.51 for that long a holding period (50 days) and 120 trades is very good. I typically don't backtest for more than a 5 day holding because usually results deteriorate the longer the holding period. It seems that most filters are short-term in nature, probably because they depend on technical factors rather than on fundamentals. But the actual result of any filter is going to depend a great deal on the trader anyway, since it's not likely that all stocks are going to be bought. I think the main use of filters is to get a list of stocks to consider. |
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| optionmasters 17 posts msg #36300 - Ignore optionmasters |
6/12/2005 4:55:53 PM Hey mousedoc I am interested in the filter you are using along with the entry criteria and target profit and stop loss levels. I have a equity curve model in excel I would be interested in applying my money management algorithm to this filter if you wouldnt mind sharing. Please contact me Brent701@aol.com |
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| mousedoc 4 posts msg #36339 - Ignore mousedoc |
6/15/2005 2:47:21 AM optionsmaster, I'd like to see your spreadsheet (mousedoc@msn.com). The following is my filter and the backtesting criteria. Since the max backtesting period has been reduced to 6 months the Reward/Risk ratio has been lower, in the 1.3-2 range, with the worst win percentage 50/50. Most have been about 60/40. Every 6 month period testable within the available date range (using the end of each calendar quarter as the start) has made money. One at 13% but most 30%-40%. Following some option plays on a filtered subset of this scan has produced extraordinary results over the last few months. Wish I'd been using real money! Entry Filter EMA(5) crossed above EMA(20) within 1 day and EMA(20) is above EMA(50) and EMA(50) is above EMA(200) and MACD fast line(5,10) crossed above MACD slow line(5,10) within last 3 days and Momentum(10) is above 0 and Momentum(10) is greater than Momentum(10) 2 days ago and price is greater than 10 and price is greater than price 3 days ago and stock is optionable Basic Setup Approach Type: Long Exit Setup Stop Loss: 10% Profit Stop: 20% Trailing Stop Loss: 10% Minimum Holding Days: 10 Maximum holding days: 50 Exit Trigger #1: EMA(5) crossed below EMA(10) Exit Trigger #2: set{trigp,max(close,open)*.94} trigp is less than price Advanced Options Selection Method: select by volume descending Entry Price: open Conditional Entry: No Exit Price: open Maximum Trades Per Day: 5 Maximum Open Positions: 10 |
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| traderblues 195 posts msg #36785 - Ignore traderblues |
7/8/2005 7:49:47 AM All, I've backtested a system that doesn't give that many opportunities, but gives very good returns. I tested it for 5 different 6-month periods, and came up with the following results: Period Number of buys Winning % Reward:Risk 9/1/02-3/1/03 11 60 3.60 3/1/03-9/1/03 34 91 20.61 9/1/03-3/1/04 43 82 8.74 3/1/04-9/1/04 43 76 4.37 9/1/04-3/1/05 49 70 4.73 I want to do some more checking, with some actual case testing on this before I pass along the details, but I will say it uses ADX as a buy signal, and holds stocks for 10 day periods. Brian |
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| traderblues 195 posts msg #36786 - Ignore traderblues |
7/8/2005 7:56:40 AM Sorry about the formatting problems with that last post. I'll try it again. Period--------Number of Buys--Winning%--Reward:Risk 9/1/02-3/1/03------11-------------60------------3.60 3/1/03-9/1/03------34-------------91-----------20.61 9/1/03-3/1/04------43-------------82------------8.74 3/1/04-9/1/04------43-------------76------------4.37 9/1/04-3/1/05------49-------------70------------4.73 Brian |
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| mdiaconu 3 posts msg #37115 - Ignore mdiaconu |
7/27/2005 7:09:38 PM Hi Brian, Could you share your filter now? |
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| StockFetcher Forums · Backtesting Support · What's a Good Risk:Reward Ratio? | << >>Post Follow-up |
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