sujones
6 posts
msg #42696
- Ignore sujones |
4/1/2006 1:57:24 PM
This is for discussion and improvement, the filter is not for daytrading but for up to a 40 day hold.
| Approach Information | | Approach Name: Long-Slow Stochastic(13,3)cross and price above MA... | | Test started on 11/17/2005 ended on 03/17/2006, covering 81 days | | Filter used: | | Long-Slow Stochastic(13,3)cross and price above MA50 (saved filter) |
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| Trade Statistics | | There were 776 total stocks entered. Of those, 526 or 67.78% were complete and 250 or 32.22% were open. | | Of the 526 completed trades, 430 trades or 81.75%resulted in a net gain. | | Your average net change for completed trades was: 4.51%. | | The average draw down of your approach was: -5.04%. | | The average max profit of your approach was: 7.74% | | The Reward/Risk ratio for this approach is: 6.68 | | Annualized Return on Investment (ROI): 53.23%, the ROI of ^SPX was: 18.65%. |
| Exit Statistics | | Stop Loss was triggered 2 times or 0.38% of the time. | | Stop Profit was triggered 1 times or 0.19% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (200 days) 0 times or 0.00% of the time. | | An exit trigger was executed 523 times or 99.43% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 430 | 386 | 377 | 402 | 394 | 326 | | Losers: | 94 | 379 | 398 | 372 | 282 | 222 | | Win/Loss Ratio: | 4.57:1 | 1.02:1 | 0.95:1 | 1.08:1 | 1.40:1 | 1.47:1 | | Net Change: | 4.51% | 0.17% | 0.23% | 0.68% | 2.83% | 3.54% |
| Statistics By Variable: Match Price | | | <10 | <20 | <30 | <40 | <50 | <60 | <70 | <80 | <90 | <100 | | Completed | 44:7 | 83:18 | 109:24 | 73:16 | 50:17 | 45:11 | 26:1 | - | - | - | | 2 day chg | 42:35 | 73:81 | 93:92 | 69:49 | 49:64 | 36:43 | 24:15 | - | - | - | | 5 day chg | 42:39 | 75:84 | 86:99 | 66:52 | 52:61 | 34:46 | 22:17 | - | - | - | | 10 day chg | 44:37 | 75:83 | 104:80 | 65:54 | 55:58 | 39:41 | 20:19 | - | - | - | | 25 day chg | 37:33 | 73:63 | 99:62 | 70:34 | 49:50 | 43:28 | 23:12 | - | - | - | | 40 day chg | 33:23 | 72:39 | 78:52 | 57:34 | 37:40 | 33:23 | 16:11 | - | - | - |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 404:89 | 19:4 | 2:1 | 1:0 | - | 1:0 | 2:0 | 1:0 | - | - | | 2 day chg | 362:352 | 16:19 | 4:3 | 3:0 | - | 1:1 | 0:2 | 0:1 | 0:1 | - | | 5 day chg | 356:367 | 15:21 | 4:3 | 2:1 | - | 0:2 | 0:2 | 0:1 | 0:1 | - | | 10 day chg | 373:349 | 18:18 | 5:2 | 3:0 | - | 0:2 | 2:0 | 1:0 | 0:1 | - | | 25 day chg | 367:265 | 18:11 | 3:3 | 2:1 | - | 1:1 | 2:0 | 1:0 | 0:1 | - | | 40 day chg | 310:203 | 11:10 | 3:3 | 0:2 | - | 1:1 | 1:1 | 0:1 | 0:1 | - |
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sujones
6 posts
msg #42697
- Ignore sujones |
4/1/2006 2:02:10 PM
the backtest for the previous post is:
Show stocks where Slow Stochastic(13,3) Fast %K crossed above Slow Stochastic(13,3) Slow %D within the last 1 days and where Slow Stochastic(13,3) Fast %K is below 50 and where close is above MA(50) and Average Volume(90) is above 500000
and close is between 5 and 70
exit stocks Show stocks where Slow Stochastic(13,3) Fast %K crossed above 80
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heyen
124 posts
msg #42699
- Ignore heyen
modified |
4/1/2006 3:56:45 PM
you would have done 776 trades in 81 days? wow!
try to focus on specific stocks...
also try to limit trades entered and use "select by"
Williams %R(14) ascending / RSI(7) ascending / Slow Stochastics(15,3) %D ascending
and watch changes of backtest-roi...
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garryp
39 posts
msg #42711
- Ignore garryp |
4/2/2006 8:30:05 PM
Impressive return, but I cannot manage that many transactions realisticly. Unless you have more money than I have to split among that many trades, commissions will wipe out yor profit. Commissions are not factored into ROI.
Also open trades are not included in the ROI calculation. 1/3 of the trades are still open, and they may contain all the dogs that did not meet, and never will meet, the profit-oriented exit. If so, you will have to sell them sometime for a loss. I have fallen into that trap on filters many times.
Fine tune the selection criteria to produce fewer trades, and also run it during a period of market slump to see if it will at least break even (protect your capital).
Perhaps you can find an indicator to sort the selection by that tends to imply a better chance for profit, and limit the number of held stocks to 10, 20, 30 - whatever your investment capital will support without commission taking it's toll on profits.
Just some comments, playing devil's advocate, based on some traps I have fallen into, thinking I had found the Holy Grail! I do not mean to be negative, just realistic. I will be watching for refinements. I will play with it when I get time.
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SiriusII
11 posts
msg #42745
- Ignore SiriusII |
4/5/2006 9:22:15 AM
Show stocks where Slow Stochastic(5,3) %K crossed above Slow Stochastic(5,3) %D within the last 1 day
and Average Volume(90) is above 50000
and MACD crossed above 0
and MACD Histogram above 0
and 15MA above 30MA
and 30MA above 50MA
and close is between 5 and 250
I am new to the Forum. This is one that I put together and have had success with. Perhaps you can tweak it with the other suggestions and make it better.
SiriusII
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sujones
6 posts
msg #42767
- Ignore sujones |
4/5/2006 7:13:34 PM
Thanks for the comments written, I will continue to play with the scan. I have traded stocks since 1990 and used TA for most of that time. Im still trading because Ive been successful at it and it has supplemented may employment income nicely.
Over these many years I have not found a holy grail of a scan, and lord knows, Ive used many forms of scans. This scan will mostly identify stocks that are in an uptrend, but have pullback creating a stochastic low. As with all scans, the trader must manually go thru the list and double check what the computor is spitting out.
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sujones
6 posts
msg #42800
- Ignore sujones |
4/7/2006 10:08:46 AM
In response to a request for less trades I have slightly modified the scan to include searching for volume gains. This reduced the number of stocks retrieved to 247 in 81 days or an average of 3 per day. The win/loss ratio is 4.12 to 1 and the annualized return since Nov 2005 is 66%. Sorry I cant go back further but Im no signed up for that.
Show stocks where Slow Stochastic(13,3) Fast %K crossed above Slow Stochastic(13,3) Slow %D within the last 1 days and where Slow Stochastic(13,3) Fast %K is below 50 and where close is above MA(50) and Average Volume(90) is above 500000 and volume more than 75% above average volume(90)and close is between 5 and 70
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