corsino
259 posts
msg #35808
- Ignore corsino |
4/30/2005 1:02:55 AM
Since I have posted several filters on a couple of different threads, I thought I'd consolidate them here. I have no "Secret" filters. I may, from time to time, post filters that seem promising and probably can be improved. I encourage others to post their clickable filters here too. After all, this is a Filter Exchange Forum. I doubt that revealing our heretofore "Secret Filters" will have any impact on the overall market , but may be of help to others on this Forum.Results that I may post are actual results obtained for a 5-day hold period.
FILTER M100:
| Approach Information | | Approach Name: M100- BRL/ RSI (2)/COG (3) | | Test started on 12/31/2004 ended on 04/28/2005, covering 81 days | | Filter used: | | M100- BRL/ RSI (2)/COG (3) (saved filter) |
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| Trade Statistics | | There were 23 total stocks entered. Of those, 23 or 100.00% were complete and or 0.00% were open. | | Of the 23 completed trades, 16 trades or 69.57%resulted in a net gain. | | Your average net change for completed trades was: 8.07%. | | The average draw down of your approach was: -8.76%. | | The average max profit of your approach was: 15.39% | | The Risk/Reward ratio for this approach is: 4.15 | | Annualized Return on Investment (ROI): 398.79%, the ROI of ^IXIC was: -38.46%. |
| 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) 23 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: | 16 | 11 | 17 | 7 | 2 | 1 | | Losers: | 7 | 12 | 6 | 13 | 13 | 10 | | Win/Loss Ratio: | 2.29:1 | 0.92:1 | 2.83:1 | 0.54:1 | 0.15:1 | 0.10:1 | | Net Change: | 8.07% | 4.35% | 7.19% | 4.21% | -1.78% | -9.43% |
| 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 | 1:1 | 2:0 | 4:1 | 1:1 | 1:1 | 0:2 | 5:0 | - | 2:1 | - | | 2 day chg | 2:0 | 0:2 | 3:2 | 1:1 | 1:1 | 0:2 | 2:3 | - | 2:1 | - | | 5 day chg | 1:1 | 2:0 | 4:1 | 1:1 | 2:0 | 0:2 | 5:0 | - | 2:1 | - | | 10 day chg | 1:1 | 1:1 | 1:3 | 0:1 | 1:1 | 0:2 | 2:2 | - | 1:2 | - | | 25 day chg | 1:1 | 0:1 | 0:2 | 0:1 | 0:2 | 0:1 | 0:4 | - | 1:1 | - | | 40 day chg | 0:1 | 0:1 | 0:1 | 0:1 | 0:1 | - | 0:4 | - | 1:1 | - |
| 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 | 14:6 | - | - | 1:0 | 1:0 | - | - | 0:1 | - | - | | 2 day chg | 8:12 | - | - | 1:0 | 1:0 | - | - | 1:0 | - | - | | 5 day chg | 14:6 | - | - | 1:0 | 1:0 | - | - | 1:0 | - | - | | 10 day chg | 6:11 | - | - | 0:1 | 1:0 | - | - | 0:1 | - | - | | 25 day chg | 2:10 | - | - | 0:1 | 0:1 | - | - | 0:1 | - | - | | 40 day chg | 1:7 | - | - | 0:1 | 0:1 | - | - | 0:1 | - | - |
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corsino
259 posts
msg #35809
- Ignore corsino |
4/30/2005 1:17:09 AM
M15 FILTER :
| Approach Information | | Approach Name: M 15 - COG>0 + 10 % DECREASE/ RSI 1 | | Test started on 12/31/2004 ended on 04/29/2005, covering 82 days | | Filter used: | | M 15 - COG>0 + 10 % DECREASE/ RSI 1 (saved filter) |
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| Trade Statistics | | There were 34 total stocks entered. Of those, 34 or 100.00% were complete and or 0.00% were open. | | Of the 34 completed trades, 16 trades or 47.06%resulted in a net gain. | | Your average net change for completed trades was: 9.85%. | | The average draw down of your approach was: -7.95%. | | The average max profit of your approach was: 18.64% | | The Risk/Reward ratio for this approach is: 3.93 | | Annualized Return on Investment (ROI): 486.46%, the ROI of ^IXIC was: 0.00%. |
| 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) 34 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: | 16 | 23 | 20 | 16 | 10 | 4 | | Losers: | 18 | 11 | 13 | 17 | 15 | 11 | | Win/Loss Ratio: | 0.89:1 | 2.09:1 | 1.54:1 | 0.94:1 | 0.67:1 | 0.36:1 | | Net Change: | 9.85% | 4.89% | 9.94% | 9.27% | 6.01% | -4.28% |
| 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 | 3:2 | 5:2 | 2:3 | 1:5 | 1:2 | 1:1 | 2:0 | - | 1:3 | - | | 2 day chg | 5:0 | 6:1 | 3:2 | 3:3 | 2:1 | 1:1 | 1:1 | - | 2:2 | - | | 5 day chg | 4:1 | 6:1 | 2:2 | 2:4 | 2:1 | 1:1 | 2:0 | - | 1:3 | - | | 10 day chg | 4:1 | 5:2 | 2:3 | 1:4 | 1:2 | 1:1 | 1:1 | - | 1:3 | - | | 25 day chg | 3:1 | 2:2 | 0:3 | 1:3 | 1:2 | 0:1 | 1:1 | - | 2:2 | - | | 40 day chg | 1:2 | 1:1 | 0:1 | 0:3 | 1:1 | 0:1 | 0:1 | - | 1:1 | - |
| 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 | 14:16 | - | 1:0 | - | 1:1 | - | - | 0:1 | - | - | | 2 day chg | 20:10 | - | 1:0 | - | 1:1 | - | - | 1:0 | - | - | | 5 day chg | 17:12 | - | 1:0 | - | 1:1 | - | - | 1:0 | - | - | | 10 day chg | 14:15 | - | 1:0 | - | 1:1 | - | - | 0:1 | - | - | | 25 day chg | 9:13 | - | 1:0 | - | 0:1 | - | - | 0:1 | - | - | | 40 day chg | 4:9 | - | - | - | 0:1 | - | - | 0:1 | - | - |
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corsino
259 posts
msg #35810
- Ignore corsino |
4/30/2005 1:46:22 AM
This version gives more picks:
M14.5
| Approach Information | | Approach Name: M 14.5 - 10 % DECREASE/ RSI 1 | | Test started on 12/31/2004 ended on 04/29/2005, covering 82 days | | Filter used: | | M 14.5 - 10 % DECREASE/ RSI 1 (saved filter) |
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| Trade Statistics | | There were 57 total stocks entered. Of those, 52 or 91.23% were complete and 5 or 8.77% were open. | | Of the 52 completed trades, 28 trades or 53.85%resulted in a net gain. | | Your average net change for completed trades was: 7.80%. | | The average draw down of your approach was: -9.03%. | | The average max profit of your approach was: 18.49% | | The Risk/Reward ratio for this approach is: 2.82 | | Annualized Return on Investment (ROI): 385.43%, the ROI of ^IXIC was: 0.00%. |
| 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) 52 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: | 28 | 38 | 32 | 25 | 16 | 9 | | Losers: | 24 | 18 | 20 | 23 | 20 | 14 | | Win/Loss Ratio: | 1.17:1 | 2.11:1 | 1.60:1 | 1.09:1 | 0.80:1 | 0.64:1 | | Net Change: | 7.80% | 6.01% | 5.49% | 8.25% | 3.67% | -1.08% |
| 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 | 3:2 | 8:5 | 3:5 | 3:6 | 2:1 | 1:2 | 6:0 | 1:0 | 1:3 | - | | 2 day chg | 5:1 | 12:2 | 4:4 | 5:5 | 2:1 | 2:1 | 5:2 | 1:0 | 2:2 | - | | 5 day chg | 4:1 | 10:3 | 3:4 | 4:5 | 2:1 | 1:2 | 6:1 | 1:0 | 1:3 | - | | 10 day chg | 4:1 | 7:4 | 4:4 | 3:5 | 1:2 | 1:2 | 4:1 | 0:1 | 1:3 | - | | 25 day chg | 3:1 | 4:3 | 1:4 | 1:6 | 1:2 | 1:1 | 3:1 | - | 2:2 | - | | 40 day chg | 1:2 | 2:2 | 1:2 | 1:3 | 1:1 | 1:1 | 1:2 | - | 1:1 | - |
| 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 | 22:22 | 3:0 | 1:0 | - | 1:1 | 0:1 | - | 1:0 | - | - | | 2 day chg | 31:17 | 3:0 | 1:0 | - | 1:1 | 1:0 | - | 1:0 | - | - | | 5 day chg | 26:18 | 3:0 | 1:0 | - | 1:1 | 0:1 | - | 1:0 | - | - | | 10 day chg | 21:20 | 2:0 | 1:0 | - | 1:1 | 0:1 | - | 0:1 | - | - | | 25 day chg | 13:18 | 1:0 | 1:0 | - | 1:1 | - | - | 0:1 | - | - | | 40 day chg | 8:11 | 1:0 | - | - | 0:2 | - | - | 0:1 | - | - |
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cjust
5 posts
msg #35818
- Ignore cjust |
4/30/2005 8:40:32 PM
corsino,
I'm curious what you used for your backtesting. I ran that same filter and then backtested it with what I thought were the same criteria you used, but some how I got fairly different results.
This was the filter:
Show stocks where volume is above 300000
and close is near bottom of linear regression line (45, 1.0)
and rsi(2) is equal to rsi(2) 200 day low
and 2 day slope of cog (3) is greater than 0
and price is between 0.5 and 3
For backtesting, I used the default entry and I used a 5 day hold for the exit with no stop/loss. My results are below, any idea what I'm doing differently?
| Approach Information | | Approach Name: RSI(2) 200 Day Low | | Test started on 12/31/2004 ended on 04/28/2005, covering 81 days | | Filter used: | Show stocks where volume is above 300000
and close is near bottom of linear regression line (45, 1.0)
and rsi(2) is equal to rsi(2) 200 day low
and 2 day slope of cog (3) is greater than 0
and price is between 0.5 and 3 |
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| Trade Statistics | | There were 55 total stocks entered. Of those, 53 or 96.36% were complete and 2 or 3.64% were open. | | Of the 53 completed trades, 33 trades or 62.26%resulted in a net gain. | | Your average net change for completed trades was: 5.46%. | | The average draw down of your approach was: -8.11%. | | The average max profit of your approach was: 13.20% | | The Risk/Reward ratio for this approach is: 2.87 | | Annualized Return on Investment (ROI): 269.83%, the ROI of ^SPX was: -17.67%. |
| 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) 53 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: | 33 | 33 | 35 | 24 | 11 | 6 | | Losers: | 18 | 22 | 18 | 22 | 25 | 20 | | Win/Loss Ratio: | 1.83:1 | 1.50:1 | 1.94:1 | 1.09:1 | 0.44:1 | 0.30:1 | | Net Change: | 5.46% | 3.89% | 4.52% | 2.08% | -1.33% | -3.53% |
| 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 | 1:2 | 5:1 | 6:4 | 5:4 | 1:2 | 3:4 | 7:0 | 1:0 | 4:1 | - | | 2 day chg | 4:0 | 3:4 | 7:3 | 5:4 | 1:3 | 4:3 | 4:3 | 1:0 | 4:2 | - | | 5 day chg | 2:2 | 5:2 | 6:3 | 5:4 | 2:2 | 3:4 | 7:0 | 1:0 | 4:1 | - | | 10 day chg | 1:3 | 5:2 | 4:5 | 4:3 | 2:1 | 3:3 | 4:2 | - | 1:3 | - | | 25 day chg | 2:2 | 2:4 | 1:5 | 1:5 | 1:2 | 2:1 | 1:4 | - | 1:2 | - | | 40 day chg | 1:1 | 0:3 | 2:3 | 0:5 | 1:1 | 0:1 | 1:4 | - | 1:2 | - |
| 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 | 27:17 | 3:0 | - | 1:0 | 2:0 | - | - | 0:1 | - | - | | 2 day chg | 26:21 | 3:1 | - | 1:0 | 2:0 | - | - | 1:0 | - | - | | 5 day chg | 27:18 | 4:0 | - | 1:0 | 2:0 | - | - | 1:0 | - | - | | 10 day chg | 20:19 | 2:1 | - | 0:1 | 2:0 | - | - | 0:1 | - | - | | 25 day chg | 10:20 | 1:2 | - | 0:1 | 0:1 | - | - | 0:1 | - | - | | 40 day chg | 6:16 | 0:1 | - | 0:1 | 0:1 | - | - | 0:1 | - | - |
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cjust
5 posts
msg #35819
- Ignore cjust |
4/30/2005 8:52:10 PM
This filter isn't mine. It came from NickL on the Bactesting Support forum. From an ROI standpoint, it has backtested really well - in part b/c of the quick turn time.
Best backtest results came from a 1 day hold, 10% Stop Loss, 10% Profit Stop. A 4 day hold gets this up to a 65% positive.
| Approach Information | | Approach Name: RSI (10% stop loss, 10% stop gain 1 days) | | Test started on 04/21/2004 ended on 04/21/2005, covering 252 days | | Filter used: | |
| Trade Statistics | | There were 143 total stocks entered. Of those, 143 or 100.00% were complete and or 0.00% were open. | | Of the 143 completed trades, 90 trades or 62.94%resulted in a net gain. | | Your average net change for completed trades was: 2.55%. | | The average draw down of your approach was: -5.33%. | | The average max profit of your approach was: 8.88% | | The Risk/Reward ratio for this approach is: 2.21 | | Annualized Return on Investment (ROI): 1153.33%, the ROI of ^SPX was: 3.66%. |
| Exit Statistics | | Stop Loss was triggered 19 times or 13.29% of the time. | | Stop Profit was triggered 46 times or 32.17% 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) 78 times or 54.55% 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: | 90 | 80 | 83 | 69 | 58 | 52 | | Losers: | 51 | 61 | 58 | 68 | 76 | 76 | | Win/Loss Ratio: | 1.76:1 | 1.31:1 | 1.43:1 | 1.01:1 | 0.76:1 | 0.68:1 | | Net Change: | 2.55% | 4.15% | 3.93% | 0.67% | 0.02% | -1.34% |
| Statistics By Variable: Match Price | | | <1 | <2 | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | | Completed | 2:1 | 29:18 | 14:11 | 15:4 | 9:6 | 7:8 | 6:2 | 8:1 | - | - | | 2 day chg | 1:3 | 30:18 | 13:12 | 14:4 | 6:9 | 6:8 | 4:4 | 6:3 | - | - | | 5 day chg | 2:2 | 27:20 | 15:10 | 13:6 | 7:8 | 9:5 | 5:3 | 5:4 | - | - | | 10 day chg | 2:2 | 23:21 | 13:12 | 9:9 | 6:9 | 6:9 | 5:3 | 5:3 | - | - | | 25 day chg | 1:3 | 22:20 | 10:15 | 6:11 | 5:10 | 4:11 | 4:4 | 6:2 | - | - | | 40 day chg | 3:1 | 19:24 | 8:16 | 5:11 | 5:9 | 4:7 | 3:5 | 5:3 | - | - |
| 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 | 81:44 | 3:4 | 4:1 | 0:1 | - | 0:1 | - | 1:0 | - | 1:0 | | 2 day chg | 70:55 | 4:3 | 4:1 | 0:1 | - | 0:1 | - | 1:0 | - | 1:0 | | 5 day chg | 75:50 | 5:2 | 2:3 | 0:1 | - | 0:1 | - | 0:1 | - | 1:0 | | 10 day chg | 63:59 | 1:5 | 2:3 | 0:1 | - | 1:0 | - | 1:0 | - | 1:0 | | 25 day chg | 52:66 | 3:4 | 2:3 | 0:1 | - | 0:1 | - | 1:0 | - | 0:1 | | 40 day chg | 46:68 | 3:3 | 2:3 | 0:1 | - | 0:1 | - | 1:0 | - | - |
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corsino
259 posts
msg #35823
- Ignore corsino |
4/30/2005 10:25:13 PM
cjust
The problem with the M100 filter seems to be a syntax error on the linear regression line. I tried retyping it twice. Once it backtested similar to your results, the other time it was similar to my results.
The filter you posted shows a fantastic ROI result and good gain/loss percentage!
Since it's for 1-day hold and a price range of 1 and up, I'll modify it for a 5-day hold and a price range similar to my filters and see what it does. The only reason I'll do that, is to see if it's adaptable to my style of swing trading. But I can't argue with the results as it is written now.
Thanks for posting it.
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corsino
259 posts
msg #35824
- Ignore corsino |
4/30/2005 11:14:20 PM
cjust
This just goes to prove that it's how you intend to use a filter.
I clicked on your filter as is, and backtested it from the period of beginning- of-year to 4/29/05, using the 5-day holding period as my other filters, no stops at all.The results were : 28 stocks, 49% gain/51% loss, ROI 83.88%.
So I think it probably is a very good filter for daytrading, where the stock is held for 1 day only.
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corsino
259 posts
msg #35831
- Ignore corsino |
5/1/2005 3:36:55 PM
As Cjust showed with the filter he posted,it is possible to write filters that backtest with ROI's over 1000%. This is another example. The results are for a two-day hold, with no stops. Even a 5-day hold period results in over 900% ROI.
I should note, that the higher ROI percentage filters have correspondingly fewer picks, but it may be worthwhile running the filters.
| 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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trek
72 posts
msg #35838
- Ignore trek |
5/1/2005 11:31:43 PM
I didn't come up with this filter, it came from someone on stockfetcher about a year ago. It is run with 25% stop loss and 4 day hold.
It gives a low win/loss percentage, but every timeframe I've run has a good ROI%. For the ROI% to be this much with such a low win%, I thought if someone can find a way to "tweak" it to get a better win/loss %, the ROI% may increase drastically.
Trek
| Approach Information | | Approach Name: stocks ready to grow | | Test started on 12/31/2004 ended on 04/29/2005, covering 82 days | | Filter used: | | low reached a new 1 year low within the last 6 month and low is below 1 and trix histogram(6,6) has been increasing over the last 1 day and close divided by 1-year low is below 2 and close divided by 1-year low had been above 1.1 for the last 12 weeks AND VOLUME IS GREATER THAN 25000 |
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| Trade Statistics | | There were 242 total stocks entered. Of those, 237 or 97.93% were complete and 5 or 2.07% were open. | | Of the 237 completed trades, 71 trades or 29.96%resulted in a net gain. | | Your average net change for completed trades was: 2.67%. | | The average draw down of your approach was: -9.25%. | | The average max profit of your approach was: 13.93% | | The Risk/Reward ratio for this approach is: 1.50 | | Annualized Return on Investment (ROI): 165.88%, the ROI of ^SPX was: -14.07%. |
| Exit Statistics | | Stop Loss was triggered 10 times or 4.22% 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 (4 days) 227 times or 95.78% 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: | 71 | 75 | 68 | 73 | 71 | 59 | | Losers: | 149 | 128 | 145 | 137 | 132 | 118 | | Win/Loss Ratio: | 0.48:1 | 0.59:1 | 0.47:1 | 0.53:1 | 0.54:1 | 0.50:1 | | Net Change: | 2.67% | 1.90% | 3.09% | 9.43% | 13.07% | 11.34% |
| Statistics By Variable: Match Price | | | <0.1 | <0.2 | <0.3 | <0.4 | <0.5 | <0.6 | <0.7 | <0.8 | <0.9 | <1 | | Completed | 7:11 | 5:9 | 5:8 | 5:5 | 5:12 | 9:25 | 10:23 | 4:8 | 4:16 | 17:32 | | 2 day chg | 7:9 | 7:7 | 6:3 | 3:5 | 3:14 | 11:19 | 12:18 | 4:8 | 5:17 | 17:28 | | 5 day chg | 7:7 | 5:9 | 6:5 | 3:5 | 4:13 | 8:25 | 8:25 | 5:7 | 5:17 | 17:32 | | 10 day chg | 10:7 | 7:5 | 6:8 | 3:6 | 4:11 | 7:21 | 8:26 | 2:10 | 4:17 | 22:26 | | 25 day chg | 8:11 | 6:9 | 5:9 | 2:6 | 4:13 | 11:19 | 6:24 | 2:9 | 7:12 | 20:20 | | 40 day chg | 6:14 | 6:10 | 5:8 | 2:8 | 4:13 | 11:14 | 4:18 | 2:3 | 7:8 | 12:22 |
| Statistics By Variable: Average Volume | | | <1.5M | <3.0M | <4.5M | <6.0M | <7.5M | <9.0M | <10.5M | <12.0M | <13.5M | <15.0M | | Completed | 61:142 | 7:4 | 1:3 | - | - | - | 1:0 | - | 1:0 | - | | 2 day chg | 68:120 | 5:5 | 1:2 | - | - | - | 0:1 | - | 1:0 | - | | 5 day chg | 62:137 | 5:4 | 0:3 | - | - | - | 0:1 | - | 1:0 | - | | 10 day chg | 65:129 | 6:4 | 0:4 | - | - | - | 1:0 | - | 1:0 | - | | 25 day chg | 65:120 | 4:7 | 0:5 | - | - | - | 1:0 | - | 1:0 | - | | 40 day chg | 56:105 | 1:8 | 0:5 | - | - | - | 1:0 | - | 1:0 | - |
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corsino
259 posts
msg #35840
- Ignore corsino |
5/2/2005 12:04:02 AM
I just realized that I posted the results of my M15.2 filter that gave over 1100% ROI for a two-day hold (over 900% for 5-day hold),but neglected to provide the filter. This is it:
The +1000 % ROI filter:
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