niajy
13 posts
msg #104623
- Ignore niajy |
1/25/2012 8:55:38 AM
I need help with testing this filter, since i m limited with testing periods. If someone has time, could you test this filter for years before 2011 ..
2011 and 2012 are ok...
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Approach Type: Long
Stop Loss: 50%
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 45
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 19
Maximum Selected Stocks: All
Close all OPEN positions: No
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thank you
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duke56468
683 posts
msg #104643
- Ignore duke56468 |
1/26/2012 5:04:36 PM
Doesn't look very profitable, would you really use a 50% stoploss?
Approach Name: niajy
Test started on 12/31/2009 ended on 04/30/2010, covering 82 days
Filter used:
niajy (saved filter)
Trade Statistics
There were 50 total stocks entered. Of those, 31 or 62.00% were complete and 19 or 38.00% were open.
Of the 31 completed trades, 26 trades or 83.87%resulted in a net gain.
Your average net change for completed trades was: 3.06%.
The average draw down of your approach was: -11.19%.
The average max profit of your approach was: 8.92%
The Reward/Risk ratio for this approach is: 1.83
Annualized Return on Investment (ROI): 25.71%, the ROI of ^SPX was: 16.07%.
Exit Statistics
Stop Loss was triggered 1 times or 3.23% of the time.
Stop Profit was triggered 16 times or 51.61% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (45 days) 14 times or 45.16% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
*************************************************************************************************
Approach Name: niajy
Test started on 04/30/2010 ended on 08/31/2010, covering 85 days
Filter used:
niajy (saved filter)
Trade Statistics
There were 48 total stocks entered. Of those, 29 or 60.42% were complete and 19 or 39.58% were open.
Of the 29 completed trades, 14 trades or 48.28%resulted in a net gain.
Your average net change for completed trades was: -1.24%.
The average draw down of your approach was: -14.08%.
The average max profit of your approach was: 6.76%
The Reward/Risk ratio for this approach is: 0.79
Annualized Return on Investment (ROI): -9.76%, the ROI of ^SPX was: -37.91%.
Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 13 times or 44.83% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (45 days) 16 times or 55.17% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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niajy
13 posts
msg #104670
- Ignore niajy |
1/27/2012 4:54:13 PM
yes you re right i checked other years too ..the problem is year 2008.. all other years are positive ...
45% stoploss
45% profit
45 days holding
19 max open..
year 2011 was the best.. if you look at equity summary..
the other problem ..it is picking the biggest volume gainer.. but how to test for example the 2nd biggest vol.gainer at the end of day?
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