StockFetcher Forums · General Discussion · Problem w/ "slope of" during backtesting<< >>Post Follow-up
5 posts
msg #46289
Ignore atva96
8/9/2006 6:17:55 PM

Show stocks where pattern is incomplete-double-bottom
and the CMF(21) crossed above 0.1
and the 42 day slope of the CMF(21) is above 0

While backtesting this filter it appears that selected stocks meet the the first 2 criteria. The final criteria (slope of) is also met but not concurrent with the first 2 criteria. While looking at the chart for selected stocks a 42 day slope line is drawn for the CMF(21), but the slope line is always from 42 days ago to the current date.

I would like the 42 day slope line (and criteria test) to begin 42 days previous to the date upon which the first 2 criteria are met.

Any ideas? Is this a flaw in the software or improper coding of criteria?


Approach Information
Approach Name: cmf_up_&_incomplete_double _bottom
Test started on 01/03/2005 ended on 04/29/2005, covering 81 days
Filter used:
cmf_up_&_incomplete_double _bottom (saved filter)

Trade Statistics
There were 20 total stocks entered. Of those, 17 or 85.00% were complete and 3 or 15.00% were open.
Of the 17 completed trades, 6 trades or 35.29%resulted in a net gain.
Your average net change for completed trades was: -2.84%.
The average draw down of your approach was: -7.47%.
The average max profit of your approach was: 5.52%
The Reward/Risk ratio for this approach is: 0.49
Annualized Return on Investment (ROI): -52.51%, the ROI of ^SPX was: -13.86%.

Exit Statistics
Stop Loss was triggered 7 times or 41.18% of the time.
Stop Profit was triggered 4 times or 23.53% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 6 times or 35.29% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Win/Loss Ratio:0.55:11.86:10.67:10.67:10.54:10.43:1
Net Change:-2.84%-0.32%-0.52%-2.24%-3.82%-8.12%

Statistics By Variable: Match Price
2 day chg5:55:12:1--1:0----
5 day chg4:63:31:2--0:1----
10 day chg4:63:31:2--0:1----
25 day chg3:73:31:2--0:1----
40 day chg3:72:41:2--0:1----

Statistics By Variable: Average Volume
2 day chg9:62:0-1:1-----1:0
5 day chg5:102:0-1:1-----0:1
10 day chg6:91:1-1:1-----0:1
25 day chg5:101:1-1:1-----0:1
40 day chg4:111:1-1:1-----0:1

StockFetcher Forums · General Discussion · Problem w/ "slope of" during backtesting<< >>Post Follow-up

*** Disclaimer *** does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. does not recommend particular securities., Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.

Copyright 2018 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus