alichambers
48 posts
msg #45388
- Ignore alichambers |
6/30/2006 7:02:31 AM
Hi,
I'm a bit confused on how to set a trailing stop loss on the SF backtesting utility.
I have created a simple scan to look for pullbacks in uptrending stocks. After entry, I expect to be out within a few days.
I would like to use a trailing stop loss at the low of each day +/- 0.5% of the price to give some "leeway" against variations.
How do I do this?
Thanks - alex
| Approach Information | | Approach Name: Dr Williams TTC-A test | | Test started on 12/30/2005 ended on 05/01/2006, covering 82 days | | Filter used: | | Dr Williams: TTC-A (saved filter) |
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| Trade Statistics | | There were 174 total stocks entered. Of those, 129 or 74.14% were complete and 45 or 25.86% were open. | | Of the 129 completed trades, 87 trades or 67.44%resulted in a net gain. | | Your average net change for completed trades was: 2.35%. | | The average draw down of your approach was: -3.33%. | | The average max profit of your approach was: 5.83% | | The Reward/Risk ratio for this approach is: 2.43 | | Annualized Return on Investment (ROI): 28.89%, the ROI of ^SPX was: 12.19%. |
| Exit Statistics | | Stop Loss was triggered 11 times or 8.53% of the time. | | Stop Profit was triggered 34 times or 26.36% 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) 84 times or 65.12% 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: | 87 | 106 | 109 | 108 | 95 | 102 | | Losers: | 42 | 64 | 65 | 65 | 77 | 72 | | Win/Loss Ratio: | 2.07:1 | 1.66:1 | 1.68:1 | 1.66:1 | 1.23:1 | 1.42:1 | | Net Change: | 2.35% | 0.80% | 1.26% | 1.74% | 1.87% | 1.67% |
| Statistics By Variable: Match Price | | | <100 | <200 | <300 | <400 | <500 | <600 | <700 | <800 | <900 | <1000 | | Completed | 79:39 | 7:1 | - | 0:1 | 0:1 | - | - | 1:0 | - | - | | 2 day chg | 94:62 | 9:1 | 1:0 | 1:0 | 0:1 | - | - | 1:0 | - | - | | 5 day chg | 97:61 | 9:3 | 1:0 | 1:0 | 0:1 | - | - | 1:0 | - | - | | 10 day chg | 96:61 | 9:3 | 1:0 | 1:0 | 0:1 | - | - | 1:0 | - | - | | 25 day chg | 90:66 | 5:7 | 0:1 | 0:1 | 0:1 | - | - | 0:1 | - | - | | 40 day chg | 95:63 | 7:5 | 0:1 | 0:1 | 0:1 | - | - | 0:1 | - | - |
| 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 | 86:41 | 0:1 | - | - | - | - | 1:0 | - | - | - | | 2 day chg | 105:63 | 0:1 | - | - | - | - | 1:0 | - | - | - | | 5 day chg | 108:64 | 0:1 | - | - | - | - | 1:0 | - | - | - | | 10 day chg | 107:64 | 0:1 | - | - | - | - | 1:0 | - | - | - | | 25 day chg | 95:75 | 0:1 | - | - | - | - | 0:1 | - | - | - | | 40 day chg | 101:71 | 0:1 | - | - | - | - | 1:0 | - | - | - |
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Koronbock
201 posts
msg #45390
- Ignore Koronbock |
6/30/2006 7:55:19 AM
Ali,
go to BACKTESTING > choose your filter, click EDIT. Scroll down the menu and find EXIT SETUP, click on TRAILING STOP LOSS, enter "0.5" (without the " "), click SAVE .
You are done!
Hope this helps,
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Birkoff
4 posts
msg #45406
- Ignore Birkoff |
6/30/2006 11:44:35 PM
What will 0.5 represent?
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alichambers
48 posts
msg #45422
- Ignore alichambers |
7/2/2006 8:23:50 AM
Thanks.
Alex
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