| StockFetcher Forums · General Discussion · Trade statistics breakdown | << 1 2 3 4 >>Post Follow-up |
| mahkoh 1,065 posts msg #99138 - Ignore mahkoh |
2/15/2011 2:03:49 PM Bagsby, I'm getting curious. Would you care to share your "is this the one" filter? |
| duke56468 683 posts msg #99142 - Ignore duke56468 |
2/15/2011 9:25:12 PM bagsby32....with 1138 trades (commissions) and 22% still open the filter could still be under water even though the it shows a 9707 ROI. What does the bottom line say under "equity summary"? |
| Eman93 4,750 posts msg #99150 - Ignore Eman93 |
2/16/2011 2:19:38 AM Kevin_in_GA msg #98700 - Ignore Kevin_in_GA 1/22/2011 7:53:35 AM Higher is better for R/R - here is a pretty good filter to try. Approach Name: RMI(8,14) cross below 65 Test started on 09/21/2010 ended on 01/21/2011, covering 85 days Filter used: market is s&p 500 close above 1 average volume(20) above 200000 MA(10) below MA(45) rmi(8,14) crossed below 65 Exit Setup Stop Loss: N/A Profit Stop: 10% Trailing Stop Loss: N/A Minimum Holding Days: N/A Maximum holding days: N/A Exit Trigger #1: ma(10) above MA(45) Exit Trigger #2: rmi(8,14) crossed above 45 Trade Statistics There were 73 total stocks entered. Of those, 64 or 87.67% were complete and 9 or 12.33% were open. Of the 64 completed trades, 59 trades or 92.19% resulted in a net gain. Your average net change for completed trades was: 4.00%. The average draw down of your approach was: -2.44%. The average max profit of your approach was: 5.25% The Reward/Risk ratio for this approach is: 19.75 Annualized Return on Investment (ROI): 107.31%, the ROI of ^SPX was: 35.73% ============================================ You need to assign a risk a stop loss or risk is 100% no other way to calc an RR. if risk is 100 and your average return is 4% the your RR is .04 reward for every dollar. but you are winning 92% its the other 9 open that could wipe out all the gains... just saying. put in an 8% stop loss and see what you get for an RR.. the draw down was only 2.44 so you should be good... |
| Eman93 4,750 posts msg #99151 - Ignore Eman93 modified |
2/16/2011 2:31:27 AM this is buy the open after the trigger and sell at end of day.......... good luck Test started on 06/30/2009 ended on 02/15/2011, covering 411 days Filter used: Average Volume(2) > 500000 close 1 day ago < 2.00 close > 2.01 close < 2.23 Trade Statistics There were 517 total stocks entered. Of those, 516 or 99.81% were complete and 1 or 0.19% were open. Of the 516 completed trades, 224 trades or 43.41%resulted in a net gain. Your average net change for completed trades was: 0.58%. The average draw down of your approach was: -7.75%. The average max profit of your approach was: 9.16% The Reward/Risk ratio for this approach is: 1.15 Annualized Return on Investment (ROI): 89.59%, the ROI of ^SPX was: 25.98%. Exit Statistics Stop Loss was triggered 157 times or 30.43% of the time. this was set at 8% Stop Profit was triggered 47 times or 9.11% of the time. this was set at 20% Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (1 days) 312 times or 60.47% of the time. An exit trigger was executed 0 times or 0.00% of the time. |
| Eman93 4,750 posts msg #99152 - Ignore Eman93 |
2/16/2011 2:46:25 AM Statistics · Performance Chart · Trades · Equity Summary new! · System Summary · Edit Backtests · Backtest Forum · Help Approach Information Approach Name: Test started on 03/03/2009 ended on 02/15/2011, covering 494 days Filter used: market is s&p 500 close above 1 average volume(20) above 200000 MA(10) below MA(45) rmi(8,14) crossed below 65 Trade Statistics There were 464 total stocks entered. Of those, 459 or 98.92% were complete and 5 or 1.08% were open. Of the 459 completed trades, 365 trades or 79.52%resulted in a net gain. Your average net change for completed trades was: 3.02%. The average draw down of your approach was: -3.82%. The average max profit of your approach was: 6.09% The Reward/Risk ratio for this approach is: 3.02 Annualized Return on Investment (ROI): 74.17%, the ROI of ^SPX was: 44.26%. Exit Statistics Stop Loss was triggered 79 times or 17.21% of the time. Stop Profit was triggered 87 times or 18.95% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (300 days) 0 times or 0.00% of the time. An exit trigger was executed 293 times or 63.83% of the time. |
| Eman93 4,750 posts msg #99153 - Ignore Eman93 |
2/16/2011 2:49:40 AM Still not bad only 10% loss Test started on 03/02/2007 ended on 02/15/2008, covering 242 days Filter used: market is s&p 500 close above 1 average volume(20) above 200000 MA(10) below MA(45) rmi(8,14) crossed below 65 Trade Statistics There were 296 total stocks entered. Of those, 287 or 96.96% were complete and 9 or 3.04% were open. Of the 287 completed trades, 164 trades or 57.14%resulted in a net gain. Your average net change for completed trades was: -0.47%. The average draw down of your approach was: -4.59%. The average max profit of your approach was: 4.15% The Reward/Risk ratio for this approach is: 0.83 Annualized Return on Investment (ROI): -10.61%, the ROI of ^SPX was: -3.76%. Exit Statistics Stop Loss was triggered 94 times or 32.75% of the time. Stop Profit was triggered 15 times or 5.23% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (300 days) 0 times or 0.00% of the time. An exit trigger was executed 178 times or 62.02% of the time. |
| Eman93 4,750 posts msg #99154 - Ignore Eman93 modified |
2/16/2011 3:17:31 AM from 05 to 07 a 12% return not bad for a truly mechanical system.. one would think a good trader could do better these all were run with 8% stop loss.. 10% profit if you use the gambling analogy... and break this down Kevin so if you risk reward is 2 that is double your money so you only need to win 50% to break even.... right... so as your risk reward goes down you win % must go up as a ratio expressed 2/50 = risk reward / solve for win % so the above risk of 8 and reward of 10.. how much win % do you need to break even? first we need the ratio of 10/8 2/50 = 1.25/X so your win % must be at least 31.25 - 100 = 68.75% to break even... its late... is that correct? seems right we are winning less than double the risk........ just some things to think about.... |
| bagsby32 23 posts msg #99156 - Ignore bagsby32 |
2/16/2011 6:29:29 AM Here you go Duke. Not sure what this all means though. Transaction Summary Daily Gains : $772793.18 Daily Losses : $7907980.97 Running Gain/(Loss) : $71992232.23 # Stocks held at end of day : -100 Summary Invested In Stock: $-0.00 Market Value of Stock: $0.00 Market Value - Invested: $0.00 Available Cash: $72092232.23 Total (Cash + Market): $72092232.23 |
| Eman93 4,750 posts msg #99157 - Ignore Eman93 modified |
2/16/2011 7:37:34 AM Rick67 msg #99117 - Ignore Rick67 2/15/2011 4:11:09 AM Anything will work great when tested over a market uptrend. How does it work on a sideways or downtrending market? Try testing this from May 5, 2010 to 9/10/2010. ------------------------------------------------------------------------------------------------------------------------------------ Part of trading is determining the trend... build rules around trend... use bull or bear filter.....if no trend then stay out... |
| duke56468 683 posts msg #99159 - Ignore duke56468 |
2/16/2011 9:26:46 AM Eman93.......did you stick with garsworld? |
| StockFetcher Forums · General Discussion · Trade statistics breakdown | << 1 2 3 4 >>Post Follow-up |
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