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clam61
92 posts
msg #43779
- Ignore clam61

5/16/2006 5:37:59 PM

Approach Name: 5 day swing
Test started on 12/31/2003 ended on 06/29/2004, covering 123 days
Filter used:
5 day swing (saved filter)

Trade Statistics
There were 320 total stocks entered. Of those, 320 or 100.00% were complete and or 0.00% were open.
Of the 320 completed trades, 85 trades or 26.56%resulted in a net gain.
Your average net change for completed trades was: 0.58%.
The average draw down of your approach was: -4.54%.
The average max profit of your approach was: 5.70%
The Reward/Risk ratio for this approach is: 1.74
Annualized Return on Investment (ROI): 1062.62%, the ROI of ^SPX was: 4.81%.

Exit Statistics
Stop Loss was triggered 234 times or 73.12% of the time.
Stop Profit was triggered 84 times or 26.25% 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) 2 times or 0.62% 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: 85 187 195 188 148 128
Losers: 235 121 122 122 170 191
Win/Loss Ratio: 0.36:1 1.54:1 1.60:1 1.54:1 0.87:1 0.67:1
Net Change: 0.58% 1.79% 2.88% 4.21% 2.72% -1.53%

Statistics By Variable: Match Price
<5 <10 <15 <20 <25 <30 <35 <40 <45 <50
Completed 35:96 25:76 16:40 6:9 2:7 1:4 0:2 - 0:1 -
2 day chg 73:51 58:39 34:21 11:4 6:3 4:1 1:1 - 0:1 -
5 day chg 79:51 57:43 40:15 11:4 6:3 1:4 1:1 - 0:1 -
10 day chg 70:56 57:41 39:15 12:3 4:5 4:1 1:1 - 1:0 -
25 day chg 62:68 42:59 23:33 11:4 6:3 3:1 1:1 - 0:1 -
40 day chg 48:82 42:59 23:33 8:7 4:5 2:3 1:1 - 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 85:232 0:2 - - - - - - 0:1 -
2 day chg 184:121 2:0 - - - - - - 1:0 -
5 day chg 192:122 2:0 - - - - - - 1:0 -
10 day chg 186:121 1:1 - - - - - - 1:0 -
25 day chg 146:169 1:1 - - - - - - 1:0 -
40 day chg 127:189 0:2 - - - - - - 1:0 -

traderblues
195 posts
msg #43783
- Ignore traderblues

5/16/2006 5:53:56 PM

Clam61,

I didn't use a stop loss value in my backtest. I also did a period 1-1-02 thru 1-1-04, and it came out very similar (a little better).

Approach Information

Approach Name: Opportunity Swings 1-1-04 to 1-1-06

Test started on 12/31/2003 ended on 12/30/2005, covering 504 days

Filter used:

Opportunity Swings 5 Day Hold - 15% Target (saved filter)

Trade Statistics

There were 418 total stocks entered. Of those, 414 or 99.04% were complete and 4 or 0.96% were open.

Of the 414 completed trades, 267 trades or 64.49%resulted in a net gain.

Your average net change for completed trades was: 4.01%.

The average draw down of your approach was: -7.88%.

The average max profit of your approach was: 11.10%

The Reward/Risk ratio for this approach is: 2.38

Annualized Return on Investment (ROI): 243.57%, the ROI of ^SPX was: 6.12%.

Exit Statistics

Stop Loss was triggered 0 times or 0.00% of the time.

Stop Profit was triggered 126 times or 30.43% 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) 288 times or 69.57% 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:	267	260	258	263	216	187
Losers:	138	146	152	147	198	229
Win/Loss Ratio:	1.94:1	1.78:1	1.70:1	1.79:1	1.09:1	0.82:1
Net Change:	4.01%	2.37%	3.25%	4.57%	4.76%	3.12%

Statistics By Variable: Match Price
	<15	<30	<45	<60	<75	<90	<105	<120	<135	<150
Completed	219:116	39:19	5:2	2:1	1:0	-	-	1:0	-	-
2 day chg	214:119	38:23	5:2	2:1	1:0	-	-	0:1	-	-
5 day chg	211:127	37:23	5:2	3:0	1:0	-	-	1:0	-	-
10 day chg	210:127	42:19	6:1	3:0	1:0	-	-	1:0	-	-
25 day chg	175:167	33:27	4:3	2:1	1:0	-	-	1:0	-	-
40 day chg	148:195	32:29	4:3	2:1	1:0	-	-	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	262:137	3:1	1:0	-	-	-	-	-	1:0	-
2 day chg	254:146	4:0	1:0	-	-	-	-	-	1:0	-
5 day chg	253:152	3:0	1:0	-	-	-	-	-	1:0	-
10 day chg	261:143	1:3	0:1	-	-	-	-	-	1:0	-
25 day chg	214:194	1:3	0:1	-	-	-	-	-	1:0	-
40 day chg	186:224	0:4	0:1	-	-	-	-	-	1:0	-

traderblues
195 posts
msg #43785
- Ignore traderblues

5/16/2006 6:02:17 PM

Lohmeyer1,

Thanks for the tip. Another method that I use is to wait 30 minutes after the open, then buy if/when the stock hits a new intraday high and is in the green.

traderblues
195 posts
msg #43767
- Ignore traderblues
modified

5/16/2006 6:13:38 PM

hold for a maximum 5 days
sell at 15% profit
max 10 trades per day
sort by RSI(5) ascending

This backtests at an average gain of around 4%, with around a 65% success rate. Looking for improvements.

lohmeyer1
4 posts
msg #43784
- Ignore lohmeyer1
modified

5/16/2006 7:41:38 PM

lohmeyer1
4 posts
msg #43788
- Ignore lohmeyer1
modified

5/16/2006 9:38:42 PM

The more I backtest this filter day by day the more I am finding this to be a great filter. I cant program my particular style of trading into SF's backtester so I have to go thru it on a day by day basis. So far Ive gone back about 3 months so far. Still doing more research.

Excellent find.

Im not sure how to do it but maybe you could write into the formula support and resistance levels

clam61
92 posts
msg #43792
- Ignore clam61

5/16/2006 9:59:28 PM

i have done that by using

set {resistance, high x day high}

set {support, low x day low}

basically support and resistance is the high and low in a certain time interval "x".

clam61
92 posts
msg #43793
- Ignore clam61

5/16/2006 10:04:00 PM

traderblues

this looks promising

is there anything you look for when going over your fetcher results? any other technical indicators or candle patterns?

traderblues
195 posts
msg #43807
- Ignore traderblues

5/17/2006 7:14:41 AM

Clam61,

My goal is always to come up with a completely mechanical system, so I don't have to pick through the results. That way you take out all personal bias. So in theory, this filter says you should make roughly 4% per pick if you trade all of the results.

I tried to add a line 'and close is above open', in order to pick only stocks that have halted their downtrend. But this severely cut down the number of trades, so I left it out. If you sift through the daily results and find a hammer candlestick on the latest day, then I would think that this would be a very good pick.

I'm going to keep wotking on it to see if I can find any improvements. If anyone comes up with something to add, please pass it along.

BJS

clam61
92 posts
msg #43814
- Ignore clam61

5/17/2006 1:42:53 PM

I added the support and resistance lines. currently set at 8 week high or low, but it is configurable

StockFetcher Forums · Filter Exchange · 5 day swing trades

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