stefonk
33 posts
msg #97805
- Ignore stefonk |
12/4/2010 8:47:58 AM
Has anyone tested a filter that is more than 80 percent profitable? Please let me know.
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Kevin_in_GA
4,599 posts
msg #97811
- Ignore Kevin_in_GA |
12/4/2010 1:37:57 PM
Of course - there are dozens of these peppered throughout the forums.
Here's one of mine:
exit conditions are either ma(10) above MA(45) or rmi(8,14) crossed above 45
Results over the last 4 months:
Approach Name: RMI(8,14) cross below 65
Test started on 08/03/2010 ended on 12/03/2010, covering 86 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 73 total stocks entered. Of those, 60 or 82.19% were complete and 13 or 17.81% were open.
Of the 60 completed trades, 56 trades or 93.33%resulted in a net gain.
Your average net change for completed trades was: 4.43%.
The average draw down of your approach was: -4.14%.
The average max profit of your approach was: 5.93%
The Reward/Risk ratio for this approach is: 36.88
Annualized Return on Investment (ROI): 81.07%, the ROI of ^SPX was: 25.36%.
Max number of trades was 25, no stops used.
Equity gain starting with $100,000 on 8/3 until 12/3 was $15,197.00.
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four
5,087 posts
msg #97812
- Ignore four
modified |
12/4/2010 2:28:12 PM
rni is interesting... no backtest (just did an eyeball test)
Anyone like to backtest this filter and post results...
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Kevin_in_GA
4,599 posts
msg #97813
- Ignore Kevin_in_GA |
12/4/2010 4:03:59 PM
Four:
How can anyone backtest this without knowing what the exit criteria are? You are defining entry strategies but not exit strategies in most of your filters, and no backtesting to show if the idea strategy is valid.
In the case of the filter I posted above, the entry and exit criteria were developed in parallel using StrataSearch, and optimized against the S&P500 component stocks from 10/1/2009 until 10/1/2010.
I don't mean to be overly critical here - you post more filters than anyone else on these forums. I for one would like to see "the other half" of the strategy and how it played out when you post a new filter.
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four
5,087 posts
msg #97814
- Ignore four |
12/4/2010 4:39:16 PM
I need the "other half", is true.
How do you look at an entry and decide the exit?
There are many ways to exit...
1. time in trade
2. above or below a moving average
3, rsi is above or below a value
4. percentage loss or gain
5. day trade or swing trade
6. etc
Please assist with some ideas/logic on this topic.
You differ your exits. What is your thought process?
Thank you
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four
5,087 posts
msg #97815
- Ignore four |
12/4/2010 4:56:15 PM
For example, this seems to offer good buys @ high on trigger day.
How would I determine an exit strategy for this specific filter?
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