JohnyYuma
60 posts
msg #35981
- Ignore JohnyYuma |
5/12/2005 9:37:49 PM
Hi
I am following an approach similar to this filter since early days of my trading and have made good returns - I have neither made home runs nor have made millions but making steady profits - more importantly, by following this, I did not go belly up during the 'irrational exuberance' period
(only now I have results from backtesting in SF)
New folks, Feel free to use it - and - old experts, feel free to comment and make it better
Remeber, the statistics will change if you change the exit criteria
Appreciate everybody's input
Here is my filter
Show stocks where Average Volume(90) is above 500000
and MACD fast line(12,26) crossed above MACD slow line(12,26) within the last 2 days
and closing price > 1
and Fast Stochastic(5,3) Fast %K crossed above Fast Stochastic(5,3) Slow %D within the last 2 days
and RSI(15) crossed above 30.00 within last 2 days
Here is my exit criteria
Exit Setup
Stop Loss: 50%
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 50
| Approach Information | | Approach Name: Master Filter | | Test started on 12/31/2003 ended on 06/29/2004, covering 123 days | | Filter used: | | Master Filter (saved filter) |
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| Trade Statistics | | There were 252 total stocks entered. Of those, 174 or 69.05% were complete and 78 or 30.95% were open. | | Of the 174 completed trades, 147 trades or 84.48%resulted in a net gain. | | Your average net change for completed trades was: 5.60%. | | The average draw down of your approach was: -8.66%. | | The average max profit of your approach was: 12.44% | | The Risk/Reward ratio for this approach is: 2.61 | | Annualized Return on Investment (ROI): 76.61%, the ROI of ^SPX was: 4.81%. |
| Exit Statistics | | Stop Loss was triggered 3 times or 1.72% of the time. | | Stop Profit was triggered 140 times or 80.46% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (50 days) 31 times or 17.82% 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: | 147 | 134 | 165 | 154 | 144 | 102 | | Losers: | 27 | 111 | 83 | 97 | 107 | 148 | | Win/Loss Ratio: | 5.44:1 | 1.21:1 | 1.99:1 | 1.59:1 | 1.35:1 | 0.69:1 | | Net Change: | 5.60% | 0.44% | 2.92% | 3.38% | 1.49% | -6.43% |
| Statistics By Variable: Match Price | | | <10 | <20 | <30 | <40 | <50 | <60 | <70 | <80 | <90 | <100 | | Completed | 76:11 | 31:8 | 27:5 | 3:1 | 6:1 | - | 4:1 | - | - | - | | 2 day chg | 48:55 | 32:29 | 27:13 | 11:2 | 8:6 | 3:1 | 4:3 | 1:0 | 0:2 | - | | 5 day chg | 69:34 | 38:23 | 28:14 | 9:4 | 9:6 | 3:1 | 6:1 | 1:0 | 2:0 | - | | 10 day chg | 65:41 | 34:27 | 28:14 | 8:5 | 9:6 | 4:0 | 4:3 | 1:0 | 1:1 | - | | 25 day chg | 59:46 | 29:33 | 27:15 | 11:2 | 9:6 | 3:1 | 4:3 | 0:1 | 2:0 | - | | 40 day chg | 38:67 | 22:39 | 21:21 | 8:5 | 8:7 | 0:4 | 4:3 | 0:1 | 1:1 | - |
| 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 | 141:24 | 3:2 | 0:1 | 1:0 | - | 1:0 | 1:0 | - | - | - | | 2 day chg | 130:104 | 4:2 | 0:2 | 0:1 | - | 0:1 | 0:1 | - | - | - | | 5 day chg | 158:79 | 4:2 | 0:2 | 1:0 | - | 1:0 | 1:0 | - | - | - | | 10 day chg | 147:93 | 4:2 | 0:2 | 1:0 | - | 1:0 | 1:0 | - | - | - | | 25 day chg | 136:104 | 4:2 | 1:1 | 1:0 | - | 1:0 | 1:0 | - | - | - | | 40 day chg | 97:142 | 2:4 | 1:1 | 0:1 | - | 1:0 | 1:0 | - | - | - |
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grass
10 posts
msg #36089
- Ignore grass |
5/23/2005 12:51:19 PM
Short term (for 2-10days) it looks like a great short play.
At least now it showed 5 positions where the price touched the decreasing MA, my favourite short combination.
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corsino
259 posts
msg #36090
- Ignore corsino |
5/23/2005 1:21:12 PM
If I read right, I can understand why you don't make bigger profits, with a profit stop of 10%, which was triggered 80% of the time.
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durgin
60 posts
msg #36104
- Ignore durgin |
5/24/2005 5:47:18 PM
Your filter can be improved if you add ... The Price Earnings Ratio is less than 18
That brings the ROI up to about 100%.
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durgin
60 posts
msg #36109
- Ignore durgin |
5/25/2005 7:26:01 AM
However, what really controls this ROI are the numbers you put in for exit -- i.e. stop loss, profit stop, and maximum holding days. If you have more standard settings (exit of 10% loss, profit stop of 50% and exiting after a maximum of 50 days) and set this up for a year's worth of backtesting -- the ROI drops to about 9%. An added complexity is that it is not clear what is real info and what gets distorted by the way ROI is calculated.
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traderblues
195 posts
msg #36113
- Ignore traderblues |
5/25/2005 6:30:26 PM
I don't even look at ROI on the backtesting feature. It is very misleading, and has no relevance on how much you will make per 12 month period. What I do is take the Risk/Reward Ratio, and multiply it by the number of trades. So in effect, you are taking the (average gain per opportunity) x (the number of opportunities). This will give you a better number for comparison purposes.
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