irishpitbull
54 posts
msg #99624
- Ignore irishpitbull |
3/11/2011 5:12:28 PM
Time to do another one.
(Rules)
Must provide code
Must use back test results for entire year of 2006(12/31/2005-12/31/2006) Tough year.
Must produce over 100 picks.
Must provide backtest criteria.
ROI and win% added to produce winner.
Suggestions?
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irishpitbull
54 posts
msg #99625
- Ignore irishpitbull |
3/11/2011 5:35:27 PM
319 picks, average draw -2.77 Profit stop is 4%
51% win with 28.06% ROI
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duncanhoo
14 posts
msg #100209
- Ignore duncanhoo |
4/12/2011 2:44:44 PM
was trolling through the forums looking for filters and stumbled on this one. It backtests great....particularly if you only use it when some simple market direction indicator is positive (ie spy MA is up vs. down).
The losers were pretty obvious to avoid (ie going long on big down day etc.). you have a lot of success with it in the real world?
I flipped it and the shorts work pretty well too. thanks very much for posting.
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irishpitbull
54 posts
msg #100211
- Ignore irishpitbull |
4/12/2011 4:49:02 PM
Thank you. I have worked pretty hard on an taking this idea and improving it. I use it everyday. It is a very pain free and profitable way to trade. I also have a short version. For timing, I use a 9 day normalized slope.
Spy Uptrend
SPY downtrend
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duncanhoo
14 posts
msg #100212
- Ignore duncanhoo |
4/12/2011 7:57:39 PM
i spent most of today looking at the backtests (that is looking at each hit chart by chart). it really slays it when slope of SPY is positive, although the hits are a bit "clumpy". but oh my if you played OTM calls a strike out....oh my.
Is this your primary filter? i noticed a couple of others you posted but they did not quite perform as well (although very good). thanks very much again. i am probably going to start using this one straight away.
wish i had something constructive to post..but my S$%T cant touch this one.
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duncanhoo
14 posts
msg #100214
- Ignore duncanhoo |
4/12/2011 9:56:40 PM
here is something even stranger - I tried reversing all of your EMA triggers for a "short version" of this filter. Guess what - it backtested like crap.
I was fiddling with the settings then all of the sudden it started slaying it (220% +ROI) when market was down. I struggled figuring out what i changed until i realized - the filter that caused the big returns on the SHORT side - was the exact same filter you posted here. I had inadvertently picked up the long filter in the short backtest - and it worked like a charm?!?
I am quite frankly not sure why that is....but i have looked at chart after chart.....
?
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optionplayer333
801 posts
msg #100217
- Ignore optionplayer333
modified |
4/13/2011 1:17:38 AM
weekly rsi(2) below 10 and average volume(30) above 200000 and stock is optionable and close above ma(200)
e Created Start
Date End
Date Win(%) Lose(%) W/L
Ratio Reward/
Risk ROI(%) Options
super bottom filter 4/13/2011 12/30/2005 12/29/2006 81% 19% 4.14:1 1.69 28.11% delete · copy
edit · rename
super bottom filter 4/13/2011 12/30/2005 12/29/2006 61% 39% 1.54:1 1.71 65.04% delete · copy
edit · rename
super bottom filter 4/13/2011 12/30/2005 12/29/2006 53% 47% 1.15:1 1.74 92.14%
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optionplayer333
801 posts
msg #100218
- Ignore optionplayer333 |
4/13/2011 1:33:44 AM
me Created Start
Date End
Date Win(%) Lose(%) W/L
Ratio Reward/
Risk ROI(%) Options
super bottom filter 4/13/2011 3/16/2011 4/6/2011 95% 5% 18.00:1 25.03 427.03%
your back testing you do is all wrong- you have to use the sds dxd qld qid sso ddm as a trigger for you buy and sell- the way you guys do it is just any old time- well you know the market is going to go up and down-- so your real bottom trigger needs to be the daily rsi(2) below 10 for sso ddm qld and at the same time your qid ssds dxd are above 90%- so if you look above the the long bottom was the weekly rsi(2) below 5% on 3-16 and the sell was above 90 on 4-6 for the daily rsi-2
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optionplayer333
801 posts
msg #100219
- Ignore optionplayer333 |
4/13/2011 1:48:09 AM
Trade Statistics
There were 138 total stocks entered. Of those, 129 or 93.48% were complete and 9 or 6.52% were open.
Of the 129 completed trades, 69 trades or 53.49%resulted in a net gain.
Your average net change for completed trades was: 3.20%.
The average draw down of your approach was: -7.45%.
The average max profit of your approach was: 10.75%
The Reward/Risk ratio for this approach is: 1.74
Annualized Return on Investment (ROI): 92.14%, the ROI of ^SPX was: 12.86%.
53% win rate
e Created Start
Date End
Date Win(%) Lose(%) W/L
Ratio Reward/
Risk ROI(%) Options
super bottom filter 4/13/2011 12/30/2005 12/29/2006 53% 47% 1.15:1 1.74 92.14%
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optionplayer333
801 posts
msg #100220
- Ignore optionplayer333 |
4/13/2011 2:01:03 AM
got the big winner>
weekly rsi(2) below 15 and average volume(30) above 1000000 and stock is optionable and close above ma(200) and close between 5 and 25
e Created Start
Date End
Date Win(%) Lose(%) W/L
Ratio Reward/
Risk ROI(%) Options
super bottom filter 4/13/2011 12/30/2005 12/29/2006 81% 19% 4.14:1 1.69 28.11%
Statistics
There were 570 total stocks entered. Of those, 535 or 93.86% were complete and 35 or 6.14% were open.
Of the 535 completed trades, 431 trades or 80.56%resulted in a net gain.
Your average net change for completed trades was: 1.95%.
The average draw down of your approach was: -7.33%.
The average max profit of your approach was: 6.76%
The Reward/Risk ratio for this approach is: 1.69
Annualized Return on Investment (ROI): 28.11%, the ROI of ^SPX was: 12.86%.
Exit Statistics
Stop Loss was triggered 22 times or 4.11% of the time.
Stop Profit was triggered 420 times or 78.50% 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) 93 times or 17.38% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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