tarun766
50 posts
msg #108475
- Ignore tarun766 |
10/22/2012 8:57:36 PM
How do you select how much to go in on each play? So it is really only 5% ROI?
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Kevin_in_GA
4,599 posts
msg #108482
- Ignore Kevin_in_GA
modified |
10/23/2012 9:37:26 AM
Over the last 4 months (6/22 through 10/22) using a maximum of 10 positions I get the following results:
There were 34 total stocks entered. Of those, 34 or 100.00% were complete and or 0.00% were open.
Of the 34 completed trades, 31 trades or 91.18% resulted in a net gain.
Your average net change for completed trades was: 1.15%.
The average draw down of your approach was: -1.10%.
The average max profit of your approach was: 1.33%
The Reward/Risk ratio for this approach is: 12.45
Annualized Return on Investment (ROI): 62.42%, the ROI of ^SPX was: 23.93%.
Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $103,363.92. Cash: $103,363.92 Market value of holdings at end: $0.00 (paid: $-304.30)
Realized gain/loss: $3,363.92 ($98.94 per trade.)
Total Commissions Paid: $608.60
Unrealized gain/loss: $304.30.
A 3.4% return on starting equity with a high win percentage. This is a good filter by most measures, but it did not beat the S&P 500 buy and hold over the same period (the SPY went from 133.24 to 143.41, for a gain of 7.4%).
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tarun766
50 posts
msg #108484
- Ignore tarun766 |
10/23/2012 8:37:33 PM
Thanks kevin for explain that.. (im new here)
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Eman93
4,750 posts
msg #108486
- Ignore Eman93
modified |
10/23/2012 9:09:31 PM
I had the days held to only 1 day so screwed up here it is looks like 15% just taking the first one on the list and thats it.
Viewing: conners rsi 4
Edit
Delete
Approach Information
Approach Name: conners rsi 4
Test started on 2010-08-31 ended on 2012-08-31, covering 506 days
Filter used:
SYMLIST(DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV)
CLOSE ABOVE MA(200)
RSI(4) BELOW 25
/*EXIT WHEN THE RSI(4) CLOSES ABOVE 55*/
Trade Statistics
There were 39 total stocks entered. Of those, 38 or 97.44% were complete and 1 or 2.56% were open.
Of the 38 completed trades, 28 trades or 73.68%resulted in a net gain.
Your average net change for completed trades was: 0.38%.
The average draw down of your approach was: -2.32%.
The average max profit of your approach was: 1.49%
The Reward/Risk ratio for this approach is: 1.47
Annualized Return on Investment (ROI): 16.84%, the ROI of ^SPX was: 16.77%.
Equity Summary
Starting Account Value: $1,000,000.00 Fees per trade: $8.99
Ending Account Value: $1,149,896.33. Cash: $-0.59 Market value of holdings at end: $1,149,896.92 (paid: $1,139,314.95)
Realized gain/loss: $139,664.97 ($3,675.39 per trade.)
Total Commissions Paid: $692.23
Unrealized gain/loss: $10,581.97.
Exit Statistics
Stop Loss was triggered 5 times or 13.16% of the time.
Stop Profit was triggered 0 times or 0.00% 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) 0 times or 0.00% of the time.
An exit trigger was executed 33 times or 86.84% of the time.
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Eman93
4,750 posts
msg #108488
- Ignore Eman93 |
10/23/2012 9:29:40 PM
This is my tweek along the same path and DONT ask for me to post. this is 4 years of hard work. Holding only 2 days per trade....
thats 40%
Test started on 2010-10-18 ended on 2012-10-17, covering 505 days
Trade Statistics
There were 24 total stocks entered. Of those, 24 or 100.00% were complete and or 0.00% were open.
Of the 24 completed trades, 17 trades or 70.83%resulted in a net gain.
Your average net change for completed trades was: 1.52%.
The average draw down of your approach was: -1.95%.
The average max profit of your approach was: 2.93%
The Reward/Risk ratio for this approach is: 2.78
Annualized Return on Investment (ROI): 195.29%, the ROI of ^SPX was: 11.81%.
Equity Summary
Starting Account Value: $1,000,000.00 Fees per trade: $8.99
Ending Account Value: $1,406,310.85. Cash: $1,406,310.85 Market value of holdings at end: $0.00 (paid: $-215.76)
Realized gain/loss: $406,310.85 ($16,929.62 per trade.)
Total Commissions Paid: $431.52
Unrealized gain/loss: $215.76.
Exit Statistics
Stop Loss was triggered 1 times or 4.17% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (2 days) 23 times or 95.83% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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Eman93
4,750 posts
msg #108492
- Ignore Eman93 |
10/23/2012 10:22:48 PM
I think the ROI is based on the stop loss... so for 100k trade risk is 5K if you make 5k on the trade ROI would be 100%?
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drew9
171 posts
msg #108508
- Ignore drew9
modified |
10/24/2012 1:22:50 PM
You guys should think about using the Direxion 3X ETF's for this filter. The W/L should be the same but you should get 3X the profits. They are perfect for this kind of short term trading that only holds for a few days. I use them about 75% of the time for my trading.
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tarun766
50 posts
msg #108515
- Ignore tarun766 |
10/24/2012 4:50:06 PM
@drew9
Would you mind posting where we can find this?
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drew9
171 posts
msg #108523
- Ignore drew9 |
10/24/2012 7:26:59 PM
I am not partial to Direxion as ProShares offers 3X leveraged funds. Only trade them if they have significant volume so you can pick and chose among their various funds.
http://www.proshares.com/3xetfs/?gclid=CP66kIedm7MCFcxcMgoddnMAFg
http://www.direxionshares.com/etf_landing/index.html?utm_source=google&utm_medium=cpc&utm_campaign=Direxion-Brand&utm_term=direxion&utm_content=A&gclid=COmmntWdm7MCFYs7MgodVzYAFw
My favorites are SPXL, FAS, TNA, DRN and ERX
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tarun766
50 posts
msg #108546
- Ignore tarun766 |
10/25/2012 9:19:21 PM
What is the best Larry Connors method?
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