corsino
259 posts
msg #50240
- Ignore corsino |
2/25/2007 4:57:48 PM
Try this one,any holding period between 3 and 30 days.
I got 78% wins with a 10-day holding period, and R/R ratio,etc..all look good.
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corsino
259 posts
msg #50243
- Ignore corsino |
2/25/2007 6:07:53 PM
OOPS !
Forgot to type the volume parameter:
"and average volume (90) above 50000"
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corsino
259 posts
msg #50248
- Ignore corsino |
2/25/2007 8:04:37 PM
Posted the corrected filter (KELTNER/BLRL/ADR FILTER) in the Public Filters with the statistics.
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corsino
259 posts
msg #50249
- Ignore corsino |
2/25/2007 8:22:53 PM
Well, I thought I posted the filter in Public Filters, but can't find it there, so this is the corrected filter:
| Approach Information | | Approach Name: KELTNER/ BLRL/ADR | | Test started on 10/26/2006 ended on 02/23/2007, covering 80 days | | Filter used: | | KELTNER/ BLRL/ADR (saved filter) |
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| Trade Statistics | | There were 75 total stocks entered. Of those, 67 or 89.33% were complete and 8 or 10.67% were open. | | Of the 67 completed trades, 52 trades or 77.61%resulted in a net gain. | | Your average net change for completed trades was: 15.83%. | | The average draw down of your approach was: -3.64%. | | The average max profit of your approach was: 19.96% | | The Reward/Risk ratio for this approach is: 15.43 | | Annualized Return on Investment (ROI): 391.06%, the ROI of ^IXIC was: 20.14%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% 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 (10 days) 67 times or 100.00% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 3 day chg | 5 day chg | 10 day chg | 15 day chg | 30 day chg | | Winners: | 52 | 45 | 41 | 49 | 47 | 36 | | Losers: | 15 | 28 | 28 | 17 | 17 | 12 | | Win/Loss Ratio: | 3.47:1 | 1.61:1 | 1.46:1 | 2.88:1 | 2.77:1 | 3.00:1 | | Net Change: | 15.83% | 14.15% | 14.58% | 15.61% | 16.68% | 17.22% |
| Statistics By Variable: Match Price | | | <1.5 | <2 | <2.5 | <3 | <3.5 | <4 | <4.5 | <5 | <5.5 | <6 | | Completed | - | - | - | - | - | - | - | - | - | - | | 3 day chg | 1:0 | 1:0 | 3:1 | 5:2 | 4:1 | 7:3 | 6:3 | 5:6 | 6:4 | 7:8 | | 5 day chg | 1:0 | 1:0 | 2:1 | 3:3 | 4:1 | 8:2 | 4:5 | 5:6 | 7:3 | 6:7 | | 10 day chg | 1:0 | 1:0 | 2:0 | 3:3 | 4:1 | 9:1 | 3:4 | 6:5 | 7:2 | 13:1 | | 15 day chg | 1:0 | 1:0 | 1:2 | 3:3 | 4:1 | 8:2 | 5:1 | 6:4 | 6:2 | 12:2 | | 30 day chg | 1:0 | - | 2:1 | 2:2 | 4:1 | 5:1 | 4:1 | 5:3 | 3:2 | 10:1 |
| Statistics By Variable: Average Volume | | | <5.0M | <10.0M | <15.0M | <20.0M | <25.0M | <30.0M | <35.0M | <40.0M | <45.0M | <50.0M | | Completed | 49:13 | 2:1 | 1:0 | - | - | - | - | - | 0:1 | - | | 3 day chg | 41:27 | 2:1 | 1:0 | - | - | - | - | - | 1:0 | - | | 5 day chg | 38:27 | 1:1 | 1:0 | - | - | - | - | - | 1:0 | - | | 10 day chg | 46:15 | 2:1 | 1:0 | - | - | - | - | - | 0:1 | - | | 15 day chg | 45:14 | 2:1 | 0:1 | - | - | - | - | - | 0:1 | - | | 30 day chg | 34:9 | 2:1 | 0:1 | - | - | - | - | - | 0:1 | - |
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itrademan
70 posts
msg #50255
- Ignore itrademan |
2/25/2007 11:07:37 PM
The filter show very good result just because of one trade showing 900% gain
ADVS 11/27/2006 3.62 12/12/2006 36.21 -0.50% 945.61% 900.83% 919.62% 927.92% 905.25% 872.91% 825.93% BUY-HOLD
Still it looks good but not great.
Let us see if anyone test it for a longer period and take away the extreme results.
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beags2
3 posts
msg #50259
- Ignore beags2 |
2/26/2007 1:31:08 AM
ADVS chart looks like a 10 for 1 reverse split. We should notify stockfetcher technical support to fix data like this, otherwise backtesting will be futile.
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