StockFetcher Forums · Filter Exchange · Muddy Combined -- RSI(2) < 1 ... 86% Win Rate<< >>Post Follow-up
__fetcheruser123
msg #43421
- Ignore __fetcheruser123		 5/2/2006 2:25:14 PM

I thought this was interesting, backtesting Muddy's filter with these parameters:

Stop Loss: N/A
Profit Stop: 2%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
Exit Trigger #1: Slow Stochastic(5,5) Slow %D > 40

Approach Information
Approach Name: Muddy Combined - RSI(2) < 1
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
Muddy Combined - RSI(2) < 1 (saved filter)

Trade Statistics
There were 3372 total stocks entered. Of those, 3347 or 99.26% were complete and 25 or 0.74% were open.
Of the 3347 completed trades, 2871 trades or 85.78%resulted in a net gain.
Your average net change for completed trades was: 0.45%.
The average draw down of your approach was: -5.48%.
The average max profit of your approach was: 5.14%
The Reward/Risk ratio for this approach is: 1.33
Annualized Return on Investment (ROI): 50.13%, the ROI of ^SPX was: 6.12%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 2795 times or 83.51% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 10 times or 0.30% of the time.
An exit trigger was executed 542 times or 16.19% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:287117611747168616831640
Losers:46515101547162916541710
Win/Loss Ratio:6.17:11.17:11.13:11.03:11.02:10.96:1
Net Change:0.45%0.82%1.09%0.90%1.17%1.80%

Statistics By Variable: Match Price
 <1<2<3<4<5<6<7<8<9<10
Completed11:4527:56424:48356:54342:57289:50270:61228:47224:51199:37
2 day chg8:6320:237247:217211:186206:191187:150162:160151:126138:134131:102
5 day chg10:4311:252254:209220:185197:197175:161163:165145:134133:143139:96
10 day chg9:6289:279254:218212:193193:203175:162165:166137:143122:154129:105
25 day chg9:6298:283242:228198:213200:198169:169162:171133:145135:141137:99
40 day chg6:8278:307231:244203:207190:212176:165158:175128:150143:133127:108

Statistics By Variable: Average Volume
 <15.0M<30.0M<45.0M<60.0M<75.0M<90.0M<105.0M<120.0M<135.0M<150.0M
Completed2852:4637:15:15:01:0--1:0--
2 day chg1748:15016:32:44:11:0--0:1--
5 day chg1737:15356:32:41:40:1--1:0--
10 day chg1678:16154:53:30:50:1--1:0--
25 day chg1672:16434:54:22:31:0--0:1--
40 day chg1630:16983:64:21:41:0--1:0--
BFreshour
139 posts
msg #43429
- Ignore BFreshour		 5/2/2006 4:25:15 PM

Whenever you net change is this low:

Your average net change for completed trades was: 0.45%.

You aren't going to be making any money due to slippage and commissions.
__fetcheruser123
msg #43430
- Ignore __fetcheruser123		 5/2/2006 4:41:36 PM

BFreshour,

You have a good point but I disagree that no profit can be made. If you have enough margin, it's easy to make a profit on frequent 0.45% gains. I've been doing it for the last few weeks. I only average about 1.5% a week but, compounded, that is a descent yearly ROI.

-Chris
__fetcheruser123
msg #43431
- Ignore __fetcheruser123		 5/2/2006 4:42:35 PM

Here is another example with a 4% profit stop.

Stop Loss: N/A
Profit Stop: 4%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
Exit Trigger #1: Slow Stochastic(5,5) Slow %D > 40

Approach Information
Approach Name: Muddy Combined - RSI(2) < 1 (stochastic exit)
Test started on 04/30/2004 ended on 05/01/2006, covering 503 days
Filter used:
Muddy Combined - RSI(2) < 1 (saved filter)

Trade Statistics
There were 3062 total stocks entered. Of those, 3047 or 99.51% were complete and 15 or 0.49% were open.
Of the 3047 completed trades, 2315 trades or 75.98%resulted in a net gain.
Your average net change for completed trades was: 0.82%.
The average draw down of your approach was: -6.89%.
The average max profit of your approach was: 6.06%
The Reward/Risk ratio for this approach is: 1.38
Annualized Return on Investment (ROI): 51.32%, the ROI of ^SPX was: 8.43%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 2078 times or 68.20% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 24 times or 0.79% of the time.
An exit trigger was executed 945 times or 31.01% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:231515681566154215171482
Losers:70913891408143214041371
Win/Loss Ratio:3.27:11.13:11.11:11.08:11.08:11.08:1
Net Change:0.82%0.69%0.93%1.17%1.96%3.03%

Statistics By Variable: Match Price
 <1<2<3<4<5<6<7<8<9<10
Completed13:5474:100321:74276:84273:87242:69201:89183:66166:76165:59
2 day chg10:6303:244198:189187:163187:169168:141142:139134:115120:119119:103
5 day chg10:5297:254202:185198:159178:174172:137142:144128:123112:130127:96
10 day chg9:7280:271216:177194:159176:179169:136151:137116:132105:137125:97
25 day chg9:6281:272201:180179:176182:163161:139148:136109:126116:119131:86
40 day chg5:8262:274185:184184:160178:167170:128140:140112:114122:109124:86

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
Completed2296:70313:30:14:12:0-0:1---
2 day chg1557:13756:100:12:32:0-1:0---
5 day chg1555:13948:80:12:31:1-0:1---
10 day chg1534:14155:110:13:20:2-0:1---
25 day chg1505:13926:90:14:11:1-1:0---
40 day chg1471:13585:100:14:11:1-1:0---
__fetcheruser123
msg #43432
- Ignore __fetcheruser123		 5/2/2006 4:54:29 PM

And, 6% profit stop.

Stop Loss: N/A
Profit Stop: 6%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
Exit Trigger #1: Slow Stochastic(5,5) Slow %D > 40

Approach Information
Approach Name: Muddy Combined - RSI(2) < 1 (stochastic exit)
Test started on 04/30/2004 ended on 05/01/2006, covering 503 days
Filter used:
Muddy Combined - RSI(2) < 1 (saved filter)

Trade Statistics
There were 2990 total stocks entered. Of those, 2967 or 99.23% were complete and 23 or 0.77% were open.
Of the 2967 completed trades, 2073 trades or 69.87%resulted in a net gain.
Your average net change for completed trades was: 1.18%.
The average draw down of your approach was: -7.69%.
The average max profit of your approach was: 6.96%
The Reward/Risk ratio for this approach is: 1.44
Annualized Return on Investment (ROI): 56.56%, the ROI of ^SPX was: 8.43%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 1632 times or 55.01% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 30 times or 1.01% of the time.
An exit trigger was executed 1305 times or 43.98% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:207315261524149514811446
Losers:85713591379141013701339
Win/Loss Ratio:2.42:11.12:11.10:11.06:11.08:11.08:1
Net Change:1.18%0.68%0.84%1.09%1.96%3.02%

Statistics By Variable: Match Price
 <1<2<3<4<5<6<7<8<9<10
Completed11:6427:121284:95256:100222:120223:80180:101167:79151:87151:68
2 day chg9:6288:237192:183186:161178:164167:139137:136132:113118:118119:101
5 day chg9:5283:246196:179197:158169:169171:135138:140126:122109:130126:94
10 day chg8:7265:265208:174192:159167:174167:135146:134113:132104:135124:95
25 day chg8:6271:261195:175180:172172:159159:138144:132106:126116:116130:84
40 day chg4:8248:266181:178184:157168:163168:127138:135111:112121:107123:85

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
Completed2060:8459:70:13:21:1-0:1---
2 day chg1515:13456:100:12:32:0-1:0---
5 day chg1513:13658:80:12:31:1-0:1---
10 day chg1487:13935:110:13:20:2-0:1---
25 day chg1469:13586:90:14:11:1-1:0---
40 day chg1435:13265:100:14:11:1-1:0---
StockFetcher Forums · Filter Exchange · Muddy Combined -- RSI(2) < 1 ... 86% Win Rate<< >>Post Follow-up

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