duke56468
683 posts
msg #90679
- Ignore duke56468 |
4/1/2010 9:54:27 PM
Test started on 08/29/2008 ended on 10/29/2008, covering 42 days
Trade Statistics
There were 68 total stocks entered. Of those, 66 or 97.06% were complete and 2 or 2.94% were open.
Of the 66 completed trades, 26 trades or 39.39%resulted in a net gain.
Your average net change for completed trades was: -2.82%.
The average draw down of your approach was: -10.23%.
The average max profit of your approach was: 5.86%
The Reward/Risk ratio for this approach is: 0.43
Annualized Return on Investment (ROI): -421.30%, the ROI of ^SPX was: -166.20%.
Exit Statistics
Stop Loss was triggered 40 times or 60.61% of the time.
Stop Profit was triggered 26 times or 39.39% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $96327.59
Total (Cash + Market): $96327.59
During one of the worst periods I could find it didn't do too bad. S&P lost about 35% it only lost 3.7%
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duke56468
683 posts
msg #90774
- Ignore duke56468 |
4/4/2010 9:53:05 AM
CLOSE CROSSED ABOVE PP 28 DAY LOW
PP EQUALS PP 28 DAY LOW 1 DAY AGO
HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW
VOLUME > 10000
CLOSE > 1
set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy
@ four.....this filter seems to back test quite well could you explain some of your reasoning behind the filter. Thanks, much appreciated.
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four
5,087 posts
msg #90782
- Ignore four
modified |
4/4/2010 2:19:40 PM
@duke56468
Filter: PP14 and PP28
pivot point = heard about them and decided to try playing
PP low = high didn't work so tried the opposite
14/28 = visually inspected filter results and tried different combos (prefer symmetry .. so use double) my usual pattern
pp equals pp 28 = improved results (remember below, equal, over are the three possibilities)
The old saying about the wall: go through, over or under, around
encapsulating PP low/open below and close/high above = borrowed from http://filteringwallstreet.blogspot.com/ (I used PP instead of Moving Average)
volume = i would raise to over 100,000 (would change to trade this filter)
close = I personally don't trade below $1
set statements = looking for the extra confidence that a continuig up is going to occur before long position
Do try: http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=90752&qrid=
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duke56468
683 posts
msg #90787
- Ignore duke56468 |
4/4/2010 6:38:34 PM
@four,
Thanks I appreciate your work.
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