__fetcheruser123
msg #43177
- Ignore __fetcheruser123 |
4/24/2006 12:36:55 PM
This version includes the MACD divergance. The idea is the same: that you can get a 0.5% pop the day after this signal is seen.
Backtest setup:
Stop Loss: N/A
Profit Stop: 0.5%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1
Selection Method: select by volume descending
Entry Price: close
Conditional Entry: No
Exit Price: close
Maximum Trades Per Day: 25
Maximum Open Positions: 250
| Approach Information | | Approach Name: Chris -- %R (14) Top Pop | | Test started on 12/31/2003 ended on 06/29/2004, covering 123 days | | Filter used: | | Chris -- %R (14) Top Pop (saved filter) |
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| Trade Statistics | | There were 143 total stocks entered. Of those, 142 or 99.30% were complete and 1 or 0.70% were open. | | Of the 142 completed trades, 128 trades or 90.14%resulted in a net gain. | | Your average net change for completed trades was: 1.70%. | | The average draw down of your approach was: -3.10%. | | The average max profit of your approach was: 2.87% | | The Reward/Risk ratio for this approach is: 9.41 | | Annualized Return on Investment (ROI): 2491.30%, the ROI of ^SPX was: 4.81%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 118 times or 83.10% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (1 days) 24 times or 16.90% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 128 | 71 | 71 | 66 | 57 | 55 | | Losers: | 14 | 71 | 68 | 74 | 85 | 88 | | Win/Loss Ratio: | 9.14:1 | 1.00:1 | 1.04:1 | 0.89:1 | 0.67:1 | 0.62:1 | | Net Change: | 1.70% | -0.10% | 0.23% | 0.31% | -1.90% | -4.71% |
| Statistics By Variable: Match Price | | | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | <11 | <12 | | Completed | 2:0 | 7:2 | 12:1 | 14:1 | 25:2 | 12:2 | 16:2 | 15:1 | 16:2 | 9:1 | | 2 day chg | 0:2 | 4:5 | 4:9 | 11:4 | 14:12 | 9:6 | 6:12 | 11:5 | 7:11 | 5:5 | | 5 day chg | 0:2 | 3:6 | 10:3 | 9:5 | 10:15 | 11:4 | 8:10 | 6:10 | 8:10 | 6:3 | | 10 day chg | 1:1 | 4:5 | 7:6 | 9:6 | 13:13 | 7:8 | 8:8 | 5:11 | 7:11 | 5:5 | | 25 day chg | 0:2 | 3:6 | 6:7 | 6:9 | 9:17 | 7:8 | 7:11 | 8:8 | 5:13 | 6:4 | | 40 day chg | 0:2 | 2:7 | 5:8 | 5:10 | 10:17 | 6:9 | 8:10 | 7:9 | 7:11 | 5:5 |
| Statistics By Variable: Average Volume | | | <2.5M | <5.0M | <7.5M | <10.0M | <12.5M | <15.0M | <17.5M | <20.0M | <22.5M | <25.0M | | Completed | 117:14 | 3:0 | 1:0 | 4:0 | 1:0 | 1:0 | - | - | - | 1:0 | | 2 day chg | 62:69 | 2:1 | 1:0 | 4:0 | 0:1 | 1:0 | - | - | - | 1:0 | | 5 day chg | 65:63 | 2:1 | 1:0 | 1:3 | 1:0 | 0:1 | - | - | - | 1:0 | | 10 day chg | 60:69 | 2:1 | 1:0 | 1:3 | 0:1 | 1:0 | - | - | - | 1:0 | | 25 day chg | 54:77 | 0:3 | 1:0 | 1:3 | 0:1 | 0:1 | - | - | - | 1:0 | | 40 day chg | 51:81 | 1:2 | 1:0 | 1:3 | 0:1 | 0:1 | - | - | - | 1:0 |
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