__fetcheruser123
msg #43137
- Ignore __fetcheruser123 |
4/23/2006 1:42:12 AM
What do you guys think? The idea is that mid-priced stocks trending up in this fashion end with at least a little 1/2% pop the following day before falling again.
The back test was setup like this:
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 -- RSI (14) Top Pop | | Test started on 12/31/2003 ended on 06/29/2004, covering 123 days | | Filter used: | | Chris -- RSI (14) Top Pop (saved filter) |
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| Trade Statistics | | There were 374 total stocks entered. Of those, 370 or 98.93% were complete and 4 or 1.07% were open. | | Of the 370 completed trades, 328 trades or 88.65%resulted in a net gain. | | Your average net change for completed trades was: 1.43%. | | The average draw down of your approach was: -2.54%. | | The average max profit of your approach was: 2.42% | | The Reward/Risk ratio for this approach is: 8.41 | | Annualized Return on Investment (ROI): 1866.68%, 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 300 times or 81.08% 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) 70 times or 18.92% 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: | 328 | 183 | 187 | 174 | 158 | 144 | | Losers: | 39 | 174 | 178 | 195 | 214 | 229 | | Win/Loss Ratio: | 8.41:1 | 1.05:1 | 1.05:1 | 0.89:1 | 0.74:1 | 0.63:1 | | Net Change: | 1.43% | 0.06% | 0.54% | 0.67% | -0.38% | -3.14% |
| Statistics By Variable: Match Price | | | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | <11 | <12 | | Completed | 7:0 | 33:5 | 30:5 | 35:6 | 49:5 | 33:2 | 46:2 | 35:5 | 38:5 | 22:4 | | 2 day chg | 4:3 | 15:21 | 16:17 | 22:17 | 26:27 | 16:20 | 27:21 | 26:13 | 21:22 | 10:13 | | 5 day chg | 4:3 | 15:24 | 22:10 | 20:20 | 21:31 | 19:17 | 26:23 | 19:22 | 27:17 | 14:11 | | 10 day chg | 2:4 | 16:23 | 18:18 | 23:18 | 28:24 | 16:20 | 25:23 | 12:29 | 23:21 | 11:15 | | 25 day chg | 0:7 | 9:30 | 22:14 | 17:24 | 19:34 | 13:23 | 26:23 | 21:20 | 21:23 | 10:16 | | 40 day chg | 1:6 | 9:30 | 19:17 | 13:28 | 16:38 | 12:24 | 26:24 | 15:25 | 23:21 | 10:16 |
| 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 | 312:38 | 6:0 | 2:1 | 5:0 | 1:0 | 1:0 | - | - | - | 1:0 | | 2 day chg | 171:168 | 2:4 | 2:1 | 6:0 | 0:1 | 1:0 | - | - | - | 1:0 | | 5 day chg | 178:169 | 3:3 | 3:0 | 1:5 | 1:0 | 0:1 | - | - | - | 1:0 | | 10 day chg | 164:187 | 4:2 | 3:0 | 1:5 | 0:1 | 1:0 | - | - | - | 1:0 | | 25 day chg | 154:200 | 1:5 | 1:2 | 1:5 | 0:1 | 0:1 | - | - | - | 1:0 | | 40 day chg | 139:216 | 2:4 | 1:2 | 1:5 | 0:1 | 0:1 | - | - | - | 1:0 |
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__fetcheruser123
msg #43141
- Ignore __fetcheruser123 |
4/23/2006 3:34:51 AM
Whoops, that's supposed to be %R (14), not RSI. :)
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traderblues
195 posts
msg #43148
- Ignore traderblues |
4/23/2006 8:14:47 AM
You need to factor in slippage and commissions. Your average gain per trade is only 1.43%. This will come down after you figure in the costs. And your success rate will also go down quite a bit.
This is one downfall of this backtester. There is no option to add slippage and commissions into the results. What you can do is download the trade results into Excel, add a column to add slippage and commissions to every trade, and see what it does to the results.
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