betyerbottomdollar
169 posts
msg #52330
- Ignore betyerbottomdollar |
6/19/2007 7:07:41 PM
This was a two-year backtest.
Trade Statistics
There were 156 total stocks entered. Of those, 143 or 91.67% were complete and 13 or 8.33% were open.
Of the 143 completed trades, 142 trades or 99.30%resulted in a net gain.
Your average net change for completed trades was: 9.90%.
The average draw down of your approach was: -7.90%.
The average max profit of your approach was: 12.41%
The Reward/Risk ratio for this approach is: 27.04
Annualized Return on Investment (ROI): 57.90%, the ROI of ^SPX was: 11.70%.
Exit Statistics
Stop Loss was triggered 1 times or 0.70% of the time.
Stop Profit was triggered 142 times or 99.30% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (365 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: $159456.87
Total (Cash + Market): $159456.87
If anyone is interested, let me know.
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rwgamer
17 posts
msg #52331
- Ignore rwgamer |
6/19/2007 7:20:14 PM
The annualized return is very low though. I would rather be wrong 70 % of the time and make more money.
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xxxg0t_ric3xxx
21 posts
msg #52337
- Ignore xxxg0t_ric3xxx |
6/19/2007 9:48:49 PM
Hi, I was wondering whether this filter is a long term or short term investment? I also would like to know how you got this filter. Thanks
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hdemena
8 posts
msg #52339
- Ignore hdemena |
6/19/2007 10:01:04 PM
I'm always interested in 57% return. Are you interested in sharing the filter and/or strategy?
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astroanalyst
48 posts
msg #52340
- Ignore astroanalyst |
6/19/2007 10:28:39 PM
I find myself agreeing with rwgamer here. Just a thought...any chance of tinkering with/raising the Stop Profit amount/percentage?
In other words, "Let yer profits run..." to paraphrase the cliche. I would think this might go a ways towards enhancing the net gain yield in $$$, even if it means giving up some of yer impressive 99% win/loss ratio...
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SFMc01
358 posts
msg #52353
- Ignore SFMc01 |
6/20/2007 2:03:06 PM
I would be interested in seeibg the filter
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betyerbottomdollar
169 posts
msg #52367
- Ignore betyerbottomdollar |
6/20/2007 8:18:53 PM
Right! Well, I am never really sure how other people do so I thought I would gauge interest before posting this. It is pretty simple, really.
show stocks where Bollinger Width(20) reached a new 6 month low
and draw Bollinger Band(20)
apply to watchlist(IBDjune)
Which basically puts the bollinger band squeeze on the Investor's Business Daily top 100 stocks (updated weekly at investors.com...you will have to get that yourself). The trick I was using was putting my stop profit at 10% and stop loss at 50%. I know that goes against what all the pros say but, shucks...I want my stock to win before it loses.
57% annualized return isn't too shabby I thought...Do you guys have filters that return far more? If so I would love to see them.
Thanks, Casey
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nikoschopen
2,824 posts
msg #52372
- Ignore nikoschopen |
6/21/2007 3:08:29 AM
Can I just point out that the biggest caveat of ure backtest is that the list of IBD 100 remains constant throughout the backtesting period whereas in reality they would get updated on a regular basis.
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betyerbottomdollar
169 posts
msg #52374
- Ignore betyerbottomdollar |
6/21/2007 7:20:29 AM
Yes, that is true.
However, the IBD 100 companies have to be doing something right the two years prior to have been put on the list. Generally they are uptrending stocks and most of them have been for a while.
I think the real kicker is the 10% and 50% stops.
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markcrisp
187 posts
msg #52378
- Ignore markcrisp
modified |
6/21/2007 11:04:00 AM
57% is low?
--------------------------------------------------
The annualized return is very low though
---------------------------------------------------
Let's round it upto 60%
$25,000 at 60% p.a
1) $40,000
2) $64,000
3) $102,400
4) $163,840
5) $262,144
6) $419,430
7) $671,089
8) $1,1m
8) $1,72M
9) $2,75M
10)$4,4M
Hmmmmm.........and this isn't good enough? LOL
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