spacedash
6 posts
msg #44001
- Ignore spacedash |
5/21/2006 6:42:54 PM
obv increasing over the last 2 days
rsi(14) crossed above 30
close above 1 day ago close
price above ma(200)
volume > 1 day ago volume
average volume(90) > 50000
price > 1
rsi(14) > rsi(14) 1 day ago
williams %R(10) crossed above -75
williams %R(10) 2 day ago < -80
williams %R(10) < -60 over the last 15 days
and high below DMA(28,-14)
draw LRI(20)
draw DMA(28,-14)
:P
| Approach Information | | Approach Name: THE MIGHTY WORM 15 below -60 ( :P ) | | Test started on 12/31/2003 ended on 04/30/2004, covering 83 days | | Filter used: | | THE MIGHTY WORM 15 below -60 ( :P ) (saved filter) |
|
|
| Trade Statistics | | There were 13 total stocks entered. Of those, 11 or 84.62% were complete and 2 or 15.38% were open. | | Of the 11 completed trades, 9 trades or 81.82%resulted in a net gain. | | Your average net change for completed trades was: 7.19%. | | The average draw down of your approach was: -5.50%. | | The average max profit of your approach was: 10.02% | | The Reward/Risk ratio for this approach is: 12.29 | | Annualized Return on Investment (ROI): 193.34%, the ROI of ^SPX was: -0.64%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 0 times or 0.00% 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) 0 times or 0.00% of the time. | | An exit trigger was executed 11 times or 100.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 9 | 7 | 9 | 9 | 6 | 4 | | Losers: | 2 | 6 | 4 | 4 | 7 | 9 | | Win/Loss Ratio: | 4.50:1 | 1.17:1 | 2.25:1 | 2.25:1 | 0.86:1 | 0.44:1 | | Net Change: | 7.19% | 0.75% | 3.03% | 6.96% | 0.44% | -12.46% |
| Statistics By Variable: Match Price | | | <8 | <12 | <16 | <20 | <24 | <28 | <32 | <36 | <40 | <44 | | Completed | 2:1 | 1:0 | - | 2:1 | 1:0 | 1:0 | - | 1:0 | - | 1:0 | | 2 day chg | 1:2 | 1:0 | - | 1:2 | 1:0 | 2:0 | 1:0 | 0:1 | - | 0:1 | | 5 day chg | 2:1 | 0:1 | - | 2:1 | 1:0 | 1:1 | 1:0 | 1:0 | - | 1:0 | | 10 day chg | 2:1 | 1:0 | - | 2:1 | 1:0 | 1:1 | 0:1 | 1:0 | - | 1:0 | | 25 day chg | 1:2 | 1:0 | - | 2:1 | 1:0 | 0:2 | 0:1 | 1:0 | - | 0:1 | | 40 day chg | 0:3 | 0:1 | - | 1:2 | 1:0 | 0:2 | 0:1 | 1:0 | - | 1:0 |
| Statistics By Variable: Average Volume | | | <1000000 | <2.0M | <3.0M | <4.0M | <5.0M | <6.0M | <7.0M | <8.0M | <9.0M | <10.0M | | Completed | 8:2 | - | - | - | - | - | 1:0 | - | - | - | | 2 day chg | 6:5 | 1:0 | - | - | - | - | 0:1 | - | - | - | | 5 day chg | 9:2 | 0:1 | - | - | - | - | 0:1 | - | - | - | | 10 day chg | 9:2 | 0:1 | - | - | - | - | 0:1 | - | - | - | | 25 day chg | 6:5 | 0:1 | - | - | - | - | 0:1 | - | - | - | | 40 day chg | 4:7 | 0:1 | - | - | - | - | 0:1 | - | - | - |
|
|
spacedash
6 posts
msg #44002
- Ignore spacedash
modified |
5/21/2006 8:23:13 PM
Exits:
Exit Trigger #1: close below 1 day ago close
---> You want to set the stop loss to yesterday's close
Exit Trigger #2: LRI(20) crossed above dma(28,-14)
---> This signals a reverse(or a possible one) coming up, so you exit when the
LRI crosses above the DMA
Off course, exact intraday point of entry is another story, but if you can't intraday trade this filter works quite well.
edit:
...yes I do understand the magnitude, pick up your jaw mister, my fee is 1%.
|
WALLSTREETGENIUS
983 posts
msg #44019
- Ignore WALLSTREETGENIUS
modified |
5/21/2006 11:42:59 PM
...yes I do understand the magnitude, pick up your jaw mister, my fee is 1%.
______________________
I like your style "spacedash!"
- RIGGS -
|
__fetcheruser123
msg #44095
- Ignore __fetcheruser123 |
5/23/2006 1:06:57 PM
Backtested over 2 years didn't perform as well... Maybe there was an additional setting I needed for the system?
Basic Setup
Name: unnamed approach
Approach Type: Long
Start Date: 12/31/2003
End Date: 12/30/2005
Benchmark Symbol: ^SPX
Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
Exit Trigger #1: close below 1 day ago close
Exit Trigger #2: LRI(20) crossed above dma(28,-14)
| Approach Information | | Approach Name: unnamed approach | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | obv increasing over the last 2 days
rsi(14) crossed above 30
close above 1 day ago close
price above ma(200)
volume > 1 day ago volume
average volume(90) > 50000
price > 1
rsi(14) > rsi(14) 1 day ago
williams %R(10) crossed above -75
williams %R(10) 2 day ago < -80
williams %R(10) < -60 over the last 15 days
and high below DMA(28,-14)
draw LRI(20)
draw DMA(28,-14) |
|
|
| Trade Statistics | | There were 57 total stocks entered. Of those, 57 or 100.00% were complete and or 0.00% were open. | | Of the 57 completed trades, 37 trades or 64.91%resulted in a net gain. | | Your average net change for completed trades was: 2.97%. | | The average draw down of your approach was: -8.36%. | | The average max profit of your approach was: 7.47% | | The Reward/Risk ratio for this approach is: 2.71 | | Annualized Return on Investment (ROI): 55.94%, 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 0 times or 0.00% 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) 6 times or 10.53% of the time. | | An exit trigger was executed 51 times or 89.47% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 37 | 25 | 31 | 32 | 33 | 29 | | Losers: | 19 | 32 | 26 | 24 | 24 | 28 | | Win/Loss Ratio: | 1.95:1 | 0.78:1 | 1.19:1 | 1.33:1 | 1.38:1 | 1.04:1 | | Net Change: | 2.97% | 0.27% | 0.01% | 0.71% | 2.88% | -0.82% |
| Statistics By Variable: Match Price | | | <10 | <20 | <30 | <40 | <50 | <60 | <70 | <80 | <90 | <100 | | Completed | 13:3 | 5:3 | 8:2 | 3:5 | 4:3 | 0:3 | 4:0 | - | - | - | | 2 day chg | 7:9 | 3:6 | 6:4 | 4:4 | 2:5 | 0:3 | 3:1 | - | - | - | | 5 day chg | 9:7 | 3:6 | 8:2 | 5:3 | 3:4 | 0:3 | 3:1 | - | - | - | | 10 day chg | 12:4 | 4:5 | 6:3 | 3:5 | 3:4 | 0:3 | 4:0 | - | - | - | | 25 day chg | 10:6 | 6:3 | 5:5 | 4:4 | 5:2 | 0:3 | 3:1 | - | - | - | | 40 day chg | 9:7 | 5:4 | 6:4 | 3:5 | 3:4 | 0:3 | 3:1 | - | - | - |
| Statistics By Variable: Average Volume | | | <1000000 | <2.0M | <3.0M | <4.0M | <5.0M | <6.0M | <7.0M | <8.0M | <9.0M | <10.0M | | Completed | 30:15 | 5:2 | 1:1 | 0:1 | - | - | 1:0 | - | - | - | | 2 day chg | 21:25 | 4:3 | 0:2 | 0:1 | - | - | 0:1 | - | - | - | | 5 day chg | 28:18 | 2:5 | 1:1 | 0:1 | - | - | 0:1 | - | - | - | | 10 day chg | 27:18 | 4:3 | 1:1 | 0:1 | - | - | 0:1 | - | - | - | | 25 day chg | 27:19 | 5:2 | 1:1 | 0:1 | - | - | 0:1 | - | - | - | | 40 day chg | 26:20 | 3:4 | 0:2 | 0:1 | - | - | 0:1 | - | - | - |
|
|
builderer
13 posts
msg #44204
- Ignore builderer |
5/26/2006 9:21:10 AM
What would be regarded as performing well?
What perameters would you guys expect/need to support trading? I'm just looking for some referance points here. What is needed, what is realistic?
|