StockFetcher Forums · Filter Exchange · Volume Rebounder ... 77% Win Rate, 52% RIO<< 1 2 3 >>Post Follow-up
rtucker
318 posts
msg #43299
- Ignore rtucker
modified		 4/29/2006 11:48:14 AM

s
__fetcheruser123
msg #43302
- Ignore __fetcheruser123		 4/29/2006 11:55:36 AM

Here it is with a 2 day hold, no profit stop, and a 5% stop loss.

Approach Information
Approach Name: Hollygrail -- ATR & Volume
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
Hollygrail -- ATR & Volume (saved filter)

Trade Statistics
There were 191 total stocks entered. Of those, 191 or 100.00% were complete and or 0.00% were open.
Of the 191 completed trades, 80 trades or 41.88%resulted in a net gain.
Your average net change for completed trades was: 2.38%.
The average draw down of your approach was: -8.86%.
The average max profit of your approach was: 12.49%
The Reward/Risk ratio for this approach is: 1.53
Annualized Return on Investment (ROI): 376.85%, the ROI of ^SPX was: 6.12%.

Exit Statistics
Stop Loss was triggered 84 times or 43.98% 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 (2 days) 107 times or 56.02% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:8097102979897
Losers:1098484919294
Win/Loss Ratio:0.73:11.16:11.21:11.07:11.06:11.03:1
Net Change:2.38%2.30%3.79%2.29%1.58%1.17%

Statistics By Variable: Match Price
 <0.9<1.05<1.2<1.35<1.5<1.65<1.8<1.95<2.1<2.25
Completed1:319:1314:89:236:1710:157:1714:120:1-
2 day chg2:121:1115:510:198:1315:1110:1415:101:0-
5 day chg3:121:1117:512:209:1314:1111:1214:111:0-
10 day chg3:118:1415:711:2011:1211:1512:1215:101:0-
25 day chg3:118:1416:615:1810:1312:149:1415:110:1-
40 day chg0:419:1316:615:187:1611:1512:1217:90:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed70:776:200:20:30:10:33:01:20:1-
2 day chg83:5910:130:20:30:10:33:01:20:1-
5 day chg86:5812:140:20:30:11:23:00:30:1-
10 day chg84:6210:160:20:30:11:21:21:20:1-
25 day chg86:639:160:20:30:11:21:21:20:1-
40 day chg82:6711:150:20:30:11:21:21:21:0-
__fetcheruser123
msg #43303
- Ignore __fetcheruser123		 4/29/2006 11:57:06 AM

And, here it is with a 10% stop loss.

Approach Information
Approach Name: Hollygrail -- ATR & Volume
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
Hollygrail -- ATR & Volume (saved filter)

Trade Statistics
There were 191 total stocks entered. Of those, 191 or 100.00% were complete and or 0.00% were open.
Of the 191 completed trades, 90 trades or 47.12%resulted in a net gain.
Your average net change for completed trades was: 2.42%.
The average draw down of your approach was: -8.86%.
The average max profit of your approach was: 12.49%
The Reward/Risk ratio for this approach is: 1.50
Annualized Return on Investment (ROI): 338.71%, the ROI of ^SPX was: 6.12%.

Exit Statistics
Stop Loss was triggered 45 times or 23.56% 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 (2 days) 146 times or 76.44% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:9097102979897
Losers:988484919294
Win/Loss Ratio:0.92:11.16:11.21:11.07:11.06:11.03:1
Net Change:2.42%2.30%3.79%2.29%1.58%1.17%

Statistics By Variable: Match Price
 <0.9<1.05<1.2<1.35<1.5<1.65<1.8<1.95<2.1<2.25
Completed2:220:1214:810:2210:1310:159:1414:121:0-
2 day chg2:121:1115:510:198:1315:1110:1415:101:0-
5 day chg3:121:1117:512:209:1314:1111:1214:111:0-
10 day chg3:118:1415:711:2011:1211:1512:1215:101:0-
25 day chg3:118:1416:615:1810:1312:149:1415:110:1-
40 day chg0:419:1316:615:187:1611:1512:1217:90:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed77:708:170:20:30:10:33:01:21:0-
2 day chg83:5910:130:20:30:10:33:01:20:1-
5 day chg86:5812:140:20:30:11:23:00:30:1-
10 day chg84:6210:160:20:30:11:21:21:20:1-
25 day chg86:639:160:20:30:11:21:21:20:1-
40 day chg82:6711:150:20:30:11:21:21:21:0-
__fetcheruser123
msg #43304
- Ignore __fetcheruser123		 4/29/2006 12:01:10 PM

And, just for fun, here is 2 day min/max hold with a 2% profit stop...

543% ROI. :)

Approach Information
Approach Name: Hollygrail -- ATR & Volume
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
Hollygrail -- ATR & Volume (saved filter)

Trade Statistics
There were 191 total stocks entered. Of those, 191 or 100.00% were complete and or 0.00% were open.
Of the 191 completed trades, 131 trades or 68.59%resulted in a net gain.
Your average net change for completed trades was: 2.98%.
The average draw down of your approach was: -8.86%.
The average max profit of your approach was: 12.49%
The Reward/Risk ratio for this approach is: 1.87
Annualized Return on Investment (ROI): 543.05%, 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 123 times or 64.40% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (2 days) 68 times or 35.60% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:13197102979897
Losers:588484919294
Win/Loss Ratio:2.26:11.16:11.21:11.07:11.06:11.03:1
Net Change:2.98%2.30%3.79%2.29%1.58%1.17%

Statistics By Variable: Match Price
 <0.9<1.05<1.2<1.35<1.5<1.65<1.8<1.95<2.1<2.25
Completed3:123:918:319:1417:617:916:717:91:0-
2 day chg2:121:1115:510:198:1315:1110:1415:101:0-
5 day chg3:121:1117:512:209:1314:1111:1214:111:0-
10 day chg3:118:1415:711:2011:1211:1512:1215:101:0-
25 day chg3:118:1416:615:1810:1312:149:1415:110:1-
40 day chg0:419:1316:615:187:1611:1512:1217:90:1-

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed109:3916:90:20:31:00:33:01:21:0-
2 day chg83:5910:130:20:30:10:33:01:20:1-
5 day chg86:5812:140:20:30:11:23:00:30:1-
10 day chg84:6210:160:20:30:11:21:21:20:1-
25 day chg86:639:160:20:30:11:21:21:20:1-
40 day chg82:6711:150:20:30:11:21:21:21:0-
__fetcheruser123
msg #43306
- Ignore __fetcheruser123		 4/29/2006 12:08:31 PM

I notice most of the positive trades were done below 2 mil average volume. So, here are the results of a 2 day min/max hold, 2% profit stop, and a 2 mil max avg volume. 77% Win Rate, 724% ROI... That's pretty damn good IMO. :)



Approach Information
Approach Name: Hollygrail -- ATR & Volume
Test started on 12/31/2003 ended on 12/30/2005, covering 504 days
Filter used:
Hollygrail -- ATR & Volume (saved filter)

Trade Statistics
There were 169 total stocks entered. Of those, 169 or 100.00% were complete and or 0.00% were open.
Of the 169 completed trades, 120 trades or 71.01%resulted in a net gain.
Your average net change for completed trades was: 3.90%.
The average draw down of your approach was: -8.04%.
The average max profit of your approach was: 13.08%
The Reward/Risk ratio for this approach is: 2.27
Annualized Return on Investment (ROI): 724.29%, 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 113 times or 66.86% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (2 days) 56 times or 33.14% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:1209294939390
Losers:486970737579
Win/Loss Ratio:2.50:11.33:11.34:11.27:11.24:11.14:1
Net Change:3.90%3.29%5.04%5.40%5.20%4.87%

Statistics By Variable: Match Price
 <0.9<1.05<1.2<1.35<1.5<1.65<1.8<1.95<2.1<2.25
Completed3:022:717:317:1013:616:815:716:71:0-
2 day chg2:020:915:59:147:1114:1010:1214:81:0-
5 day chg3:020:916:511:157:1113:1010:1113:91:0-
10 day chg3:018:1114:710:1511:811:1312:1013:91:0-
25 day chg3:017:1215:614:1310:912:129:1213:100:1-
40 day chg0:318:1115:614:137:1211:1310:1215:80:1-

Statistics By Variable: Average Volume
 <1000000<2.0M<3.0M<4.0M<5.0M<6.0M<7.0M<8.0M<9.0M<10.0M
Completed83:3226:611:70:2-0:1----
2 day chg63:4720:119:80:2-0:1----
5 day chg67:4519:127:111:1-0:1----
10 day chg66:4718:148:101:1-0:1----
25 day chg64:5221:117:101:1-0:1----
40 day chg64:5217:159:90:2-0:1----
rtucker
318 posts
msg #43316
- Ignore rtucker
modified		 4/29/2006 1:12:39 PM

s
rtucker
318 posts
msg #43323
- Ignore rtucker
modified		 4/29/2006 3:21:28 PM

s
__fetcheruser123
msg #43334
- Ignore __fetcheruser123		 4/29/2006 4:58:20 PM

Why do you say the backtest machine isn't handling this right?
__fetcheruser123
msg #43340
- Ignore __fetcheruser123		 4/29/2006 5:24:55 PM

There were a lot of times when the price would gap up 15% or 20% after a day or two. This is where the 2% profit stop came in handy; instead of waiting for the day to finish (and taking profits at close) or for a 10% stop loss to hit, the 2% stop loss hit at those high openings. If you want, I can send you the trades via e-mail for you to look at.


__fetcheruser123
msg #43341
- Ignore __fetcheruser123		 4/29/2006 5:26:00 PM

I meant to say: "the 2% profit stop hit at those high openings"
StockFetcher Forums · Filter Exchange · Volume Rebounder ... 77% Win Rate, 52% RIO<< 1 2 3 >>Post Follow-up

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