rtucker
318 posts
msg #43342
- Ignore rtucker
modified |
4/29/2006 5:53:42 PM
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__fetcheruser123
msg #43343
- Ignore __fetcheruser123
modified |
4/29/2006 6:37:32 PM
No no, there is a gap up a day or two *after* you bought... Understand? You buy at open the day after the signal, the day goes by, the next day comes (maybe gapping up), the next day comes (maybe gaping up), your 2% profit stop is hit. Look at the trades. The backtest doesn't always hold the stock the full two days. It holds it at least one day (the day of purchase, the day after the trigger), and then sells it the following day if the 2% profit stop is hit, or holds it for another day if the 2% profit stop hasn't hit yet. It's a little fishy, but consistent. Look at the trades.
Keep in mind we're dealing with volatile stocks in the $1 to $2 price range. 15% shifts are not unusual.
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__fetcheruser123
msg #43346
- Ignore __fetcheruser123 |
4/29/2006 6:40:39 PM
Here are the results from 4/28/04 to 4/28/06. Still a fairly consistent ROI and win rate.
| Approach Information | | Approach Name: Hollygrail -- ATR & Volume | | Test started on 04/28/2004 ended on 04/28/2006, covering 504 days | | Filter used: | | Hollygrail -- ATR & Volume (saved filter) |
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| Trade Statistics | | There were 177 total stocks entered. Of those, 176 or 99.44% were complete and 1 or 0.56% were open. | | Of the 176 completed trades, 122 trades or 69.32%resulted in a net gain. | | Your average net change for completed trades was: 3.50%. | | The average draw down of your approach was: -8.27%. | | The average max profit of your approach was: 12.99% | | The Reward/Risk ratio for this approach is: 2.06 | | Annualized Return on Investment (ROI): 640.20%, the ROI of ^SPX was: 7.43%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 114 times or 64.77% 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) 62 times or 35.23% 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: | 122 | 94 | 93 | 94 | 92 | 86 | | Losers: | 53 | 75 | 78 | 76 | 74 | 79 | | Win/Loss Ratio: | 2.30:1 | 1.25:1 | 1.19:1 | 1.24:1 | 1.24:1 | 1.09:1 | | Net Change: | 3.50% | 3.19% | 4.26% | 4.82% | 5.42% | 3.95% |
| 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 | | Completed | 2:0 | 21:9 | 20:4 | 19:11 | 17:5 | 16:9 | 13:7 | 13:8 | 1:0 | - | | 2 day chg | 1:0 | 19:11 | 19:6 | 11:15 | 10:11 | 14:11 | 9:11 | 10:10 | 1:0 | - | | 5 day chg | 2:0 | 19:10 | 17:8 | 12:17 | 9:12 | 13:12 | 10:9 | 10:10 | 1:0 | - | | 10 day chg | 2:0 | 18:12 | 15:10 | 11:16 | 13:8 | 11:14 | 12:8 | 11:8 | 1:0 | - | | 25 day chg | 2:0 | 15:13 | 17:7 | 14:14 | 10:10 | 13:11 | 10:9 | 11:9 | 0:1 | - | | 40 day chg | 0:2 | 15:13 | 16:7 | 14:14 | 7:13 | 10:13 | 11:9 | 13:7 | 0:1 | - |
| 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 | 87:36 | 24:5 | 11:9 | 0:2 | - | 0:1 | - | - | - | - | | 2 day chg | 64:54 | 20:9 | 10:9 | 0:2 | - | 0:1 | - | - | - | - | | 5 day chg | 66:54 | 16:12 | 10:10 | 1:1 | - | 0:1 | - | - | - | - | | 10 day chg | 68:52 | 17:11 | 8:11 | 1:1 | - | 0:1 | - | - | - | - | | 25 day chg | 61:56 | 21:7 | 9:9 | 1:1 | - | 0:1 | - | - | - | - | | 40 day chg | 61:55 | 17:11 | 8:10 | 0:2 | - | 0:1 | - | - | - | - |
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__fetcheruser123
msg #43347
- Ignore __fetcheruser123 |
4/29/2006 6:42:23 PM
And, here they are from 4/28/02 to 4/28/04.
| Approach Information | | Approach Name: Hollygrail -- ATR & Volume | | Test started on 04/26/2002 ended on 04/28/2004, covering 505 days | | Filter used: | | Hollygrail -- ATR & Volume (saved filter) |
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| Trade Statistics | | There were 156 total stocks entered. Of those, 156 or 100.00% were complete and or 0.00% were open. | | Of the 156 completed trades, 114 trades or 73.08%resulted in a net gain. | | Your average net change for completed trades was: 2.89%. | | The average draw down of your approach was: -8.15%. | | The average max profit of your approach was: 12.32% | | The Reward/Risk ratio for this approach is: 1.96 | | Annualized Return on Investment (ROI): 549.30%, the ROI of ^SPX was: 1.39%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 109 times or 69.87% 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) 47 times or 30.13% 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: | 114 | 84 | 83 | 93 | 91 | 89 | | Losers: | 41 | 67 | 69 | 59 | 62 | 65 | | Win/Loss Ratio: | 2.78:1 | 1.25:1 | 1.20:1 | 1.58:1 | 1.47:1 | 1.37:1 | | Net Change: | 2.89% | 2.67% | 4.52% | 8.12% | 13.74% | 24.06% |
| Statistics By Variable: Match Price | | | <0.4 | <0.6 | <0.8 | <1 | <1.2 | <1.4 | <1.6 | <1.8 | <2 | <2.2 | | Completed | 1:0 | - | - | 8:5 | 24:7 | 31:10 | 13:12 | 22:4 | 15:3 | - | | 2 day chg | 1:0 | - | - | 6:7 | 16:15 | 22:17 | 12:13 | 16:8 | 11:7 | - | | 5 day chg | 1:0 | - | - | 7:5 | 16:15 | 27:13 | 10:14 | 14:12 | 8:10 | - | | 10 day chg | 1:0 | - | - | 9:4 | 17:14 | 22:17 | 15:9 | 18:8 | 11:7 | - | | 25 day chg | 1:0 | - | - | 10:3 | 21:10 | 23:17 | 9:15 | 15:11 | 12:6 | - | | 40 day chg | 1:0 | - | - | 7:6 | 20:11 | 23:19 | 9:15 | 17:8 | 12:6 | - |
| Statistics By Variable: Average Volume | | | <400000 | <800000 | <1.2M | <1.6M | <2.0M | <2.4M | <2.8M | <3.2M | <3.6M | <4.0M | | Completed | 25:7 | 37:12 | 25:13 | 10:2 | 5:4 | 2:1 | 6:0 | 1:1 | 1:1 | 2:0 | | 2 day chg | 22:10 | 27:19 | 15:23 | 8:4 | 3:6 | 1:1 | 4:2 | 1:1 | 1:1 | 2:0 | | 5 day chg | 19:12 | 24:24 | 18:19 | 7:5 | 7:2 | 2:1 | 3:3 | 1:1 | 1:1 | 1:1 | | 10 day chg | 20:12 | 28:19 | 21:16 | 8:4 | 8:1 | 2:1 | 4:2 | 0:2 | 1:1 | 1:1 | | 25 day chg | 19:13 | 28:20 | 19:19 | 8:4 | 6:2 | 3:0 | 5:2 | 0:1 | 2:0 | 1:1 | | 40 day chg | 19:13 | 25:24 | 22:15 | 7:5 | 5:4 | 2:0 | 5:2 | 1:1 | 2:0 | 1:1 |
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__fetcheruser123
msg #43348
- Ignore __fetcheruser123
modified |
4/29/2006 6:48:09 PM
The lowest win rate was 69%, with the average being 73%.
The lowest ROI was 549%, with the average being 637%.
Seems reasonable when you take into consideration compound interest and no trade costs.
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rtucker
318 posts
msg #43350
- Ignore rtucker
modified |
4/29/2006 8:02:03 PM
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__fetcheruser123
msg #43353
- Ignore __fetcheruser123 |
4/29/2006 10:07:45 PM
rtucker,
By "signal" I mean when the filter returns stock(s) that fit it's criteria.
Like I said, compound interest and trade costs come into play with the win rate and 600% ROI, as does market conditions, etc. Of course I don't think I can match those numbers exactly. The point I'm trying to make is that this is a strong filter with much potential when being used in this format, comparatively moreso than the fashion in which you suggested. But, this is just my opinion, based on what I've seen... What else do I have to base my opinion? I'm not trying to argue with you or prove that I'm "righter", I'd just like to see us both reach our money making potential. ;)
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rtucker
318 posts
msg #43356
- Ignore rtucker
modified |
4/30/2006 12:18:53 AM
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