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| levamit 101 posts msg #105397 - Ignore levamit modified |
3/13/2012 3:53:31 AM Hi, Sorry, I forgot to delete the two last lines. Advanced Options Selection Method: select by volume descending Entry Price: open Conditional Entry: No Exit Price: open Maximum Trades Per Day: 2 Maximum Open Positions: 5 Maximum Selected Stocks: 2 And check it now. LA |
| tombrown1 61 posts msg #105412 - Ignore tombrown1 |
3/13/2012 3:26:48 PM New filter results: 11-12: 221% 10-11: 79% 9-10: 193% 8-9: 96% 7-8: 92% 6-7: 42% 5-6: 60% 4-5: 183% 3-4: 132% 2-3: 424% The filter was a little better before you added the last two lines. However, this most recent year is phenomenal at 221%. Very consistent. HOWEVER; if you stick your neck out a bit more and change the money management so that you are only holding 3 positions at a time you get these results: 11-12: 502% 10-11: 71% 9-10: 308% 8-9: 384% 7-8: 152% 6-7: 89% 5-6: 54% 4-5: 345% 3-4: 245% 2-3: 1012% Absolutely ridiculous numbers - but you have to put a third of your money into each stock. |
| levamit 101 posts msg #105517 - Ignore levamit modified |
3/19/2012 4:46:48 AM Hi, I just finished to writing 2% filter and the results are the best. The winning (%) is more than 75% for every year from 2002 until 2011. The entry rules are: Buy at price close in the next day after the filter is caught stocks. The Exit Rules are: Put sell order with limit 2% above entry price or holding max 3 days after the entry and sell at open. Exit Setup Stop Loss: N/A Profit Stop: 2% Trailing Stop Loss: N/A Minimum Holding Days: 1 Maximum holding days: 3 Advanced Options Selection Method: select by volume descending Entry Price: close Conditional Entry: No Exit Price: open Maximum Trades Per Day: 3 Maximum Open Positions: 5 Maximum Selected Stocks: 3 Close all OPEN positions: Yes Test started on 12/30/2009 ended on 12/30/2011, covering 505 days Filter used: 2% profit Trade Statistics There were 327 total stocks entered. Of those, 327 or 100.00% were complete and or 0.00% were open. Of the 327 completed trades, 277 trades or 84.71%resulted in a net gain. Your average net change for completed trades was: 1.24%. The average draw down of your approach was: -5.84%. The average max profit of your approach was: 7.22% The Reward/Risk ratio for this approach is: 2.05 Annualized Return on Investment (ROI): 209.80%, the ROI of ^SPX was: 5.74%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 270 times or 82.57% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 57 times or 17.43% of the time. An exit trigger was executed 0 times or 0.00% of the time. Test started on 12/31/2008 ended on 12/31/2010, covering 504 days Filter used: 2% Profit Trade Statistics There were 845 total stocks entered. Of those, 845 or 100.00% were complete and or 0.00% were open. Of the 845 completed trades, 691 trades or 81.78%resulted in a net gain. Your average net change for completed trades was: 1.31%. The average draw down of your approach was: -6.22%. The average max profit of your approach was: 7.53% The Reward/Risk ratio for this approach is: 1.99 Annualized Return on Investment (ROI): 216.30%, the ROI of ^SPX was: 20.20%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 672 times or 79.53% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 173 times or 20.47% of the time. An exit trigger was executed 0 times or 0.00% of the time. Test started on 12/31/2007 ended on 12/31/2009, covering 505 days Filter used: 2% Profit Trade Statistics There were 905 total stocks entered. Of those, 905 or 100.00% were complete and or 0.00% were open. Of the 905 completed trades, 720 trades or 79.56%resulted in a net gain. Your average net change for completed trades was: 1.16%. The average draw down of your approach was: -7.98%. The average max profit of your approach was: 8.86% The Reward/Risk ratio for this approach is: 1.63 Annualized Return on Investment (ROI): 190.25%, the ROI of ^SPX was: -11.94%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 703 times or 77.68% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 202 times or 22.32% of the time. An exit trigger was executed 0 times or 0.00% of the time Enjoy, LA |
| tombrown1 61 posts msg #105541 - Ignore tombrown1 |
3/19/2012 5:23:52 PM levamit, Thanks for the new system! I ran it through a bunch of tests, and I couldn't get it to do so well using your exits. I tried some different exits, and the best success I had was using this exit: RSI(2) > 55 or hold for 7 days (no profit stop) Also, I had better results using the following money management: Max trades/day - 2 Max open positions - 3 Max selected stocks - 2 So far the best system of yours I have found is this filter: Stocks are not OTCBB Bollinger Width Oscillator(5,2) below -50 in last day Lower Acceleration Band(5) dropped more than 3.5 Percent Lower Keltner Band(5)dropped more than 3 percent Day Position(0.5,1)below day position 2 days ago do not draw day position (-1.00,5) do not draw day position average Volume(4) > 120000 close > 1.20 IMI(4) below 9 with this exit: RSI(2) > 55 or hold 7 days with this money mangement: Max trades/day - 2 Max open positions - 3 Max selected stocks - 2 Thanks again for your contributions! Best, TB |
| Nickster8074 53 posts msg #105543 - Ignore Nickster8074 |
3/19/2012 8:51:44 PM Tom, how are you sorting the above resulting stocks, by volume descending or IMI(4) ascending? |
| tombrown1 61 posts msg #105544 - Ignore tombrown1 |
3/19/2012 10:27:54 PM Volume descending. |
| olathegolf 119 posts msg #105569 - Ignore olathegolf |
3/20/2012 11:04:12 PM Leavamit, Nice filter. I tweaked it a bit to include liquidity criteria over 3 time periods. Min $/day set at $5M for each period. There are fewer hits but returns are still very good. ......................................... Exit Setup Stop Loss: N/A Profit Stop: 2% Trailing Stop Loss: N/A Minimum Holding Days: 1 Maximum holding days: 3 Advanced Options Selection Method: select by volume descending Entry Price: close Conditional Entry: No Exit Price: open Maximum Trades Per Day: 3 Maximum Open Positions: 3 Maximum Selected Stocks: 3 Close all OPEN positions: Yes Test started on 12/31/2001 ended on 12/31/2003, covering 504 days Filter used: Trade Statistics There were 149 total stocks entered. Of those, 149 or 100.00% were complete and or 0.00% were open. Of the 149 completed trades, 128 trades or 85.91%resulted in a net gain. Your average net change for completed trades was: 2.27%. The average draw down of your approach was: -7.68%. The average max profit of your approach was: 9.63% The Reward/Risk ratio for this approach is: 4.12 Annualized Return on Investment (ROI): 409.14%, the ROI of ^SPX was: -2.07%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 128 times or 85.91% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 21 times or 14.09% of the time. An exit trigger was executed 0 times or 0.00% of the time. Test started on 12/31/2003 ended on 12/30/2005, covering 504 days Filter used: Trade Statistics There were 70 total stocks entered. Of those, 70 or 100.00% were complete and or 0.00% were open. Of the 70 completed trades, 57 trades or 81.43%resulted in a net gain. Your average net change for completed trades was: 0.93%. The average draw down of your approach was: -6.26%. The average max profit of your approach was: 6.54% The Reward/Risk ratio for this approach is: 1.86 Annualized Return on Investment (ROI): 149.70%, 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 56 times or 80.00% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 14 times or 20.00% of the time. An exit trigger was executed 0 times or 0.00% of the time. Test started on 12/30/2005 ended on 12/31/2007, covering 502 days Filter used: Trade Statistics There were 80 total stocks entered. Of those, 80 or 100.00% were complete and or 0.00% were open. Of the 80 completed trades, 63 trades or 78.75%resulted in a net gain. Your average net change for completed trades was: 1.79%. The average draw down of your approach was: -6.53%. The average max profit of your approach was: 8.82% The Reward/Risk ratio for this approach is: 2.80 Annualized Return on Investment (ROI): 295.02%, the ROI of ^SPX was: 8.39%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 62 times or 77.50% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 18 times or 22.50% of the time. An exit trigger was executed 0 times or 0.00% of the time. Test started on 12/28/2007 ended on 12/30/2009, covering 505 days Filter used: Trade Statistics There were 241 total stocks entered. Of those, 241 or 100.00% were complete and or 0.00% were open. Of the 241 completed trades, 191 trades or 79.25%resulted in a net gain. Your average net change for completed trades was: 1.94%. The average draw down of your approach was: -9.10%. The average max profit of your approach was: 9.84% The Reward/Risk ratio for this approach is: 2.26 Annualized Return on Investment (ROI): 317.32%, the ROI of ^SPX was: -11.68%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 187 times or 77.59% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 54 times or 22.41% of the time. An exit trigger was executed 0 times or 0.00% of the time. Test started on 12/31/2009 ended on 12/30/2011, covering 504 days Filter used: Trade Statistics There were 152 total stocks entered. Of those, 152 or 100.00% were complete and or 0.00% were open. Of the 152 completed trades, 127 trades or 83.55%resulted in a net gain. Your average net change for completed trades was: 1.46%. The average draw down of your approach was: -6.24%. The average max profit of your approach was: 7.85% The Reward/Risk ratio for this approach is: 2.27 Annualized Return on Investment (ROI): 245.13%, the ROI of ^SPX was: 5.70%. Exit Statistics Stop Loss was triggered 0 times or 0.00% of the time. Stop Profit was triggered 122 times or 80.26% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (3 days) 30 times or 19.74% of the time. An exit trigger was executed 0 times or 0.00% of the time. |
| teoteoVN 9 posts msg #105574 - Ignore teoteoVN |
3/21/2012 8:05:02 AM any one try to run this from 8/7/2011 to 7/10/2011. still need a way to protect this from crashing market. |
| levamit 101 posts msg #105575 - Ignore levamit |
3/21/2012 8:58:10 AM Hello Teo, The timing to jump in to the market will be always a problem. All you need is to put some orders and to work like machine without any emotions, The system is winning most of times and sometimes you will be on the up side and sometimes on down side. Nobody can tell you what going to be on the next day. But if you have a winning strategy and you working side by side with your plan you can find that even in bad days most of times you make money. Work with you plan and your strategy and stick to it!! to make money. Regards, LA |
| teoteoVN 9 posts msg #105580 - Ignore teoteoVN modified |
3/21/2012 10:41:52 AM Thank you very much LA. I try to understand more about the methodology rather than the filter iself. This is a very good filter with very good result in back test. - it is a surprise for me to see the result of 2 years about > 400% but a period is -50%. in real trading if you lost 50% of you fund, it is hard to continue I guess. - most of the big winner is penny stock of big company that suffered from unreasonable drop like: LVS, AIG.. which is Buffer investing way: buy big company with good balance sheet but dropped like BP. - the good think about this filter is most of the big drop somehow will get recovered within 2-3 days that explains why we have a lot of 2-10% win. I tried this with 7% stoploss, 2 day holding and it gives good result less risk. even with 2% stoploss it still profitable. This makes me feel like fishing, you may not get any fish for a few days, but you will get small fish every day, and some day you get big one :) |
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