dangrzywacz
7 posts
msg #105587
- Ignore dangrzywacz |
3/21/2012 4:17:18 PM
is anyone trading this live? or in simulation? curious your results/thoughts?
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Nickster8074
53 posts
msg #105588
- Ignore Nickster8074 |
3/21/2012 7:27:55 PM
I'm trading it live and I've been very happy with my returns. As levamit stated, you can't time the market and you must trade this system like a machine. I find tombrown's exit strategy of 7 days or RSI(2) > 55 to be most profitable in backtesting. People may be a little anxious only holding 3 stocks, as Tom suggests to do, because just a few pennies in the down direction makes a dramatic impact on your bottom line. You may increase your positions to 5 to help insulate downside risk, but your returns may suffer compared to 3 stock holding. Also, I'd discourage a stop loss on this strategy. Most recently, a stop loss would have killed my return on AMPE. I bought in on 3/14 and immediately got 2 consecutive days of 5% losses. On the 3rd day, the stock spiked 42% and was as high as 60% intraday. These are the kind of stocks you find with this system, you've just got to have the stomach for the bumps in the road.
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tombrown1
61 posts
msg #105589
- Ignore tombrown1 |
3/21/2012 7:45:02 PM
I'm trading it live. Currently I'm trading half our account with this system and half of the account with another system - so only 1/6 of our account is in a stock at one time from this method. Been happy with it so far. Backtest result are unbelievable, but they don't count commissions and slippage, so I'm curious to see how it does in real life. I think there's a big enough margin for error in the backtests that commissions/slippage shouldn't be a huge issue though.
I also love that you guys are trying to find a workable filter for larger cap stocks. I'm going to start doing some work on that front soon as well.
Best,
TB
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scott111552
173 posts
msg #105590
- Ignore scott111552 |
3/21/2012 8:47:44 PM
Which version of the filter is everyone using?? Thanks!!
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Nickster8074
53 posts
msg #105592
- Ignore Nickster8074 |
3/21/2012 10:19:05 PM
Initially, I was using levamit's original filter and adding the line "RSI(2) < 1" and sorting by IMI(4) ascending. I'd buy at open, sell at open. 3 day hold. 2 stocks max per day. 5 stocks max for my portfolio. No stop loss. Big winners within the last two weeks include: JKS and AMPE. Upon tombrown's recent work, I'm going back to the original filter, selected by volume descending. 2 stocks per day, 3 day hold. Exits will be 7 day hold or RSI(2) > 55, whichever comes first. Not only does this backtest better than the filter I was using, I place fewer trades and pay less in commissions. A word of advice, look into optionshouse.com for trading. $3.95 flat rate trades, no matter the volume. Dealing in these lower priced stocks, once you move into the thousands in trading volume per trade, IB or Tradestation's commissions start cutting into your bottom line. Also, regarding slippage, I wouldn't be too concerned. In live trading, 50% of the time, you'll get a price at or below the open. 50% of the time, you'll get a price above. It's a wash.
On a side note, a big thanks to both levamit and tombrown. Your work on this forum has been enlightening, keep up the great work!
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Tesla
7 posts
msg #105593
- Ignore Tesla |
3/22/2012 1:23:55 AM
I looked at his filter, tweaked it, and got a an extremely good back test :
3/22/2012 3/19/2010 3/21/2012 93% 7% 14.21:1 8.41 1804.90%
Test started on 03/19/2010 ended on 03/21/2012, covering 506 day
Trade Statistics
There were 2185 total stocks entered. Of those, 2183 or 99.91% were complete and 2 or 0.09% were open.
Of the 2183 completed trades, 2032 trades or 93.08%resulted in a net gain.
Your average net change for completed trades was: 3.24%.
The average draw down of your approach was: -5.03%.
The average max profit of your approach was: 6.22%
The Reward/Risk ratio for this approach is: 8.41
Annualized Return on Investment (ROI): 1804.90%, the ROI of ^SPX was: 9.88%.
BUT!!! here's the problem. The 2% profit stop (stockfetcher buys $400 on each trade). that would be $8. If you have a deep discount broker and you pay $4 per trade ($8 round trip), there goes your profit.
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Tesla
7 posts
msg #105595
- Ignore Tesla
modified |
3/22/2012 1:54:16 AM
Another thing about this filter. There is a giltch in SF. It sometimes will buy the stock at the closing price (day after trigger) but then sell it at 2% profit on the same day. Which of course is impossible. Since you are buying at the end of the day, but selling it intraday before you even bought it. If you look at the charts of the individual trades you will see this sometimes.
BTW, I am not knocking this filter... it is a great idea... awesome work.
Just pointing out some flaws and reason why it would be hard to trade in the real world.
If you could get this to work by tweaking, it would be perfect to auto-trade using software such as Tradestation to make all your trades automatically based on your entry and exit triggers.
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levamit
101 posts
msg #105596
- Ignore levamit |
3/22/2012 3:32:49 AM
Hello Tesla,
Change the Exit Setup to :
Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3
And run the backtest again,
Regards,
LA
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Nickster8074
53 posts
msg #105598
- Ignore Nickster8074 |
3/22/2012 8:14:30 AM
And Tesla, be sure to select 2 stocks per day, 3 or 5 stocks maximum holdings.
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Tesla
7 posts
msg #105601
- Ignore Tesla
modified |
3/22/2012 12:41:28 PM
Thanks for the responses guys.
When I back test it with those parameters I'm only getting 51% winners. Not sure if I am doing something wrong.
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