levamit
101 posts
msg #105604
- Ignore levamit |
3/22/2012 5:43:26 PM
Hi Tesla,
If did you mean to 2% filter use this criteria to exit :
Exit Setup
Stop Loss: N/A
Profit Stop: 2%
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3
LA
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Nickster8074
53 posts
msg #105606
- Ignore Nickster8074 |
3/22/2012 6:20:08 PM
Also, percentage of winners is less important than the Equity Summary (At the top of the backtest summary page). 51% winners aren't bad if winners average 10% gain and losers average 5% loss.
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tombrown1
61 posts
msg #105609
- Ignore tombrown1 |
3/22/2012 8:14:48 PM
The last year's backtest I ran returned about 62% winners.
There is an interesting bug when testing systems with a profit stop when you buy at the close. Yes, it does include the day that you bought when it considers the profit stop. I spent about an hour with an "unbelievable" system until I realized this bug. So even if you like levamit's 2% profit stop system, I don't think any of the results can be trusted.
The best way to trade this method (that I've found so far) is with a 7 day hold or RSI(2) > 55. Levamit's suggestion to simply hold for 3 days no matter what also does quite well.
TB
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tombrown1
61 posts
msg #105610
- Ignore tombrown1 |
3/22/2012 8:26:05 PM
olathegolf,
I like your idea with the liquidity, but I had to stop backtesting when I did 08-09 because it lost about 45% for the year I tested (March to March) - and any system I test that has a single losing year I have to discard right away. I'll try to do some messing with liquidity myself, but it may take awhile to find the time.
Best,
Tom
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levamit
101 posts
msg #105612
- Ignore levamit |
3/22/2012 9:03:04 PM
Hello Tom,
"There is an interesting bug when testing systems with a profit stop when you buy at the close. Yes, it does include the day that you bought when it considers the profit stop"
I didn't think that because when you add "Minimum Holding Days: 1 "this bug Disappeared !!.
Check it out.
LA
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tennisplayer2
210 posts
msg #105614
- Ignore tennisplayer2 |
3/22/2012 10:58:30 PM
First off, I like to thank Levmit and Tom for their work on this filter. I am planning to start live trading this on Monday. Correct me if I am wrong. The strategy is to buy the stock near the close on the next day the stock is listed. Tom's exit is 7 days or RSI(2), which ever comes first with no profit stops or losses. Levamit's exit is 3 days or 2% profit stop with no profit loss. Is the correct and thanks again?
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levamit
101 posts
msg #105622
- Ignore levamit
modified |
3/23/2012 9:44:03 AM
Hi Player2:
3/7 days filter without any stop loss buy at open next day and sell at open or RSI(2) > 55 within 3/7 days Max holding .
and for 2% profit buy at close next day with sell limit order 2% above entry price , holding 3 days Max and sell at open.
Tom correct me if I'm wrong,
And good luck to all !!
LA
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bkhurana43
103 posts
msg #105625
- Ignore bkhurana43 |
3/23/2012 10:33:09 AM
Hi Levamit,
Using your today's posting of Filter (3/7days) this morning I have two stocks PLUG and KITD at around 10:15AM, What would have been your play based on information available thru the chart ? Please describe with some details.
Bob
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tennisplayer2
210 posts
msg #105631
- Ignore tennisplayer2 |
3/23/2012 3:13:25 PM
Levamit, Thanks for this post and others.
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levamit
101 posts
msg #105632
- Ignore levamit
modified |
3/23/2012 3:25:15 PM
HI bkhurana43,
Entry need to be at monday morning.
For 3/7 days.
I try to catch the shares that fell deep low and I noticed that a strong correction for 3 days.
I can not always catch them in the deep low, so Tom Recommend to hold seven days or RSI(2) > 55.
So sometimes you will see after you get out from the position couple of dates later the stock rose strongly.
LA
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