heyen
124 posts
msg #45392
- Ignore heyen |
6/30/2006 12:15:55 PM
Trading is not everything, you also need a bit of luck!
;-p
| Approach Information | | Approach Name: Mega-Test | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | Open between 2 and 5
and average volume(90) above 750000
and market is nasdaq
and RSI(2) decreasing 1 day |
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| Trade Statistics | | There were 504 total stocks entered. Of those, 503 or 99.80% were complete and 1 or 0.20% were open. | | Of the 503 completed trades, 447 trades or 88.87%resulted in a net gain. | | Your average net change for completed trades was: 4.40%. | | The average draw down of your approach was: 0.00%. | | The average max profit of your approach was: 7.62% | | The Reward/Risk ratio for this approach is: 25.89 | | Annualized Return on Investment (ROI): 1087.58%, 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 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 (1 days) 503 times or 100.00% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 1 day chg | 2 day chg | 3 day chg | 4 day chg | 5 day chg | | Winners: | 447 | 482 | 383 | 359 | 353 | 343 | | Losers: | 37 | 0 | 104 | 130 | 137 | 152 | | Win/Loss Ratio: | 12.08:1 | 0.00:1 | 3.68:1 | 2.76:1 | 2.58:1 | 2.26:1 | | Net Change: | 4.40% | 4.06% | 4.31% | 4.52% | 4.62% | 4.28% |
| Statistics By Variable: Match Price | | | <2 | <2.4 | <2.8 | <3.2 | <3.6 | <4 | <4.4 | <4.8 | <5.2 | <5.6 | | Completed | 26:0 | 93:10 | 56:4 | 59:5 | 56:1 | 59:8 | 46:5 | 46:4 | 6:0 | - | | 1 day chg | 26:0 | 106:0 | 63:0 | 60:0 | 55:0 | 66:0 | 51:0 | 49:0 | 6:0 | - | | 2 day chg | 20:7 | 88:18 | 48:16 | 49:14 | 47:9 | 50:17 | 42:11 | 38:9 | 1:3 | - | | 3 day chg | 18:6 | 80:26 | 47:18 | 41:20 | 41:16 | 51:17 | 42:12 | 37:11 | 2:4 | - | | 4 day chg | 17:9 | 82:23 | 45:20 | 42:22 | 41:15 | 52:16 | 37:16 | 35:12 | 2:4 | - | | 5 day chg | 17:10 | 81:24 | 44:21 | 40:23 | 37:18 | 54:15 | 37:17 | 31:20 | 2:4 | - |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 416:35 | 19:0 | 3:0 | 3:0 | 5:2 | - | - | 1:0 | - | - | | 1 day chg | 449:0 | 20:0 | 3:0 | 3:0 | 6:0 | - | - | 1:0 | - | - | | 2 day chg | 358:97 | 14:4 | 2:1 | 3:0 | 5:2 | - | - | 1:0 | - | - | | 3 day chg | 336:120 | 13:7 | 1:1 | 3:0 | 5:2 | - | - | 1:0 | - | - | | 4 day chg | 328:130 | 16:2 | 2:1 | 3:0 | 3:4 | - | - | 1:0 | - | - | | 5 day chg | 319:143 | 18:2 | 1:1 | 3:0 | 1:6 | - | - | 1:0 | - | - |
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traderblues
195 posts
msg #45394
- Ignore traderblues |
6/30/2006 2:03:31 PM
heyen,
So it looks like you only trade 1 stock per day. How are you sorting (i.e. what gets put at the top of the list)?
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traderblues
195 posts
msg #45395
- Ignore traderblues
modified |
6/30/2006 2:21:20 PM
OK, never mind, I figured it out. Have you ever actually tried to trade using this conditional entry? I've paper traded some of my filters using the conditional entry, but my results were not even close to the backtested results.
If it were this easy, you are the keeper of the Grail.
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heyen
124 posts
msg #45396
- Ignore heyen |
6/30/2006 3:03:13 PM
I am!
Told you - its luck, not trading.
:-)
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waldo1323
14 posts
msg #45405
- Ignore waldo1323 |
6/30/2006 10:34:10 PM
so is that the total formula for the scan?
Open between 2 and 5
and average volume(90) above 750000
and market is nasdaq
and RSI(2) decreasing 1 day
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guru_trader
485 posts
msg #45408
- Ignore guru_trader |
7/1/2006 1:41:56 AM
waldo, you will learn that some of the best filters are the simplest ... take some time to read through these threads, it will be worth it
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peaking67
22 posts
msg #45409
- Ignore peaking67 |
7/1/2006 2:18:56 AM
I'm relatively new to SF. So what stocks DO get put to the top of the list?
And what needs to happen for you to enter a trade based on your filter?
Thnx, Sid
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Aktienfahnder
36 posts
msg #45439
- Ignore Aktienfahnder |
7/3/2006 7:37:26 AM
Respekt Heyen - hast Du von mir gelernt... ;-)
A really good approach - and yes, maybe the holy grail. But, how long will it hold?
Greetings,
Der Aktienfahnder
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traderblues
195 posts
msg #45442
- Ignore traderblues |
7/3/2006 3:00:01 PM
heyen,
How 'bout this one? I allowed up to 3 trades per day, and used a 10% profit stop. Today it would have bought ANDS at $3.02, and it closed at $3.30.
BJS
| Approach Information | | Approach Name: RSI(2) 3-a-Day | | Test started on 12/31/2002 ended on 12/31/2004, covering 504 days | | Filter used: | set{vvv,atr(20)/close}
Open between 1 and 8
and average volume(20) above 500000
and vvv above .1
and market is nasdaq
and RSI(2) decreasing 2 days
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| Trade Statistics | | There were 922 total stocks entered. Of those, 921 or 99.89% were complete and 1 or 0.11% were open. | | Of the 921 completed trades, 883 trades or 95.87%resulted in a net gain. | | Your average net change for completed trades was: 6.94%. | | The average draw down of your approach was: -1.84%. | | The average max profit of your approach was: 9.18% | | The Reward/Risk ratio for this approach is: 103.57 | | Annualized Return on Investment (ROI): 2599.87%, the ROI of ^SPX was: 18.53%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 314 times or 34.09% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (1 days) 607 times or 65.91% 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: | 883 | 815 | 676 | 628 | 580 | 580 | | Losers: | 32 | 97 | 240 | 285 | 339 | 339 | | Win/Loss Ratio: | 27.59:1 | 8.40:1 | 2.82:1 | 2.20:1 | 1.71:1 | 1.71:1 | | Net Change: | 6.94% | 7.27% | 8.85% | 10.67% | 14.14% | 19.07% |
| Statistics By Variable: Match Price | | | <1 | <2 | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | | Completed | 12:0 | 252:6 | 225:8 | 124:8 | 86:4 | 87:6 | 66:0 | 31:0 | - | - | | 2 day chg | 11:1 | 243:15 | 208:23 | 116:16 | 70:18 | 81:13 | 60:6 | 26:5 | - | - | | 5 day chg | 8:3 | 203:53 | 170:65 | 97:36 | 60:29 | 66:29 | 51:15 | 21:10 | - | - | | 10 day chg | 7:5 | 183:72 | 161:72 | 94:38 | 53:37 | 65:29 | 46:20 | 19:12 | - | - | | 25 day chg | 8:4 | 171:87 | 144:91 | 88:44 | 50:40 | 58:37 | 39:26 | 22:10 | - | - | | 40 day chg | 8:4 | 181:75 | 132:103 | 82:51 | 47:43 | 64:31 | 47:19 | 19:13 | - | - |
| Statistics By Variable: Average Volume | | | <15.0M | <30.0M | <45.0M | <60.0M | <75.0M | <90.0M | <105.0M | <120.0M | <135.0M | <150.0M | | Completed | 860:31 | 13:1 | 2:0 | 1:0 | 3:0 | 1:0 | - | 2:0 | 1:0 | - | | 2 day chg | 793:95 | 12:2 | 2:0 | 1:0 | 3:0 | 1:0 | - | 2:0 | 1:0 | - | | 5 day chg | 656:236 | 11:3 | 2:0 | 1:0 | 3:0 | 1:0 | - | 2:0 | 0:1 | - | | 10 day chg | 616:274 | 7:7 | 1:1 | 1:0 | 1:2 | 1:0 | - | 1:0 | 0:1 | - | | 25 day chg | 569:326 | 4:10 | 1:1 | 1:0 | 2:1 | 1:0 | - | 2:0 | 0:1 | - | | 40 day chg | 568:328 | 7:7 | 2:0 | 1:0 | 1:2 | 1:0 | - | 0:1 | 0:1 | - |
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traderblues
195 posts
msg #45444
- Ignore traderblues |
7/3/2006 3:35:45 PM
And for those who like to play the short side of the field: (not as many trades this way. Dang.)
| Approach Information | | Approach Name: RSI(2) 3-a-Day Shorts | | Test started on 12/31/2002 ended on 12/31/2004, covering 504 days | | Filter used: | set{vvv,atr(20)/close}
close between 3 and 10
and average volume(20) above 250000
and vvv above .1
and market is nasdaq
and RSI(2) increasing 2 days
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| Trade Statistics | | There were 591 total stocks entered. Of those, 588 or 99.49% were complete and 3 or 0.51% were open. | | Of the 588 completed trades, 550 trades or 93.54%resulted in a net gain. | | Your average net change for completed trades was: 5.22%. | | The average draw down of your approach was: -1.65%. | | The average max profit of your approach was: 7.69% | | The Reward/Risk ratio for this approach is: 36.59 | | Annualized Return on Investment (ROI): 1630.85%, the ROI of ^SPX was: 18.53%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 123 times or 20.92% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (1 days) 465 times or 79.08% 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: | 550 | 72 | 141 | 181 | 203 | 216 | | Losers: | 35 | 514 | 447 | 408 | 386 | 375 | | Win/Loss Ratio: | 15.71:1 | 0.14:1 | 0.32:1 | 0.44:1 | 0.53:1 | 0.58:1 | | Net Change: | 5.22% | -5.89% | -6.36% | -5.78% | -3.84% | -2.75% |
| Statistics By Variable: Match Price | | | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | <11 | <12 | | Completed | 40:1 | 173:13 | 108:9 | 72:4 | 60:4 | 49:4 | 28:0 | 20:0 | - | - | | 2 day chg | 6:34 | 20:168 | 17:98 | 12:66 | 5:59 | 7:46 | 3:25 | 2:18 | - | - | | 5 day chg | 9:32 | 41:148 | 24:92 | 18:58 | 11:53 | 17:37 | 14:14 | 7:13 | - | - | | 10 day chg | 14:27 | 58:131 | 27:88 | 24:54 | 13:51 | 20:34 | 20:8 | 5:15 | - | - | | 25 day chg | 12:29 | 68:119 | 37:80 | 24:54 | 18:46 | 16:38 | 17:11 | 11:9 | - | - | | 40 day chg | 15:26 | 75:114 | 36:81 | 28:50 | 22:42 | 18:36 | 13:15 | 9:11 | - | - |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 530:33 | 13:1 | 4:1 | - | 2:0 | - | - | 1:0 | - | - | | 2 day chg | 72:492 | 0:14 | 0:5 | - | 0:2 | - | - | 0:1 | - | - | | 5 day chg | 137:429 | 3:11 | 1:4 | - | 0:2 | - | - | 0:1 | - | - | | 10 day chg | 178:389 | 3:11 | 0:5 | - | 0:2 | - | - | 0:1 | - | - | | 25 day chg | 197:370 | 5:9 | 1:4 | - | 0:2 | - | - | 0:1 | - | - | | 40 day chg | 205:364 | 8:6 | 3:2 | - | 0:2 | - | - | 0:1 | - | - |
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