woodstock
10 posts
msg #46186
- Ignore woodstock |
8/4/2006 1:54:02 PM
I am surprised as well as chrismnu2003. Results are absolute unreal. Guys, if you get similar backtests you have made an error. Don't be naive. SF calculates Pivot Points incorrectly. If you want to see your real "wins", then use "S1 2 days ago".
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twaodood
12 posts
msg #46191
- Ignore twaodood |
8/4/2006 6:26:37 PM
How would you code this for the filter...???
Thanks
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twaodood
12 posts
msg #46212
- Ignore twaodood |
8/5/2006 2:18:57 PM
Nevermind...got it
By the way...this filter has made some killer results...in the last 3 weeks....although the last week has been dull
I use 15-30 min intervals...to trade with trix 5,3..full stochs of 8,4,2, and macd of 6,16,4 at stockcharts.com
I like the trix 5,3...as it approaches zero, from below...some of these picks just explode.....!!!!!!!!!1
If anyone has similar money management or recommendations...please share them
Thanks
TWAODOOD
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estetson
9 posts
msg #46353
- Ignore estetson |
8/13/2006 1:46:48 PM
woodstock, you wrote: "SF calculates Pivot Points incorrectly." Please explain. I got the results that look absolutely unreal with this backtest, and I'm wondering how and why the S1 entry level is being miscalculated to produce amazing results that are incorrect.
Why would using the S1 level 2 days ago produce a correct result if you're looking to enter at the S1 level on the day of the trade?
BTW, I've been trying to find a system to enter and exit one day later and get an average of at least 0.5% gain each day. So far, the best I've done is figured out a few filters that will get about 0.35% per day, by simply entering at the open and exiting at the open the following day. If the ones being discussed in this thread actually work, then obviously they would do way better than the 0.5% gain per day I'm hoping for.
Anybody come up with a system that is better than 0.5% gain per day average, which actually works in reality? Anybody think the ones in this thread have real potential, or just a pipe dream?
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twaodood
12 posts
msg #46354
- Ignore twaodood |
8/13/2006 2:40:40 PM
STOCKFETCHER..IF THERE IS SOMETHING "WRONG"
PLEASE LEAVE THE OLD VERSION...!!!
THANKS
TWAO DOOD
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woodstock
10 posts
msg #46367
- Ignore woodstock |
8/14/2006 12:43:44 PM
SF is right, this is not a bug but a feature:)
It is very simple -
S1 calculates Pivot Point using TOMORROW values, that is you look ahead. Just investigate trades table and you'll believe me :)
0.5% gain for day is wonderful (about 15% month) but
0.5% gain for trade is very risky, commission can bust you.
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traderblues
195 posts
msg #46368
- Ignore traderblues |
8/14/2006 2:23:31 PM
Woodstock, you're wrong. Try this. Run a backtest with a fairly restrictive filter, using 'open' as your entry price. Limit your buys to no more than 5 per day. Don't limit the maximum number of stocks in your portfolio. Looking at the results, write down the number of total trades made. Then go back and run the same filter, using 'S1' as your entry price, and don't forget to check the 'conditional' box. Note that far fewer trades were made. This is because many times the filtered stock never hits the S1 price. There is always an S1 each and every day, so if it were using tomorrow's price, it would always hit the S1. The fact that the trades are far fewer suggests that this is not the case.
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woodstock
10 posts
msg #46376
- Ignore woodstock |
8/15/2006 6:56:22 AM
OK. I am wrong. Not tomorrow's prices but 2 days ahead:) Why? I don't know. Let's stop this dispute. Everyone can check my statement using trade's table. I just pointed to the mistake. If you prefer to believe in a miracle it's your choice.
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traderblues
195 posts
msg #46516
- Ignore traderblues |
8/21/2006 4:03:44 PM
For those who say it can't be done:
http://www.stocktickr.com/BTStrader/closed/
I don't use the exact filter that is shown in the thread, but it's very similar, using RSI(2).
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traderblues
195 posts
msg #46518
- Ignore traderblues |
8/21/2006 4:47:39 PM
And for those who say the backtests here are crap, here's the backtest for that filter. Compare these stats with the closed trades link (above), and you'll see they're very similar. True, 19 actual trades aren't enough to be statistically significant, but it's enough to take notice.
| Approach Information | | Approach Name: RSI(2) 15% 20 day hold 7-31-04 to 7-31-06 | | Test started on 07/30/2004 ended on 07/31/2006, covering 504 days | | Filter used: | | RSI(2) 5-a-day 20 day hold (saved filter) |
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| Trade Statistics | | There were 240 total stocks entered. Of those, 231 or 96.25% were complete and 9 or 3.75% were open. | | Of the 231 completed trades, 184 trades or 79.65%resulted in a net gain. | | Your average net change for completed trades was: 9.32%. | | The average draw down of your approach was: -8.29%. | | The average max profit of your approach was: 17.41% | | The Reward/Risk ratio for this approach is: 5.85 | | Annualized Return on Investment (ROI): 270.31%, the ROI of ^SPX was: 7.85%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 77 times or 33.33% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (100 days) 0 times or 0.00% of the time. | | An exit trigger was executed 154 times or 66.67% of the time. |
| Statistics By Holding Period | | | Completed | 1 day chg | 2 day chg | 5 day chg | 10 day chg | 20 day chg | | Winners: | 184 | 240 | 196 | 168 | 160 | 140 | | Losers: | 47 | 0 | 40 | 69 | 80 | 93 | | Win/Loss Ratio: | 3.92:1 | 0.00:1 | 4.90:1 | 2.44:1 | 2.00:1 | 1.50:1 | | Net Change: | 9.32% | 5.95% | 6.84% | 7.50% | 7.63% | 6.93% |
| Statistics By Variable: Match Price | | | <5 | <10 | <15 | <20 | <25 | <30 | <35 | <40 | <45 | <50 | | Completed | 136:29 | 30:9 | 8:3 | 8:3 | 1:0 | 0:1 | 1:0 | 0:1 | 0:1 | - | | 1 day chg | 170:0 | 40:0 | 13:0 | 11:0 | 1:0 | 2:0 | 1:0 | 1:0 | 1:0 | - | | 2 day chg | 141:25 | 32:8 | 9:4 | 10:1 | 1:0 | 1:1 | 1:0 | 0:1 | 1:0 | - | | 5 day chg | 124:43 | 28:12 | 6:7 | 8:3 | 1:0 | 0:2 | 1:0 | 0:1 | 0:1 | - | | 10 day chg | 116:54 | 29:11 | 6:7 | 7:4 | 1:0 | 0:2 | 1:0 | 0:1 | 0:1 | - | | 20 day chg | 107:58 | 20:20 | 6:6 | 5:6 | 1:0 | 0:1 | 1:0 | 0:1 | 0:1 | - |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 171:41 | 7:4 | 4:0 | 2:0 | 0:1 | - | - | - | 0:1 | - | | 1 day chg | 218:0 | 13:0 | 5:0 | 2:0 | 1:0 | - | - | - | 1:0 | - | | 2 day chg | 177:38 | 11:2 | 4:0 | 2:0 | 1:0 | - | - | - | 1:0 | - | | 5 day chg | 151:64 | 9:4 | 5:0 | 1:1 | 1:0 | - | - | - | 1:0 | - | | 10 day chg | 144:74 | 8:5 | 5:0 | 2:0 | 0:1 | - | - | - | 1:0 | - | | 20 day chg | 127:86 | 7:4 | 3:2 | 2:0 | 0:1 | - | - | - | 1:0 | - |
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