radovan.arendas
41 posts
msg #45046
- Ignore radovan.arendas |
6/17/2006 6:13:07 AM
Hi all,
I want to share filter I just found while trying some RSI(14) divergence.
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rsi(14) is below 20
rsi(14) is above rsi(14) 5 days ago
5 days slope of close is below 0
close is below close 5 days ago
average volume(90) is above 90000
price is between 1 and 250
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| Approach Information | | Approach Name: unnamed approach | | Test started on 12/31/2003 ended on 06/29/2004, covering 123 days | | Filter used: | rsi(14) is below 20
rsi(14) is above rsi(14) 5 days ago
5 days slope of close is below 0
close is below close 5 days ago
average volume(90) is above 90000
price is between 1 and 250 |
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| Trade Statistics | | There were 53 total stocks entered. Of those, 52 or 98.11% were complete and 1 or 1.89% were open. | | Of the 52 completed trades, 47 trades or 90.38%resulted in a net gain. | | Your average net change for completed trades was: 1.18%. | | The average draw down of your approach was: -3.51%. | | The average max profit of your approach was: 4.49% | | The Reward/Risk ratio for this approach is: 2.66 | | Annualized Return on Investment (ROI): 204.34%, the ROI of ^SPX was: 4.81%. |
| Exit Statistics | | Stop Loss was triggered 3 times or 5.77% of the time. | | Stop Profit was triggered 46 times or 88.46% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (6 days) 3 times or 5.77% 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: | 47 | 29 | 34 | 36 | 36 | 24 | | Losers: | 5 | 22 | 18 | 17 | 16 | 28 | | Win/Loss Ratio: | 9.40:1 | 1.32:1 | 1.89:1 | 2.12:1 | 2.25:1 | 0.86:1 | | Net Change: | 1.18% | 0.84% | 4.40% | 5.65% | 3.57% | -0.52% |
| Statistics By Variable: Match Price | | | <4 | <8 | <12 | <16 | <20 | <24 | <28 | <32 | <36 | <40 | | Completed | 17:1 | 10:2 | 9:0 | 2:0 | 3:0 | 1:0 | 2:0 | 1:0 | 2:2 | - | | 2 day chg | 8:8 | 7:5 | 7:3 | 0:2 | 3:0 | 0:1 | 2:0 | 0:1 | 2:2 | - | | 5 day chg | 12:5 | 5:7 | 6:4 | 2:0 | 3:0 | 1:0 | 2:0 | 1:0 | 2:2 | - | | 10 day chg | 14:4 | 6:6 | 5:5 | 2:0 | 3:0 | 1:0 | 2:0 | 1:0 | 2:2 | - | | 25 day chg | 11:7 | 7:4 | 7:3 | 1:1 | 3:0 | 1:0 | 2:0 | 1:0 | 3:1 | - | | 40 day chg | 7:11 | 2:10 | 6:4 | 1:1 | 2:0 | 1:0 | 2:0 | 1:0 | 2:2 | - |
| Statistics By Variable: Average Volume | | | <500000 | <1000000 | <1.5M | <2.0M | <2.5M | <3.0M | <3.5M | <4.0M | <4.5M | <5.0M | | Completed | 21:2 | 12:2 | 7:1 | 6:0 | - | - | - | - | 1:0 | - | | 2 day chg | 16:7 | 7:7 | 1:6 | 4:2 | - | - | - | - | 1:0 | - | | 5 day chg | 17:6 | 10:3 | 3:6 | 3:3 | - | - | - | - | 1:0 | - | | 10 day chg | 15:8 | 10:4 | 5:4 | 5:1 | - | - | - | - | 1:0 | - | | 25 day chg | 13:9 | 10:4 | 6:3 | 6:0 | - | - | - | - | 1:0 | - | | 40 day chg | 9:14 | 9:5 | 5:4 | 1:5 | - | - | - | - | - | - |
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radovan.arendas
41 posts
msg #45047
- Ignore radovan.arendas |
6/17/2006 6:29:21 AM
Hi again,
by mistake I posted incomplete message (i'm new to this board) so here goes additional info:
period: 31/12/2003 - 29/06/2004
Stop Loss: 10%
Stop profit: 2% (I'm not greedy :o)))
Maximum holding days: 6
Entry price = Exit price = Open
Although there are not too many trades the result is pretty nice. Maybe it can serve you as additional filter when some of your other filters don't show anything to buy.
I'm new here and i want to ask you to look at my post from 13/6/2006 in the topic Backtesting Support / Conditional entry not working. I don't know how to simulate some conditions and would appreciate if you help me.
Thank you in advance
regards
r.a.
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Koronbock
201 posts
msg #45051
- Ignore Koronbock |
6/17/2006 8:07:42 AM
Radovan,
while the results of your filter look encouraging, please be aware of the following caveats:
1. The minimum requirement of volume criterion is 90,000 which is a little paltry in my opinion. Not enough liquidity for small stocks. Most of your trades were indeed in the small stock universe, so that would be an issue.
2. You have backtested with a profit target AND and stop loss. Since SF only provides daily data, you do not know which comes first. Your results may be inflated since a gain for your profit target could be shown, while in reality your stop loss target was hit first.
Cheers,
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radovan.arendas
41 posts
msg #45057
- Ignore radovan.arendas |
6/17/2006 12:01:56 PM
Thanks Koronbock for your guidance. The second one I didn't realize at all. Regarding the volume... I will research what experienced ones include in their filters posted in the forums :o)))
Thanks
r.a.
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__fetcheruser123
msg #45065
- Ignore __fetcheruser123 |
6/17/2006 10:17:53 PM
Here's the results of your backtest over the last two years. It didn't do as well...
| Approach Information | | Approach Name: unnamed approach | | Test started on 06/16/2004 ended on 06/16/2006, covering 505 days | | Filter used: | rsi(14) is below 20
rsi(14) is above rsi(14) 5 days ago
5 days slope of close is below 0
close is below close 5 days ago
average volume(90) is above 90000
price is between 1 and 250 |
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| Trade Statistics | | There were 431 total stocks entered. Of those, 425 or 98.61% were complete and 6 or 1.39% were open. | | Of the 425 completed trades, 313 trades or 73.65%resulted in a net gain. | | Your average net change for completed trades was: -0.38%. | | The average draw down of your approach was: -4.21%. | | The average max profit of your approach was: 4.09% | | The Reward/Risk ratio for this approach is: 0.80 | | Annualized Return on Investment (ROI): -52.60%, the ROI of ^SPX was: 5.16%. |
| Exit Statistics | | Stop Loss was triggered 55 times or 12.94% of the time. | | Stop Profit was triggered 302 times or 71.06% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (6 days) 68 times or 16.00% 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: | 313 | 219 | 189 | 187 | 206 | 194 | | Losers: | 110 | 198 | 217 | 215 | 159 | 155 | | Win/Loss Ratio: | 2.85:1 | 1.11:1 | 0.87:1 | 0.87:1 | 1.30:1 | 1.25:1 | | Net Change: | -0.38% | 0.21% | -1.10% | -1.04% | 1.56% | 2.40% |
| Statistics By Variable: Match Price | | | <10 | <20 | <30 | <40 | <50 | <60 | <70 | <80 | <90 | <100 | | Completed | 185:55 | 66:25 | 28:20 | 15:4 | 11:3 | 5:0 | 0:2 | 2:1 | - | 1:0 | | 2 day chg | 117:117 | 51:40 | 24:24 | 12:7 | 8:6 | 5:0 | 0:2 | 2:1 | - | 0:1 | | 5 day chg | 109:125 | 39:49 | 22:23 | 7:11 | 6:5 | 4:0 | 0:2 | 2:1 | - | 0:1 | | 10 day chg | 107:126 | 41:45 | 16:28 | 10:8 | 7:5 | 4:0 | 0:1 | 2:1 | - | 0:1 | | 25 day chg | 101:105 | 50:31 | 27:15 | 12:4 | 9:2 | 4:0 | 0:1 | 3:0 | - | 0:1 | | 40 day chg | 96:99 | 47:33 | 22:18 | 13:3 | 10:0 | 4:0 | 0:1 | 2:1 | - | - |
| Statistics By Variable: Average Volume | | | <5.0M | <10.0M | <15.0M | <20.0M | <25.0M | <30.0M | <35.0M | <40.0M | <45.0M | <50.0M | | Completed | 301:106 | 7:2 | 2:0 | 0:1 | 2:0 | - | - | - | 1:1 | - | | 2 day chg | 208:192 | 6:4 | 2:0 | 0:1 | 2:0 | - | - | - | 1:1 | - | | 5 day chg | 181:209 | 4:5 | 2:0 | 0:1 | 2:0 | - | - | - | 0:2 | - | | 10 day chg | 177:209 | 4:5 | 2:0 | 1:0 | 2:0 | - | - | - | 1:1 | - | | 25 day chg | 199:150 | 6:3 | 1:1 | 0:1 | 0:2 | - | - | - | 0:2 | - | | 40 day chg | 187:146 | 5:4 | 2:0 | 0:1 | 0:2 | - | - | - | 0:2 | - |
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