markcrisp
187 posts
msg #40849
- Ignore markcrisp |
2/1/2006 6:19:12 AM
OK..interesting.
I think the big money is made from focus for sure....but all in one is a bit too risky for me. Maybe 2. or 3.
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TheRumpledOne
6,411 posts
msg #40851
- Ignore TheRumpledOne |
2/1/2006 8:27:57 AM
"Trading one stock at a time is fine as long as you don'tput all your eggs in one basket. All it takes is for your stock to get halted once to find you just lost half your portfolio. If you are going to be so high risk it would be wise to hedge with a put option against a long position,IMO."
Perhaps you didn't see the TRADE PLANNER FILTER DISPLAY that I recently posted.
You define your risk BEFORE you enter the trade.
You are correct about trading HALTS.
MAY ALL YOUR FILLS BE COMPLETE.
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johnp
17 posts
msg #41137
- Ignore johnp |
2/10/2006 12:44:16 AM
Well it is going slow, I did do some work on method to get Optimal f value via Kelly formula and Backtesting results.
f=((PF+1)*P-1)/PF
where PF= Profit factor = (gross profit)/(gross loss)
and P= probability of winning trade = (# winning trades)/(trades completed)
using the following code, able to find gross profit and gross loss from each trade's percentage gain/loss
gp=0; %gross profit
gl=0; %gross loss
sum=100;
for i=1:82
t=input('t?'); %trade gain or loss
t=t/100; %convert percent to decimal
if(sum*t)<0
gl=gl+(sum*t);
else
gp=gp+(sum*t);
end
sum=sum+(sum*t);
gl
gp
end
After doing this for a particular backtest, I found
PF= gp/abs(gl)= (1603.51)/abs(-1192.83) = 1.34
I also found stockfetcher Reward/Risk ratio to be 1.34
Stockfetcher uses the following to calculate it.
Reward/Risk Ratio: StockFetcher currently uses a Reward/Risk ratio computed using the following method. First, compute the product of the number of winners and average gain of the winners. Next, compute the product of the number of losers and average loss of the losers. The reward/risk is computed by dividing the winner product by the losing product.
Will both calculations always yield the same results? Are they the same?
If not are they close enough to use Reward/Risk Ratio as short cut?
Continuing with calculation:
Portion of portfolio to risk on single trade for the particular strategy
f=(1.34+1)*(46/82)-1)/1.34
= .23
Note: number of winning trades was 46, total completed trades 82
| Approach Information | | Approach Name: breakout | | Test started on 04/18/2005 ended on 08/03/2005, covering 75 days | | Filter used: | |
| Trade Statistics | | There were 92 total stocks entered. Of those, 82 or 89.13% were complete and 10 or 10.87% were open. | | Of the 82 completed trades, 46 trades or 56.10%resulted in a net gain. | | Your average net change for completed trades was: 1.03%. | | The average draw down of your approach was: -6.24%. | | The average max profit of your approach was: 8.61% | | The Reward/Risk ratio for this approach is: 1.34 | | Annualized Return on Investment (ROI): 31.36%, the ROI of ^SPX was: 29.52%. |
| Exit Statistics | | Stop Loss was triggered 20 times or 24.39% 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 (10 days) 62 times or 75.61% 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: | 46 | 43 | 45 | 52 | 52 | 59 | | Losers: | 36 | 46 | 44 | 38 | 38 | 33 | | Win/Loss Ratio: | 1.28:1 | 0.94:1 | 1.02:1 | 1.37:1 | 1.37:1 | 1.79:1 | | Net Change: | 1.03% | -0.07% | 0.07% | 0.65% | 0.70% | 4.19% |
| Statistics By Variable: Match Price | | | <15 | <30 | <45 | <60 | <75 | <90 | <105 | <120 | <135 | <150 | | Completed | 21:22 | 12:10 | 7:1 | 2:2 | 2:1 | 1:0 | 1:0 | - | - | - | | 2 day chg | 22:19 | 12:14 | 5:7 | 2:3 | 1:2 | 1:0 | 0:1 | - | - | - | | 5 day chg | 21:21 | 10:15 | 10:2 | 0:5 | 2:1 | 1:0 | 1:0 | - | - | - | | 10 day chg | 23:19 | 14:12 | 9:3 | 2:3 | 2:1 | 1:0 | 1:0 | - | - | - | | 25 day chg | 22:20 | 17:9 | 6:6 | 4:1 | 1:2 | 1:0 | 1:0 | - | - | - | | 40 day chg | 29:15 | 14:12 | 8:4 | 3:2 | 3:0 | 1:0 | 1:0 | - | - | - |
| 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 | 40:29 | 5:3 | 0:1 | 1:2 | - | 0:1 | - | - | - | - | | 2 day chg | 37:38 | 4:4 | 0:2 | 1:1 | - | 1:0 | - | - | 0:1 | - | | 5 day chg | 39:36 | 3:5 | 1:1 | 1:1 | - | 0:1 | - | - | 1:0 | - | | 10 day chg | 44:33 | 6:2 | 1:1 | 1:1 | - | - | - | - | 0:1 | - | | 25 day chg | 45:32 | 5:3 | 0:2 | 2:0 | - | - | - | - | 0:1 | - | | 40 day chg | 50:27 | 6:2 | 0:2 | 2:1 | - | 1:0 | - | - | 0:1 | - |
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four
5,087 posts
msg #127716
- Ignore four |
3/25/2016 10:38:21 PM
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