| StockFetcher Forums · General Discussion · backtesting ideas | << 1 2 3 4 >>Post Follow-up |
| redversa721 157 posts msg #157010 - Ignore redversa721 modified |
6/16/2021 10:23:35 AM I ran more backtests and this is the best I got for the above strategy, I tried some higher stop losses to see what would happen Opening criteria My Watch Lists: REG_1 MACD(12,26,9) Crossed Above 0 UO(7,14,28) Is Above 30 Buy at close Sell Criteria Initial Capital: $30,000 Capital at Risk: 33% per trade Portfolio Max Size: 3 positions Comm. per Trade: $0.00 Avg Bid-Ask Spread: 0.02% Stop Loss: 33% Close position after: 125 trading days/bars Period: 01/01/2012 - 12/31/2021 results: Total Profit: $710,295 Total Trades: 57 Capital Growth: 2,368% Profit Trades, % of Total: 84% Profit Factor: [?] 24.79 Avg Trade Duration, days: 121 Payoff Ratio: [?] 4.65 Avg Profit per Trade: 19.9% Max Drawdown: 30% Avg Profit per Day: 0.16% Max Drawdown, $: 168,728 Restoration Factor: [?] 4.21 Avg Annual Return: 38.8% Here are the first 20 trades Symbol Entry Date Entry Price Exit Date Exit Price Shares Profit Exit On BAC 1/5/12 5.57 7/5/12 6.91 1777 2378.72 Duration Limit CI 1/5/12 43.05 7/5/12 42.61 229 -102.71 Duration Limit NFLX 1/6/12 12.33 7/6/12 11.7 802 -507.14 Duration Limit GOOG 7/10/12 289.76 1/9/13 367.68 36 2802.47 Duration Limit BAC 7/13/12 6.91 1/14/13 10.17 1517 4942.33 Duration Limit PG 7/13/12 51.4 1/14/13 55.91 203 913.26 Duration Limit HUM 1/10/13 65.28 7/11/13 81.85 174 2880.33 Duration Limit PG 1/14/13 55.91 7/15/13 66.47 238 2510.12 Duration Limit UNH 1/22/13 50.12 7/22/13 65.4 266 4061 Duration Limit ENTG 7/11/13 9.74 1/8/14 10.99 1467 1830.53 Duration Limit EQIX 7/16/13 167 1/13/14 145.95 90 -1897.13 Duration Limit LLY 7/25/13 44.01 1/23/14 47.04 374 1129.7 Duration Limit AAPL 1/23/14 17.87 7/23/14 22.12 940 3990.84 Duration Limit NFLX 1/27/14 54.46 7/25/14 60.27 308 1785.77 Duration Limit MSFT 1/31/14 33.18 7/31/14 38.4 506 2637.43 Duration Limit HD 7/23/14 70.01 1/21/15 90.34 258 5240.48 Duration Limit NEE 7/28/14 22.63 1/26/15 25.3 827 2203.91 Duration Limit PG 8/7/14 67.93 2/5/15 74.58 288 1910.9 Duration Limit NFLX 1/21/15 58.47 7/21/15 112.51 364 19662.37 Duration Limit So I am not sure NEE or ENTG would have satisfied my stock parameter in 2014/15 since my watchlist is based off data from this year. But most of the other stocks seem reliable and common |
| nibor100 1,031 posts msg #157011 - Ignore nibor100 |
6/16/2021 10:57:12 AM Yes, those answers were what I was looking for and more. Those criteria you listed at the end of your response to b., are they all available from Finviz or your backtesting platform, or just your own criteria from other sources? Did you also run a series of separate backtests using only the MACD and alternatively just the UO? I'm just curious, not trying to get you to run any additional backtests. Thanks, Ed S. |
| nibor100 1,031 posts msg #157012 - Ignore nibor100 |
6/16/2021 11:02:45 AM OOps, forgot to include a couple of questions: 1. How many stocks are in your REG_1 watchlist? 2. Since there might be times where your MACD and UO criteria are met when the backtest needs to purchase a different stock, how is the choice made between 2 or more candidates? Thanks again, Ed S. |
| redversa721 157 posts msg #157013 - Ignore redversa721 |
6/16/2021 11:16:33 AM Hi Nibor Yes finviz free version has the screener where you can choose the options listed. I tried to make them as restrictive so that I get the best quality stocks for long term investing. Here is the link to it https://finviz.com/screener.ashx?v=111&f=cap_large,fa_div_pos,fa_eps5years_o10,fa_epsyoy_o5,fa_epsyoy1_o5,fa_estltgrowth_o5,fa_fpe_o5,fa_netmargin_pos,fa_pe_o5,fa_roe_o5,fa_roi_o10,geo_usa,sh_avgvol_o400&ft=3&r=21 I have not run backtest for just MACD. The original request was for MACD and i believe someone already posted some sort of backtest result. I just added an ultimate oscillator on top of it to see what I would get. I have about 45 symbols in my watchlist.Most of them have a market cap over 80B dollars. Two have less than 15B dollars. Great point regarding what i would choose when I get multiple stock options. You are going to laugh, but I go by ascending stock name. I tried cap, ,volume, roc, roi and roe, the best I got was just sorted by stock name. :) The second best I got was through descending rate of change but based on testing, the best results were through just ascending stock name so far |
| redversa721 157 posts msg #157014 - Ignore redversa721 |
6/16/2021 11:22:26 AM Here are the results for just MACD. I am surprised, it is quite close to what we got before. Open My Watch Lists: REG_1 MACD(12,26,9) Crossed Above 0 Buy at close Initial Capital: $30,000 Capital at Risk: 33% per trade Portfolio Max Size: 3 positions Comm. per Trade: $0.00 Avg Bid-Ask Spread: 0.02% Stop Loss: 33% Close position after: 125 trading days/bars Period: 01/01/2012 - 12/31/2021 Total Profit: $709,781 Total Trades: 57 Capital Growth: 2,366% Profit Trades, % of Total: 84% Profit Factor: [?] 24.77 Avg Trade Duration, days: 121 Payoff Ratio: [?] 4.64 Avg Profit per Trade: 19.9% Max Drawdown: 30% Avg Profit per Day: 0.16% Max Drawdown, $: 168,728 Restoration Factor: [?] 4.21 Avg Annual Return: 38.8% First 20 trades [Pretty much replicates the MACD with UO] BAC 1/5/12 5.57 7/5/12 6.91 1777 2378.72 Duration Limit CI 1/5/12 43.05 7/5/12 42.61 229 -102.71 Duration Limit NFLX 1/6/12 12.33 7/6/12 11.7 802 -507.14 Duration Limit GOOG 7/10/12 289.76 1/9/13 367.68 36 2802.47 Duration Limit BAC 7/13/12 6.91 1/14/13 10.17 1517 4942.33 Duration Limit PG 7/13/12 51.4 1/14/13 55.91 203 913.26 Duration Limit HUM 1/10/13 65.28 7/11/13 81.85 174 2880.33 Duration Limit PG 1/14/13 55.91 7/15/13 66.47 238 2510.12 Duration Limit UNH 1/22/13 50.12 7/22/13 65.4 266 4061 Duration Limit ENTG 7/11/13 9.74 1/8/14 10.99 1467 1830.53 Duration Limit EQIX 7/16/13 167 1/13/14 145.95 90 -1897.13 Duration Limit LLY 7/25/13 44.01 1/23/14 47.04 374 1129.7 Duration Limit AAPL 1/23/14 17.87 7/23/14 22.12 940 3990.84 Duration Limit NFLX 1/27/14 54.46 7/25/14 60.27 308 1785.77 Duration Limit MSFT 1/31/14 33.18 7/31/14 38.4 506 2637.43 Duration Limit HD 7/23/14 70.01 1/21/15 90.34 258 5240.48 Duration Limit NEE 7/28/14 22.63 1/26/15 25.3 827 2203.91 Duration Limit PG 8/7/14 67.93 2/5/15 74.58 288 1910.9 Duration Limit NFLX 1/21/15 58.47 7/21/15 112.51 364 19662.37 Duration Limit AAPL 1/26/15 25.98 7/24/15 28.83 848 2411.91 Duration Limit |
| nibor100 1,031 posts msg #157015 - Ignore nibor100 |
6/17/2021 12:00:50 PM @redversa721, I'm not laughing as choosing from stock name ascending seems to be used fairly often in backtesting. Using the FinViz link you provided and your lists of 20 first trades I believe I was able to create most of your REG_! watchlist as I ended up with 43 stocks. Using VectorVest on those 43 stocks, I was able to check a couple of your FinViz criteria back on Jan 3,2012 and found 12 stocks that don't have dividends back then, and as you suspected many stocks (21) don't meet the MarketCap 10B criteria. I can provide the names if you want. Thanks, Ed S. |
| Cheese 1,374 posts msg #157021 - Ignore Cheese |
6/17/2021 3:51:40 PM https://www.stockfetcher.com/forums/General-Discussion/backtesting-ideas/156926 redversa721 6/16/2021 12:13:35 AM Bread and butter is I use a stoch and a super trend based strategy on just a select set of good quality stocks. ================================================================================= red, In appreciation of what you've done, I want to share this anecdotal experience. Supertrend is indeed super. But ichimoku tenkan-sen might even be better and hug closer, quicker |
| redversa721 157 posts msg #157025 - Ignore redversa721 |
6/17/2021 5:56:41 PM hello Thanks for the info. I am horrible at reading chart, so will do some research and figure out what I need to look for. I kinda do not understand a lot of charting coz I think tables have kept me ok for all this time. So havent really thought about understanding charts. Maybe to get me started, should I look at the bottom chart for crossovers? Thanks again for all the work |
| Cheese 1,374 posts msg #157028 - Ignore Cheese modified |
6/17/2021 10:07:35 PM redversa721 Please refer to these sites for info https://ichimokutrader.com/signals.html https://www.investopedia.com/terms/t/tenkansen.asp https://en.wikipedia.org/wiki/Ichimoku_Kink%C5%8D_Hy%C5%8D HTH. |
| redversa721 157 posts msg #157029 - Ignore redversa721 |
6/17/2021 10:20:29 PM Thanks so much for all the info. let me read them and get back to you. :) DN |
| StockFetcher Forums · General Discussion · backtesting ideas | << 1 2 3 4 >>Post Follow-up |
Copyright 2022 - Vestyl Software L.L.C.•Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data
Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus