svtsnakebitn
150 posts
msg #150755
- Ignore svtsnakebitn |
2/12/2020 10:10:20 AM
Not going to lie - I already bought 2/21 $8 puts on S as soon as the news came out. Glad to see it popped on your filter though!
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olathegolf
119 posts
msg #150941
- Ignore olathegolf |
2/27/2020 9:03:47 AM
I performed a backtest using Village Elder’s revised filter that included KSK8 market cap suggestion. Here are the results:
Test Period: 1/1/19 – 2/20/20
Test 1:
Entry: Based on filter and VE entry rules. All trades included.
Exit: Standard Village Exit Rules
Trades: 609
Record: 454-155
Win %: 74.5
Average Profit/Trade %: 3.07
Largest Win %: 54.1
Biggest Loss %: 105.2
Median Trade %: 3.56
Average Win %: 8.1
Average Loss %: 11.8
Average Days in Trade: 1.52
Std. Deviation of Trades: 13.5
Std. Deviation of Losing Trades: 14.8
Test 2:
Entry: Based on filter and VE entry rules. All trades included.
Exit: Exit trade when ROC5,1 drops below 50
Trades: 609
Record: 406-203
Win %: 66.7
Average Profit/Trade %: 3.63
Largest Win %: 64.3
Biggest Loss %: 105.2
Median Trade %: 3.76
Average Win %: 11.0
Average Loss %: 11.2
Average Days In Trade: 2.09
Std. Deviation of Trades: 15.9
Std. Deviation of Losing Trades: 14.7
Test 3:
Entry: Based on filter and VE entry rules. All trades included.
Exit: Exit trade at the end of day #1
Trades: 609
Record: 375-234
Win %: 61.6
Average Profit/Trade %: 2.04
Largest Win %: 54.1
Biggest Loss %: 113.5
Median Trade %: 1.95
Average Win %: 8.4
Average Loss %: 8.1
Average Days In Trade: 1.0
Std. Deviation of Trades: 12.5
Std. Deviation of Losing Trades: 11.1
Test 4:
Entry: Based on filter and VE entry rules. All trades included.
Exit: Exit trade at the end of day #2
Trades: 609
Record: 385-224
Win %: 63.2
Average Profit/Trade %: 2.23
Largest Win %: 60.9
Biggest Loss %: 388.5
Median Trade %: 3.26
Average Win %: 12.2
Average Loss %: 14.9
Average Days In Trade: 2.0
Std. Deviation of Trades: 28.1
Std. Deviation of Losing Trades: 38.4
Test 5:
Entry: Based on filter and VE entry rules. All trades included.
Exit: Exit trade at the end of day #3
Trades: 609
Record: 385-224
Win %: 63.2
Average Profit/Trade %: 3.02
Largest Win %: 64.3
Biggest Loss %: 364.8
Median Trade %: 3.76
Average Win %: 13.1
Average Loss %: 14.3
Average Days In Trade: 3.0
Std. Deviation of Trades: 23.5
Std. Deviation of Losing Trades: 28.3
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Village Elder
231 posts
msg #150942
- Ignore Village Elder |
2/27/2020 9:39:12 AM
Cool. What software did you use for the backtesting? What was the final equity, and ideally show an equity curve (to see things like max draw down) and a Sharpe ratio if possible? I think Stratasearch could do stuff like that.
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svtsnakebitn
150 posts
msg #150944
- Ignore svtsnakebitn |
2/27/2020 10:05:29 AM
Risky to play these COVID-19 plays - MNRA/APT/ETC...
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olathegolf
119 posts
msg #150945
- Ignore olathegolf |
2/27/2020 10:18:13 AM
VE - it was a simple Excel backtest. I modified the filter to lookback 3 days and then report EOD results (profit and ROC51) for days 1, 2, and 3. I took daily CSV snapshots of results and pasted into a backtest spreadsheet. Most of the logic was in the spreadsheet....although I'll look into generating more analysis as you suggest.
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Village Elder
231 posts
msg #150948
- Ignore Village Elder |
2/27/2020 1:35:00 PM
@nibor - I appreciate what you are trying to do, but will say that it will be hard to consistently identify stock that are "about to go up bigtime" from what I am trying to do (if I am understanding what you are trying to do correctly).
The filter identifies HIGHLY overbought stocks, many of which move dramatically in a single day to trip the filter. you can't differentiate them from other stocks prior to that big move (at least I can't). I wish you best of luck on this but I have some reservations about the ability of my filter to help you spot these guys.
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nibor100
1,046 posts
msg #150950
- Ignore nibor100 |
2/27/2020 2:36:43 PM
@olathegolf,
I was wondering if you could copy the symbols column and close price column data from your backtest spreadsheet for V.E.s Short-Sell Filter (for day filter is run) and paste it into a post here in SF.
It would save me some time in my SSF exploration journey.
Thanks,
Ed S.
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nibor100
1,046 posts
msg #150951
- Ignore nibor100 |
2/27/2020 2:50:59 PM
@Village Elder,
1. I agree the probability of me being anywhere near as successful as your 75% success rate, is super super slim, but if I can figure out something in the 50% success range that returns on average 15% gain or more for a 2 day trade I'd consider that fairly good. As the thing I like best about your filter is it usually has daily results which seems to indicate that during a bull market your filter's stock universe is traded heavily.
a. I'm not really after the +50%, as I noticed a few days ago by changing your ROC(5,1) above 50, to lower numbers a lot more stocks showed up with solid 5 day gains.
b. Paste the 2 lines below into your filter if you curious to see one of the avenues I'm exploring
add column roc(3,1) 2 days ago
add column roc(2,1)
Thanks,
Ed S.
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Village Elder
231 posts
msg #150952
- Ignore Village Elder |
2/27/2020 3:21:25 PM
@olathegolf:
Looking at the first set of results (609 trades, average gain of 3.07%) ... that translates into an average gain of $307 per $10,000 trade (the max I use). Assuming all of these could be traded without exceeding your total equity, the return is
609 x $307 = $186,963 on an initial equity of $50,000 or 374% in just over a year.
Not sure all of these could be traded at the same time, and this assumes no friction in trading costs or losses from a bid/ask spread and all shorts could be traded. Nonetheless the results are pretty impressive.
Thanks for crunching the numbers.
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olathegolf
119 posts
msg #150954
- Ignore olathegolf |
2/27/2020 4:04:09 PM
Nibor - I can easily paste the symbols but I do not have the close price when the signal was triggered. I don't use that data since VE rules shorts at the opening the following day. I have the symbol and short price only.
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