4 years of ROC(3) - StockFetcher.com Stock Screener

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__fetcheruser123
msg #46799
- Ignore __fetcheruser123

9/8/2006 9:59:15 PM

I just thought this was kind of an interesting short filter, given that the components are so simple.

Approach Information

Approach Name: roc3

Test started on 09/06/2002 ended on 09/08/2004, covering 504 days

Filter used:

roc(3) < -20% close > 20 average volume (90) > 1000000 volume > 1000000

Trade Statistics

There were 137 total stocks entered. Of those, 137 or 100.00% were complete and or 0.00% were open.

Of the 137 completed trades, 74 trades or 54.01%resulted in a net gain.

Your average net change for completed trades was: 0.38%.

The average draw down of your approach was: -4.92%.

The average max profit of your approach was: 5.27%

The Reward/Risk ratio for this approach is: 1.13

Annualized Return on Investment (ROI): 94.56%, the ROI of ^SPX was: 13.22%.

Exit Statistics

Stop Loss was triggered 0 times or 0.00% 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 (1 days) 137 times or 100.00% 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:	74	60	57	57	65	63
Losers:	60	74	79	79	71	73
Win/Loss Ratio:	1.23:1	0.81:1	0.72:1	0.72:1	0.92:1	0.86:1
Net Change:	0.38%	-0.38%	-2.05%	-2.58%	1.10%	3.39%

Statistics By Variable: Match Price
	<20	<30	<40	<50	<60	<70	<80	<90	<100	<110
Completed	7:3	39:36	16:12	5:5	4:4	3:0	-	-	-	-
2 day chg	3:7	36:39	12:16	5:5	4:4	0:3	-	-	-	-
5 day chg	3:7	31:45	17:11	3:7	2:7	1:2	-	-	-	-
10 day chg	3:7	31:45	16:12	5:5	2:7	0:3	-	-	-	-
25 day chg	4:6	38:38	17:11	2:8	2:7	2:1	-	-	-	-
40 day chg	3:7	39:37	15:13	2:8	4:5	0:3	-	-	-	-

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	61:43	11:8	1:4	0:2	-	-	1:0	0:2	0:1	-
2 day chg	43:61	8:11	4:1	2:0	-	-	0:1	2:0	1:0	-
5 day chg	42:63	8:12	3:2	1:1	-	-	0:1	2:0	1:0	-
10 day chg	43:62	8:12	2:3	1:1	-	-	0:1	2:0	1:0	-
25 day chg	53:52	9:11	0:5	1:1	-	-	0:1	1:1	1:0	-
40 day chg	53:52	7:13	2:3	1:1	-	-	0:1	0:2	0:1	-

__fetcheruser123
msg #46800
- Ignore __fetcheruser123

9/8/2006 10:00:35 PM

2004 - 2006

Approach Information

Approach Name: roc3

Test started on 09/08/2004 ended on 09/08/2006, covering 505 days

Filter used:

roc(3) < -20% close > 20 average volume (90) > 1000000 volume > 1000000

Trade Statistics

There were 126 total stocks entered. Of those, 126 or 100.00% were complete and or 0.00% were open.

Of the 126 completed trades, 64 trades or 50.79%resulted in a net gain.

Your average net change for completed trades was: 0.77%.

The average draw down of your approach was: -3.06%.

The average max profit of your approach was: 3.17%

The Reward/Risk ratio for this approach is: 1.37

Annualized Return on Investment (ROI): 191.09%, the ROI of ^SPX was: 7.75%.