__fetcheruser123
msg #43823
- Ignore __fetcheruser123 |
5/17/2006 5:09:52 PM
I've been experimenting using various PE Ratios to increase performance... Below is a list of results when backtested with your filter using the system setup your suggested. I managed to get one to give me 100%... Even though there were only 8 trades in 2 years, I still thought this was pretty cool.
P/E Ratio -- Win % -- ROI -- Avg Gain
< 10 62% 189% 3.17%
< 15 73% 254% 4.49%
< 20 68% 263% 4.54%
< 30 70% 310% 5.25%
< 40 71% 311% 5.26%
< 50 68% 256% 4.46%
< 60 70% 258% 4.51%
< 70 70% 258% 4.51%
< 80
< 90
N/A 66% 267% 4.37%
> 10
> 20
> 30 74% 209% 3.73%
> 40 72% 161% 2.77%
> 50 88% 369% 6.07%
> 60 85% 397% 6.19%
> 70 85% 397% 6.29%
> 80 82% 440% 6.48%
> 90 78% 319% 4.31%
90<>50 100% 408% 8.05%
| Approach Information | | Approach Name: 5 day swing | | Test started on 05/28/2004 ended on 05/16/2006, covering 494 days | | Filter used: | | 5 day swing (saved filter) |
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| Trade Statistics | | There were 8 total stocks entered. Of those, 8 or 100.00% were complete and or 0.00% were open. | | Of the 8 completed trades, 8 trades or 100.00%resulted in a net gain. | | Your average net change for completed trades was: 8.05%. | | The average draw down of your approach was: -5.49%. | | The average max profit of your approach was: 8.41% | | The Reward/Risk ratio for this approach is: 0.00 | | Annualized Return on Investment (ROI): 407.99%, the ROI of ^SPX was: 7.62%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 1 times or 12.50% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (5 days) 7 times or 87.50% 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: | 8 | 4 | 7 | 6 | 3 | 4 | | Losers: | 0 | 4 | 0 | 2 | 5 | 4 | | Win/Loss Ratio: | 0.00:1 | 1.00:1 | 0.00:1 | 3.00:1 | 0.60:1 | 1.00:1 | | Net Change: | 8.05% | 0.85% | 4.76% | 0.91% | -6.84% | 0.75% |
| Statistics By Variable: Match Price | | | <6 | <9 | <12 | <15 | <18 | <21 | <24 | <27 | <30 | <33 | | Completed | 1:0 | 2:0 | 1:0 | - | 1:0 | 1:0 | - | 1:0 | 1:0 | - | | 2 day chg | 0:1 | 2:0 | 0:1 | - | 1:0 | 1:0 | - | 0:1 | 0:1 | - | | 5 day chg | 1:0 | 2:0 | 1:0 | - | 1:0 | 1:0 | - | - | 1:0 | - | | 10 day chg | 1:0 | 2:0 | 1:0 | - | 1:0 | 1:0 | - | 0:1 | 0:1 | - | | 25 day chg | 0:1 | 1:1 | 1:0 | - | 0:1 | 0:1 | - | 0:1 | 1:0 | - | | 40 day chg | 1:0 | 1:1 | 1:0 | - | 0:1 | 0:1 | - | 0:1 | 1:0 | - |
| Statistics By Variable: Average Volume | | | <1000000 | <2.0M | <3.0M | <4.0M | <5.0M | <6.0M | <7.0M | <8.0M | <9.0M | <10.0M | | Completed | 4:0 | 2:0 | - | - | 1:0 | - | - | - | - | 1:0 | | 2 day chg | 2:2 | 1:1 | - | - | 1:0 | - | - | - | - | 0:1 | | 5 day chg | 4:0 | 1:0 | - | - | 1:0 | - | - | - | - | 1:0 | | 10 day chg | 4:0 | 1:1 | - | - | 1:0 | - | - | - | - | 0:1 | | 25 day chg | 2:2 | 0:2 | - | - | 0:1 | - | - | - | - | 1:0 | | 40 day chg | 3:1 | 0:2 | - | - | 0:1 | - | - | - | - | 1:0 |
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__fetcheruser123
msg #43824
- Ignore __fetcheruser123 |
5/17/2006 5:14:29 PM
Same filter/setup, backtested over different dates.
| Approach Information | | Approach Name: 5 day swing | | Test started on 05/28/2002 ended on 05/28/2004, covering 506 days | | Filter used: | | 5 day swing (saved filter) |
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| Trade Statistics | | There were 15 total stocks entered. Of those, 15 or 100.00% were complete and or 0.00% were open. | | Of the 15 completed trades, 11 trades or 73.33%resulted in a net gain. | | Your average net change for completed trades was: 3.70%. | | The average draw down of your approach was: -6.17%. | | The average max profit of your approach was: 11.26% | | The Reward/Risk ratio for this approach is: 2.09 | | Annualized Return on Investment (ROI): 221.30%, the ROI of ^SPX was: 1.66%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 4 times or 26.67% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (5 days) 11 times or 73.33% 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: | 11 | 9 | 10 | 8 | 11 | 7 | | Losers: | 4 | 6 | 5 | 7 | 4 | 8 | | Win/Loss Ratio: | 2.75:1 | 1.50:1 | 2.00:1 | 1.14:1 | 2.75:1 | 0.88:1 | | Net Change: | 3.70% | 3.47% | 2.69% | 2.00% | 7.49% | 3.67% |
| Statistics By Variable: Match Price | | | <1.5 | <3 | <4.5 | <6 | <7.5 | <9 | <10.5 | <12 | <13.5 | <15 | | Completed | 1:0 | 1:0 | 1:0 | 1:2 | 3:2 | - | 1:0 | 2:0 | 1:0 | - | | 2 day chg | 1:0 | 1:0 | 1:0 | 2:1 | 2:3 | - | 1:0 | 1:1 | 0:1 | - | | 5 day chg | 1:0 | 1:0 | 1:0 | 1:2 | 2:3 | - | 1:0 | 2:0 | 1:0 | - | | 10 day chg | 0:1 | 1:0 | 1:0 | 1:2 | 1:4 | - | 1:0 | 2:0 | 1:0 | - | | 25 day chg | 0:1 | 1:0 | 1:0 | 2:1 | 3:2 | - | 1:0 | 2:0 | 1:0 | - | | 40 day chg | 0:1 | 1:0 | 1:0 | 2:1 | 0:5 | - | 0:1 | 2:0 | 1:0 | - |
| Statistics By Variable: Average Volume | | | <1000000 | <2.0M | <3.0M | <4.0M | <5.0M | <6.0M | <7.0M | <8.0M | <9.0M | <10.0M | | Completed | 7:4 | 1:0 | 1:0 | - | 1:0 | - | - | 1:0 | - | - | | 2 day chg | 7:4 | 1:0 | 1:0 | - | 0:1 | - | - | 0:1 | - | - | | 5 day chg | 6:5 | 1:0 | 1:0 | - | 1:0 | - | - | 1:0 | - | - | | 10 day chg | 4:7 | 1:0 | 1:0 | - | 1:0 | - | - | 1:0 | - | - | | 25 day chg | 8:3 | 1:0 | 0:1 | - | 1:0 | - | - | 1:0 | - | - | | 40 day chg | 5:6 | 0:1 | 0:1 | - | 1:0 | - | - | 1:0 | - | - |
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__fetcheruser123
msg #43825
- Ignore __fetcheruser123 |
5/17/2006 5:19:30 PM
And, with the second best PE ratio (> 80), backtested from 2002 - 2004.
| Approach Information | | Approach Name: 5 day swing | | Test started on 05/28/2002 ended on 05/28/2004, covering 506 days | | Filter used: | | 5 day swing (saved filter) |
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| Trade Statistics | | There were 26 total stocks entered. Of those, 26 or 100.00% were complete and or 0.00% were open. | | Of the 26 completed trades, 21 trades or 80.77%resulted in a net gain. | | Your average net change for completed trades was: 6.22%. | | The average draw down of your approach was: -7.15%. | | The average max profit of your approach was: 10.18% | | The Reward/Risk ratio for this approach is: 4.16 | | Annualized Return on Investment (ROI): 347.20%, the ROI of ^SPX was: 1.66%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 6 times or 23.08% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (5 days) 20 times or 76.92% 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: | 21 | 17 | 19 | 20 | 18 | 15 | | Losers: | 5 | 8 | 7 | 6 | 8 | 11 | | Win/Loss Ratio: | 4.20:1 | 2.12:1 | 2.71:1 | 3.33:1 | 2.25:1 | 1.36:1 | | Net Change: | 6.22% | 1.31% | 4.13% | 8.54% | 17.66% | 11.94% |
| Statistics By Variable: Match Price | | | <2.5 | <5 | <7.5 | <10 | <12.5 | <15 | <17.5 | <20 | <22.5 | <25 | | Completed | 4:1 | 2:1 | 5:1 | 5:0 | 3:1 | - | - | 2:0 | 0:1 | - | | 2 day chg | 4:0 | 2:1 | 3:3 | 2:3 | 3:1 | - | - | 2:0 | 1:0 | - | | 5 day chg | 4:1 | 2:1 | 4:2 | 5:0 | 2:2 | - | - | 2:0 | 0:1 | - | | 10 day chg | 2:3 | 2:1 | 5:1 | 5:0 | 4:0 | - | - | 1:1 | 1:0 | - | | 25 day chg | 3:2 | 2:1 | 5:1 | 4:1 | 3:1 | - | - | 1:1 | 0:1 | - | | 40 day chg | 2:3 | 3:0 | 4:2 | 2:3 | 3:1 | - | - | 1:1 | 0:1 | - |
| Statistics By Variable: Average Volume | | | <400000 | <800000 | <1.2M | <1.6M | <2.0M | <2.4M | <2.8M | <3.2M | <3.6M | <4.0M | | Completed | 13:3 | 4:1 | 1:0 | 1:0 | - | 1:0 | 1:0 | 0:1 | - | - | | 2 day chg | 11:5 | 4:1 | 0:1 | 1:0 | - | 0:1 | 1:0 | - | - | - | | 5 day chg | 12:4 | 4:1 | 1:0 | 1:0 | - | 0:1 | 1:0 | 0:1 | - | - | | 10 day chg | 13:3 | 4:1 | 1:0 | 1:0 | - | 1:0 | 0:1 | 0:1 | - | - | | 25 day chg | 11:5 | 3:2 | 1:0 | 1:0 | - | 1:0 | 1:0 | 0:1 | - | - | | 40 day chg | 10:6 | 2:3 | 1:0 | 1:0 | - | 1:0 | 0:1 | 0:1 | - | - |
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BFreshour
139 posts
msg #43828
- Ignore BFreshour |
5/17/2006 6:27:02 PM
Second best >80? You do realize that the lower the PE ratio the better right?
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__fetcheruser123
msg #43857
- Ignore __fetcheruser123 |
5/18/2006 4:10:04 PM
BFreshour,
Yes, PE Ratios above 80 seem to work best for this filter. I understand that lower PE Ratios are "better" in terms of stock value but we're talking trend analysis here. I'm not too concerned with the reasons WHY higher PE's work better in this situation but rather just that they DO work better. :) Know what I mean?
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shelupinin
120 posts
msg #43864
- Ignore shelupinin |
5/18/2006 4:42:41 PM
Did you notice that P/E ratio in stockfetcher's database is far from P/E ratio from any other financial site, for example finance.yahoo.com? and P/E ratio exists not for all stocks.
(2334 stocks)
and
(3674 stocks)
Alex
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BFreshour
139 posts
msg #43904
- Ignore BFreshour |
5/19/2006 4:06:09 PM
Yes, I don't get the PE ratios on stock fetcher. My guess is that they are light years behind or something is amiss...
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lohmeyer1
4 posts
msg #44096
- Ignore lohmeyer1
modified |
5/23/2006 1:12:29 PM
Hey Traderblues
I was wondering if you could explain to me exactly what the opportunity graph is telling me. Im afraid that I dont understand the dynamics behind it. Any info would be greatly appreciated.
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traderblues
195 posts
msg #44109
- Ignore traderblues |
5/23/2006 7:42:57 PM
lohmeyer,
Nothing really innovative. Opportunity is simply the weekly ATR divided by the stock price. So it represents stocks that move a lot in relation to their price. You don't want to buy a $60 stock that only moves $1 up and down per week. That would give you very little opportunity if you are a swing trader.
But your question got me thinking about the opportunity ratio. I had it set at greater than 0.15. Then I got to thinking - how about stocks where opportunity was at a medium term high? So I changed that to "opportunity reached a new 10 week high". I also changed the max holding period to 10 days, and the profit stop to 20%. Still no stop loss. Here is the new 2 year backtest result:
set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity reached a new 10 week high
and rsi(5) is below 25
and price is above 0.5
and dailytot is above 150000
and high has been above MA(100) for the last 40 days
and price is above MA(50)
Profit Stop 20%
NO stop Loss
Maximum holding period 10 days
sort by opportunity ascending (lower is better)
| Approach Information | | Approach Name: new opportunity 1-1-02 to 1-1-04 | | Test started on 12/31/2001 ended on 12/31/2003, covering 504 days | | Filter used: | set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity reached a new 10 week high
and rsi(5) is below 25
and price is above 0.5
and dailytot is above 150000
and high has been above MA(100) for the last 40 days
and price is above MA(50)
and add column rsi(5)
and sort by column 8 ascending |
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| Trade Statistics | | There were 424 total stocks entered. Of those, 418 or 98.58% were complete and 6 or 1.42% were open. | | Of the 418 completed trades, 298 trades or 71.29%resulted in a net gain. | | Your average net change for completed trades was: 6.20%. | | The average draw down of your approach was: -6.73%. | | The average max profit of your approach was: 12.72% | | The Reward/Risk ratio for this approach is: 4.16 | | Annualized Return on Investment (ROI): 183.22%, the ROI of ^SPX was: -2.07%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 96 times or 22.97% 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) 282 times or 67.46% of the time. | | An exit trigger was executed 40 times or 9.57% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 298 | 283 | 300 | 296 | 306 | 293 | | Losers: | 120 | 137 | 122 | 123 | 118 | 130 | | Win/Loss Ratio: | 2.48:1 | 2.07:1 | 2.46:1 | 2.41:1 | 2.59:1 | 2.25:1 | | Net Change: | 6.20% | 2.92% | 4.99% | 6.75% | 11.20% | 13.53% |
| Statistics By Variable: Match Price | | | <50 | <100 | <150 | <200 | <250 | <300 | <350 | <400 | <450 | <500 | | Completed | 290:116 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 0:1 | | 2 day chg | 274:134 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 5 day chg | 293:117 | 5:4 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 10 day chg | 288:119 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 0:1 | | 25 day chg | 298:114 | 6:3 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 40 day chg | 283:128 | 8:1 | 0:1 | 1:0 | - | - | - | - | - | 1:0 |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 278:114 | 9:4 | 4:0 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 2 day chg | 267:126 | 6:8 | 3:1 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 5 day chg | 282:113 | 8:6 | 4:0 | 3:0 | - | 1:1 | 1:1 | 1:0 | - | 0:1 | | 10 day chg | 276:116 | 9:5 | 4:0 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 25 day chg | 290:107 | 8:6 | 4:0 | 2:1 | - | 1:1 | 0:2 | 1:0 | - | 0:1 | | 40 day chg | 277:119 | 7:7 | 3:1 | 3:0 | - | 2:0 | 0:2 | 1:0 | - | 0:1 |
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traderblues
195 posts
msg #44110
- Ignore traderblues |
5/23/2006 7:47:39 PM
I left out 1 thing....there is an exit trigger of "RSI(5) is above 75". I might try taking that out, and seeing what kind of effect it has. It didn't get triggered that often, anyway.
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