glm47
51 posts
msg #42910
- Ignore glm47 |
4/12/2006 2:34:39 PM
Here is a filter idea that I have been playing around with that backtests pretty well for swing traders. I would like you experts to help me figure out how to improve it. I don't understand some of the backtest output.
More importantly, I would like to figure the SF backtest selection criteria so I could papertrade this for a while.
Filter below:
| Approach Information | | Approach Name: Close near 52 Week High within 1 week and volume a... | | Test started on 12/30/2005 ended on 03/29/2006, covering 60 days | | Filter used: | | Close near 52 Week High within 1 week and volume above 500000 and ... (saved filter) |
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| Trade Statistics | | There were 11 total stocks entered. Of those, 9 or 81.82% were complete and 2 or 18.18% were open. | | Of the 9 completed trades, 7 trades or 77.78%resulted in a net gain. | | Your average net change for completed trades was: 4.16%. | | The average draw down of your approach was: -2.39%. | | The average max profit of your approach was: 9.01% | | The Reward/Risk ratio for this approach is: 4.52 | | Annualized Return on Investment (ROI): 81.21%, the ROI of ^SPX was: 15.91%. |
| Exit Statistics | | Stop Loss was triggered 1 times or 11.11% 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 (14 days) 8 times or 88.89% 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: | 7 | 8 | 9 | 9 | 4 | 3 | | Losers: | 2 | 3 | 2 | 2 | 4 | 3 | | Win/Loss Ratio: | 3.50:1 | 2.67:1 | 4.50:1 | 4.50:1 | 1.00:1 | 1.00:1 | | Net Change: | 4.16% | 3.51% | 4.69% | 4.43% | -5.35% | -5.11% |
| Statistics By Variable: Match Price | | | <60 | <70 | <80 | <90 | <100 | <110 | <120 | <130 | <140 | <150 | | Completed | 1:0 | 1:0 | 1:0 | - | - | - | - | 3:0 | 1:1 | 0:1 | | 2 day chg | 1:0 | 1:0 | 0:1 | - | - | 1:0 | - | 3:0 | 1:1 | 1:1 | | 5 day chg | 1:0 | 1:0 | 0:1 | - | - | 1:0 | - | 3:0 | 1:1 | 2:0 | | 10 day chg | 1:0 | 1:0 | 1:0 | - | - | 0:1 | - | 3:0 | 1:1 | 2:0 | | 25 day chg | 1:0 | 1:0 | 0:1 | - | - | - | - | 1:1 | 1:1 | 0:1 | | 40 day chg | 1:0 | 0:1 | - | - | - | - | - | 1:1 | 1:0 | 0:1 |
| 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 | 4:1 | 2:1 | - | - | - | - | - | 1:0 | - | - | | 2 day chg | 4:2 | 3:0 | 0:1 | - | - | - | - | 1:0 | - | - | | 5 day chg | 4:2 | 3:0 | 1:0 | - | - | - | - | 1:0 | - | - | | 10 day chg | 4:2 | 3:0 | 1:0 | - | - | - | - | 1:0 | - | - | | 25 day chg | 1:3 | 2:1 | - | - | - | - | - | 1:0 | - | - | | 40 day chg | 1:1 | 1:2 | - | - | - | - | - | 1:0 | - | - |
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veloman
10 posts
msg #42922
- Ignore veloman |
4/12/2006 11:43:09 PM
This filter only gave you 11 stocks over 4 months, it may not be very reliable.
I have some penny filters that had ROI of 28,000% but it only gave a few stocks over 4 months.
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glm47
51 posts
msg #42926
- Ignore glm47 |
4/13/2006 1:43:54 AM
I'm trying to come up with filters for SWING traders that have a very high win ratio and that do not expect you to take a rediculous amount of positions and risk to get decent returns. I was impressed by the 78& win ratio and the 81% ROI for only 11 stocks. I could easily adjust the backtest parameters to provide more stocks but it comes at a reduced win ratio and I want to improve the win ratio, not reduce it.
If we can formulate 2-3 of these types of filters that provide a few low-risk, easy to manage picks each day, those among us that have to work every day could steadily build our trading accounts to the point where we could think about taking on other trading strategies.
Help me come up with filters that give a 90+% win ratio with minimal risk and decent ROI, rather than telling me how great your unuseable filter is please.
I double-dog-dare you to actually try and trade your 28K ROI filter...lol
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traderblues
195 posts
msg #42927
- Ignore traderblues |
4/13/2006 8:02:36 AM
I think a 90% success rate is unreasonable. In my opinion, anything over 67% for a short-term swing system is good. For longer term trend following systems, you can make a lot of money with a 50% success rate. I don't pay a lot of attention to ROI. That can be a very misleading number. The 3 things I look at are:
1. A Reward:Risk ratio better than 3:1
2. Number of trades made
3. Average return per trade
I have also discovered a key element in good results: In the backtester, set your entry price as S1, and set it so the buy won't execute if S1 is not hit. You will find that you will only be buying about 20% of the stocks that make your filter, but the return per trade is much higher.
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glm47
51 posts
msg #42947
- Ignore glm47 |
4/14/2006 12:05:48 AM
What is S1?
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maxreturn
745 posts
msg #42952
- Ignore maxreturn
modified |
4/14/2006 6:51:20 AM
glm47, I believe he's referring to S1 which is one of four "pivot" points derived from today's o,h,l,c prices. Refer to the following page for a description:
http://www.stockfetcher.com/stockdb/fetcher?p=forum⊂=view&fid=1006&tid=132
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traderblues
195 posts
msg #42953
- Ignore traderblues |
4/14/2006 8:11:01 AM
maxreturn-
Yes, that's what I was referring to. Sorry, I should have explained more.
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stockgobblin
7 posts
msg #43028
- Ignore stockgobblin |
4/17/2006 11:56:18 AM
Traderblues, do you have a short swing system with over 67% success? If so, can we see it? I can't get much over 60% for 2 years with an equal profit loss. Thanks
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