louie6digits
34 posts
msg #98148
- Ignore louie6digits |
12/21/2010 6:23:07 PM
I get Hernia from reading these posts! Of course it is the same filter... I improved the EXIT Statistics not the TRADE Statistics.
Obviously you want better Trade Statistics. I tried improving the filter, but I don't have enough filters in my tool shed. LOL
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miska2
17 posts
msg #98157
- Ignore miska2 |
12/22/2010 1:55:15 PM
IrishPB,
Do you recommend stocks with a lower Beta in general? I know the author of the blog suggested using a lower ATR for swing trading and a higher one for day trading.
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irishpitbull
54 posts
msg #98158
- Ignore irishpitbull |
12/22/2010 2:42:48 PM
For swing trading, I have found that low ATR and Higher beta (Over 1) have been working pretty well. Also higher volume stocks out pace the lower volume. The sweet spot for profits is 5-10 days out from your buy point.
Also stocks that have a high percentage move have done better than lower.
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miska2
17 posts
msg #98159
- Ignore miska2 |
12/22/2010 3:52:28 PM
Thanks for the info!
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irishpitbull
54 posts
msg #98192
- Ignore irishpitbull |
12/24/2010 5:52:57 PM
I updated the scan with the new beta info. It back tested much better that before. The newest filter is in the 1st post.
There were 17 total stocks entered. Of those, 15 or 88.24% were complete and 2 or 11.76% were open.
Of the 15 completed trades, 13 trades or 86.67%resulted in a net gain.
Your average net change for completed trades was: 3.08%.
The average draw down of your approach was: -1.59%.
The average max profit of your approach was: 4.85%
The Reward/Risk ratio for this approach is: 7.63
Annualized Return on Investment (ROI): 278.03%, the ROI of ^SPX was: 38.97%.
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duke56468
683 posts
msg #98342
- Ignore duke56468
modified |
12/31/2010 2:30:59 PM
louie6digits....would the exit trigger for a short look like this "Linear Regression Slope(10) below -0.15"?
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lookrei
7 posts
msg #98354
- Ignore lookrei |
1/1/2011 3:08:35 PM
StockFetcher Setup from filtering Wall Street:
http://filteringwallstreet.blogspot.com/2007/05/stockfetcher-setup.html
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wkloss
231 posts
msg #98453
- Ignore wkloss |
1/6/2011 12:09:57 AM
lookrei
Is the filter supposed to be on the page where the link takes you? I didn't see it.
Bill
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lookrei
7 posts
msg #98458
- Ignore lookrei |
1/6/2011 5:12:02 AM
Bill
here the original ema crossover backtesting setup from the blog:
Entry filter:
show stocks where
close is between 15 and 35 and
average volume(90) > 500000 and
open < ema(21) and
open < ema(8) and
open < ema(4) and
close > ema(21) and
close > ema(4) and
close > ema(8) and
close > open and
close 3 days ago < ema(21) and
close 5 days ago < close 3 days ago and
close 5 days ago < ema(90)
Stopp loss: 8%
Minimum Holding Days: 1
Maximum holding days: 4
Exit Trigger #1: close 1 day ago > close 2 days ago and close > close 1 day ago
Selection Method: select by atr(10) asccending
Entry Price: open
Exit Price: close
Maximum Trades Per Day: 1
Maximum Open Positions: 4
backtest results for the last 2 years:
There were 328 total stocks entered. Of those, 324 or 98.78% were complete and 4 or 1.22% were open.
Of the 324 completed trades, 207 trades or 63.89%resulted in a net gain.
Your average net change for completed trades was: 0.93%.
The average draw down of your approach was: -2.67%.
The average max profit of your approach was: 3.12%
The Reward/Risk ratio for this approach is: 1.76
Annualized Return on Investment (ROI): 72.73%, the ROI of ^SPX was: 20.20%.
Log File: Backtest Estimated Equity (compounded)
Name: EMA crossover
Initial portfolio Size: $100000.00
Maximum Open Positions: 4
Initial transaction size: $25000.00
Start Date: 01/02/09
End Date: 12/31/10
# Trading Days: 503
Running Gain/(Loss) : $108336.88
Total (Cash + Market): $208336.88
regards from Germany
Reiner
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wkloss
231 posts
msg #98513
- Ignore wkloss |
1/9/2011 8:55:11 PM
Reiner,
Thanks
Bill
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