badboy9
7 posts
msg #30945
- Ignore badboy9 |
2/2/2004 7:15:16 PM
Just curious, Ive never used Fibonacci bands at all. In a stock channel they were talking about a guy who uses the parameters of 12,21,34,55,89 and 144 and does real well. Any clue about these, how they work or if you can develop a screen using them? Id like to see what a screen comes up with and track how well it does.
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__fetcheruser123
msg #46825
- Ignore __fetcheruser123
modified |
9/10/2006 1:45:12 AM
1,1,2,3,5,8,13,21,34,55,89, and 144 are part of the Fibonacci sequence...
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__fetcheruser123
msg #46826
- Ignore __fetcheruser123 |
9/10/2006 2:10:05 AM
All the numbers in this backtest are represented in the Fibonacci sequence...
http://www.mcs.surrey.ac.uk/Personal/R.Knott/Fibonacci/fibtable.html
| Approach Information | | Approach Name: Fibonacci Down(55,34) is near 0.05 and date offset... | | Test started on 09/08/2004 ended on 09/08/2006, covering 505 days | | Filter used: | Fibonacci Down(55,13) is near 0.055
rsi(2) < 2
volume > 2178309
average volume (89) > 317811 |
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| Trade Statistics | | There were 97 total stocks entered. Of those, 97 or 100.00% were complete and or 0.00% were open. | | Of the 97 completed trades, 56 trades or 57.73%resulted in a net gain. | | Your average net change for completed trades was: 1.70%. | | The average draw down of your approach was: -2.21%. | | The average max profit of your approach was: 2.49% | | The Reward/Risk ratio for this approach is: 3.37 | | Annualized Return on Investment (ROI): 421.12%, the ROI of ^SPX was: 7.75%. |
| 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) 97 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: | 56 | 56 | 61 | 61 | 53 | 57 | | Losers: | 40 | 40 | 35 | 36 | 41 | 34 | | Win/Loss Ratio: | 1.40:1 | 1.40:1 | 1.74:1 | 1.69:1 | 1.29:1 | 1.68:1 | | Net Change: | 1.70% | 1.70% | 1.78% | 2.48% | 4.20% | 5.70% |
| Statistics By Variable: Match Price | | | <300 | <600 | <900 | <1200 | <1500 | <1800 | <2100 | <2400 | <2700 | <3000 | | Completed | 56:39 | - | - | - | - | - | - | - | - | 0:1 | | 2 day chg | 56:39 | - | - | - | - | - | - | - | - | 0:1 | | 5 day chg | 60:35 | - | - | - | - | - | - | - | - | 1:0 | | 10 day chg | 60:36 | - | - | - | - | - | - | - | - | 1:0 | | 25 day chg | 52:41 | - | - | - | - | - | - | - | - | 1:0 | | 40 day chg | 56:34 | - | - | - | - | - | - | - | - | 1:0 |
| Statistics By Variable: Average Volume | | | <4.0M | <8.0M | <12.0M | <16.0M | <20.0M | <24.0M | <28.0M | <32.0M | <36.0M | <40.0M | | Completed | 41:29 | 11:6 | 1:1 | 2:1 | 0:3 | - | - | - | 1:0 | - | | 2 day chg | 41:29 | 11:6 | 1:1 | 2:1 | 0:3 | - | - | - | 1:0 | - | | 5 day chg | 41:29 | 14:3 | 1:1 | 2:1 | 2:1 | - | - | - | 1:0 | - | | 10 day chg | 42:29 | 14:3 | 2:0 | 2:1 | 1:2 | - | - | - | 0:1 | - | | 25 day chg | 38:30 | 11:6 | 1:1 | 2:1 | 1:2 | - | - | - | 0:1 | - | | 40 day chg | 40:25 | 12:5 | 2:0 | 2:1 | 1:2 | - | - | - | 0:1 | - |
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TheRumpledOne
6,411 posts
msg #46829
- Ignore TheRumpledOne |
9/10/2006 8:47:34 AM
I don't understand...
The performance graph shows the S&P beat the filter.
But "Annualized Return on Investment (ROI): 421.12%, the ROI of ^SPX was: 7.75%." says the filter beat the S&P.
Please explain.
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__fetcheruser123
msg #46845
- Ignore __fetcheruser123 |
9/11/2006 9:58:23 AM
TRO, that part of the graph is jacked up. I don't know why SF shows it like it does...
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TheRumpledOne
6,411 posts
msg #46854
- Ignore TheRumpledOne |
9/11/2006 8:08:48 PM
Thanks.
It's funny, I still can't figure out how the backtest works here.
But I look at things differently, so it doesn't matter.
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__fetcheruser123
msg #46879
- Ignore __fetcheruser123 |
9/12/2006 12:24:36 PM
How do you look at things, TRO?
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TheRumpledOne
6,411 posts
msg #46894
- Ignore TheRumpledOne |
9/12/2006 7:23:12 PM
When most people look at a backtest they look at profit/loss and drawdown.
All I care about is RUN UP!!
I want entries that give me an OPPORTUNITY to TAKE PROFIT.
That's all that matters to me.
Statistically based entries that give me an edge.
Just like the FADE THE GAP STATISTICS FILTER I posted for everyone to benefit from. That's all you need to get rich.
The casino build tall buildings by having an edge of less than .01
Check out the edge of the FADE THE GAP STATISTICS FILTER.
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__fetcheruser123
msg #46923
- Ignore __fetcheruser123 |
9/14/2006 3:15:21 PM
I'm not sure I follow, TRO. What is run up? Could you give me an example?
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WALLSTREETGENIUS
983 posts
msg #46995
- Ignore WALLSTREETGENIUS |
9/16/2006 5:32:37 PM
Chris...are you kidding us? "RUN UP" quite simply means price moving "up." like from $1 to $2. Are you with us here?
TRO is trying to tell you just like I tell others that "backtesting" is a joke here at SF. Who cares about "backtesting" when the price runs up AND down? You ALWAYS take profits when a security is on it's way up right? So what does "backtesting" even do for you or anyone for that matter?
IMO it's a big waste of time.
- RIGGS -
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