__fetcheruser123
msg #44977
- Ignore __fetcheruser123 |
6/14/2006 11:20:53 PM
I'm interested in filters/systems to incorporate into an automated trading system. I was wondering if any of you might have some high probability systems you would like to share?
| Approach Information | | Approach Name: Chris -- Average Volume Rebounder | | Test started on 05/07/2004 ended on 05/09/2006, covering 504 days | | Filter used: | | Chris -- Average Volume Rebound (saved filter) |
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| Trade Statistics | | There were 6 total stocks entered. Of those, 6 or 100.00% were complete and or 0.00% were open. | | Of the 6 completed trades, 4 trades or 66.67%resulted in a net gain. | | Your average net change for completed trades was: 2.15%. | | The average draw down of your approach was: -1.50%. | | The average max profit of your approach was: 3.54% | | The Reward/Risk ratio for this approach is: 24.04 | | Annualized Return on Investment (ROI): 318.63%, the ROI of ^SPX was: 9.29%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 3 times or 50.00% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time ( days) 0 times or 0.00% of the time. | | An exit trigger was executed 3 times or 50.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 4 | 3 | 3 | 5 | 3 | 5 | | Losers: | 2 | 2 | 3 | 1 | 3 | 1 | | Win/Loss Ratio: | 2.00:1 | 1.50:1 | 1.00:1 | 5.00:1 | 1.00:1 | 5.00:1 | | Net Change: | 2.15% | 0.14% | 1.16% | 1.97% | 0.72% | 3.87% |
| Statistics By Variable: Match Price | | | <10 | <15 | <20 | <25 | <30 | <35 | <40 | <45 | <50 | <55 | | Completed | 2:0 | 1:0 | - | 1:0 | - | - | - | 0:1 | 0:1 | - | | 2 day chg | 2:0 | 0:1 | - | 0:1 | - | - | - | - | 1:0 | - | | 5 day chg | 2:0 | 0:1 | - | 1:0 | - | - | - | 0:1 | 0:1 | - | | 10 day chg | 2:0 | 0:1 | - | 1:0 | - | - | - | 1:0 | 1:0 | - | | 25 day chg | 1:1 | 0:1 | - | 1:0 | - | - | - | 0:1 | 1:0 | - | | 40 day chg | 1:1 | 1:0 | - | 1:0 | - | - | - | 1:0 | 1:0 | - |
| Statistics By Variable: Average Volume | | | <100000 | <200000 | <300000 | <400000 | <500000 | <600000 | <700000 | <800000 | <900000 | <1000000 | | Completed | 3:2 | - | - | - | - | 1:0 | - | - | - | - | | 2 day chg | 2:2 | - | - | - | - | 1:0 | - | - | - | - | | 5 day chg | 2:3 | - | - | - | - | 1:0 | - | - | - | - | | 10 day chg | 4:1 | - | - | - | - | 1:0 | - | - | - | - | | 25 day chg | 3:2 | - | - | - | - | 0:1 | - | - | - | - | | 40 day chg | 5:0 | - | - | - | - | 0:1 | - | - | - | - |
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__fetcheruser123
msg #44978
- Ignore __fetcheruser123 |
6/14/2006 11:27:41 PM
| Approach Information | | Approach Name: Chris -- Average Volume Rebounder | | Test started on 05/07/2002 ended on 05/07/2004, covering 505 days | | Filter used: | | Chris -- Average Volume Rebound (saved filter) |
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| Trade Statistics | | There were 11 total stocks entered. Of those, 10 or 90.91% were complete and 1 or 9.09% were open. | | Of the 10 completed trades, 10 trades or 100.00%resulted in a net gain. | | Your average net change for completed trades was: 4.23%. | | The average draw down of your approach was: -4.66%. | | The average max profit of your approach was: 6.58% | | The Reward/Risk ratio for this approach is: 0.00 | | Annualized Return on Investment (ROI): 67.42%, the ROI of ^SPX was: 2.14%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 10 times or 100.00% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time ( days) 0 times or 0.00% 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: | 10 | 9 | 6 | 6 | 6 | 5 | | Losers: | 0 | 2 | 5 | 5 | 5 | 6 | | Win/Loss Ratio: | 0.00:1 | 4.50:1 | 1.20:1 | 1.20:1 | 1.20:1 | 0.83:1 | | Net Change: | 4.23% | 1.06% | 1.91% | 2.04% | 1.48% | 3.56% |
| Statistics By Variable: Match Price | | | <6 | <9 | <12 | <15 | <18 | <21 | <24 | <27 | <30 | <33 | | Completed | 2:0 | 2:0 | - | 3:0 | 1:0 | - | 1:0 | 1:0 | - | - | | 2 day chg | 2:0 | 2:0 | - | 2:1 | 1:0 | - | 1:0 | 0:1 | 1:0 | - | | 5 day chg | 1:1 | 2:0 | - | 2:1 | 1:0 | - | 0:1 | 0:1 | 0:1 | - | | 10 day chg | 1:1 | 2:0 | - | 2:1 | 1:0 | - | 0:1 | 0:1 | 0:1 | - | | 25 day chg | 0:2 | 2:0 | - | 2:1 | 1:0 | - | 0:1 | 1:0 | 0:1 | - | | 40 day chg | 0:2 | 2:0 | - | 2:1 | 1:0 | - | 0:1 | 0:1 | 0:1 | - |
| Statistics By Variable: Average Volume | | | <250000 | <500000 | <750000 | <1000000 | <1.2M | <1.5M | <1.8M | <2.0M | <2.2M | <2.5M | | Completed | 8:0 | - | 1:0 | - | - | - | - | - | 1:0 | - | | 2 day chg | 8:1 | - | 1:0 | - | - | - | - | - | 0:1 | - | | 5 day chg | 5:4 | - | 1:0 | - | - | - | - | - | 0:1 | - | | 10 day chg | 5:4 | - | 1:0 | - | - | - | - | - | 0:1 | - | | 25 day chg | 5:4 | - | 1:0 | - | - | - | - | - | 0:1 | - | | 40 day chg | 4:5 | - | 1:0 | - | - | - | - | - | 0:1 | - |
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__fetcheruser123
msg #44979
- Ignore __fetcheruser123 |
6/14/2006 11:31:10 PM
| Approach Information | | Approach Name: Chris -- Average Volume Rebounder | | Test started on 06/14/2004 ended on 06/14/2006, covering 505 days | | Filter used: | | Chris -- Average Volume Rebound (saved filter) |
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| Trade Statistics | | There were 6 total stocks entered. Of those, 6 or 100.00% were complete and or 0.00% were open. | | Of the 6 completed trades, 6 trades or 100.00%resulted in a net gain. | | Your average net change for completed trades was: 3.68%. | | The average draw down of your approach was: -1.93%. | | The average max profit of your approach was: 5.03% | | The Reward/Risk ratio for this approach is: 0.00 | | Annualized Return on Investment (ROI): 90.90%, the ROI of ^SPX was: 4.03%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 6 times or 100.00% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time ( days) 0 times or 0.00% 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: | 6 | 3 | 3 | 5 | 3 | 5 | | Losers: | 0 | 2 | 3 | 1 | 3 | 1 | | Win/Loss Ratio: | 0.00:1 | 1.50:1 | 1.00:1 | 5.00:1 | 1.00:1 | 5.00:1 | | Net Change: | 3.68% | 0.14% | 1.16% | 1.97% | 0.72% | 3.87% |
| Statistics By Variable: Match Price | | | <10 | <15 | <20 | <25 | <30 | <35 | <40 | <45 | <50 | <55 | | Completed | 2:0 | 1:0 | - | 1:0 | - | - | - | 1:0 | 1:0 | - | | 2 day chg | 2:0 | 0:1 | - | 0:1 | - | - | - | - | 1:0 | - | | 5 day chg | 2:0 | 0:1 | - | 1:0 | - | - | - | 0:1 | 0:1 | - | | 10 day chg | 2:0 | 0:1 | - | 1:0 | - | - | - | 1:0 | 1:0 | - | | 25 day chg | 1:1 | 0:1 | - | 1:0 | - | - | - | 0:1 | 1:0 | - | | 40 day chg | 1:1 | 1:0 | - | 1:0 | - | - | - | 1:0 | 1:0 | - |
| Statistics By Variable: Average Volume | | | <100000 | <200000 | <300000 | <400000 | <500000 | <600000 | <700000 | <800000 | <900000 | <1000000 | | Completed | 5:0 | - | - | - | - | 1:0 | - | - | - | - | | 2 day chg | 2:2 | - | - | - | - | 1:0 | - | - | - | - | | 5 day chg | 2:3 | - | - | - | - | 1:0 | - | - | - | - | | 10 day chg | 4:1 | - | - | - | - | 1:0 | - | - | - | - | | 25 day chg | 3:2 | - | - | - | - | 0:1 | - | - | - | - | | 40 day chg | 5:0 | - | - | - | - | 0:1 | - | - | - | - |
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__fetcheruser123
msg #44980
- Ignore __fetcheruser123 |
6/14/2006 11:33:50 PM
set{QQQQtest, count(ind(QQQQ,close) above ind(QQQQ,MA(40)),1) }
set{DIAtest, count(ind(DIA,close) above ind(DIA,MA(40)),1) }
set{SPYtest, count(ind(SPY,close) above ind(SPY,MA(40)),1) }
QQQQtest > 0
DIAtest + SPYtest > 0
set{vdif, Volume / Average Volume(90)}
vdif > 3
and vdif 1 day ago is < 3 for the last 5 days
and volume has increased in the last 1 day
and Williams %R(14) < -95
and close has increased in the last 1 day
and Average Volume(90) is above 20000
and close is between 2 and 250
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