Interesting filter - perhaps the best I've seen so far

StockFetcher Forums · Filter Exchange · Interesting filter - perhaps the best I've seen so far

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Kevin_in_GA 4,599 posts msg #78632 - Ignore Kevin_in_GA	9/4/2009 2:52:45 PM KEV, I TRIED PUTTING THE BELOW IBD LIST, , INTO A WATCHLIST, CALLED "KEV" AND RAN THE BACKTEST, OVER THE LAST 2 YEARS, WITH ONLY, APPLY WATCHLIST(KEV), AND GOT BETTER RESULTS THAN INCLUDING YOUR OR ANY FILTER. HAVE YOU TRIED THIS. MY REASONING WAS THAT THE IBD ON IT'S OWN IS A GREAT BUY. ++++++++++++++++++++++++++ Chet: are you saying that you tested a buy and hold strategy for these stocks?
hawkeyes002 49 posts msg #78643 - Ignore hawkeyes002	9/4/2009 5:42:34 PM hey kevin where did you get those stocks that you are currently in? this is the filter right? i see a few of the ones that you bought but most of those i do not see /BOLLINGER BAND BUY FILTER/ CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5) and apply to watchlist(WL0,WL1,WL2)
chetron 2,817 posts msg #78645 - Ignore chetron modified	9/4/2009 5:57:18 PM YES KEVIN. PLEASE IGNORE THE NOTED OUT OLD LIST, JUST TRIED TO SAVE TIME..... I HAVE TIME NOW...... Entry Filter WATCHLIST(KEV) Basic Setup Name: *********************************IBD100 Approach Type: Long Start Date: 08/31/2007 End Date: 09/03/2009 Benchmark Symbol: ^SPX Exit Setup Stop Loss: 10% Profit Stop: 10% Trailing Stop Loss: N/A Minimum Holding Days: N/A Maximum holding days: 25 Extra Indicators Entry Columns: Show Performance After: after 2 days after 5 days after 10 days after 25 days after 40 days Advanced Options Selection Method: select by volume descending Entry Price: open Conditional Entry: No Exit Price: open Maximum Trades Per Day: 25 Maximum Open Positions: 250 Maximum Selected Stocks: All Approach Information Approach Name: *********************************IBD100 Test started on 08/31/2007 ended on 09/03/2009, covering 506 days Filter used: WATCHLIST(KEV) Trade Statistics There were 9949 total stocks entered. Of those, 9766 or 98.16% were complete and 183 or 1.84% were open. Of the 9766 completed trades, 5044 trades or 51.65%resulted in a net gain. Your average net change for completed trades was: 0.72%. The average draw down of your approach was: -8.16%. The average max profit of your approach was: 9.02% The Reward/Risk ratio for this approach is: 1.15 Annualized Return on Investment (ROI): 24.11%, the ROI of ^SPX was: -15.22%. Exit Statistics Stop Loss was triggered 4352 times or 44.56% of the time. Stop Profit was triggered 4661 times or 47.73% of the time. Trailing Stop Loss was triggered 0 times or 0.00% of the time. You held for the maximum period of time (25 days) 753 times or 7.71% of the time. An exit trigger was executed 0 times or 0.00% of the time. Transaction Summary Daily Gains : $1325.66 Daily Losses : $1786.47 Running Gain/(Loss) : $26765.56 # Stocks held at end of day : 0 Summary Invested In Stock: $0.00 Market Value of Stock: $0.00 Market Value - Invested: - $0.00 Available Cash: $126765.56 Total (Cash + Market): $126765.56
Kevin_in_GA 4,599 posts msg #78658 - Ignore Kevin_in_GA modified	9/4/2009 10:25:01 PM 26% for a year, before commissions on 9949 trades. That's a lot of work.
chetron 2,817 posts msg #78661 - Ignore chetron	9/4/2009 11:29:23 PM BUT REMEMBER, ADDING A FILTER BRINGS IT DOWN TO -42% BEFORE COMMISSIONS. DO HAVE ANY SUGGESTION FOR THE SETTINGS I USED????
Kevin_in_GA 4,599 posts msg #78678 - Ignore Kevin_in_GA modified	9/5/2009 9:59:51 AM Just a guess on this: 1. If you completely remove the stop loss, what happens? Remember, these are solid stocks that over the time frame you used did quite well. 2. I like to use trailing stops over stop losses or profit stops - a 15% trailing stop might be interesting.
Kevin_in_GA 4,599 posts msg #78679 - Ignore Kevin_in_GA modified	9/5/2009 10:16:08 AM Just ran my BB filter with only a 20% profit stop as the exit. I like testing from 10/31/08 to 3/1/09 because this time was so bad - if a filter does well during this time frame, it probably will do OK on any time frame. Interesting results: Approach Name: BOLLINGER BAND(16,2.5) IBD STOCKS Test started on 10/31/2008 ended on 02/27/2009, covering 80 days Trade Statistics There were 118 total stocks entered. Of those, 68 or 57.63% were complete and 50 or 42.37% were open. Of the 68 completed trades, 68 trades or 100.00%resulted in a net gain. Your average net change for completed trades was: 21.61%. The average draw down of your approach was: -15.26%. The average max profit of your approach was: 27.45% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): 360.76%, the ROI of ^SPX was: -70.63%. EQUITY SUMMARY: Total (Cash + Market): $109337.67 Any filter that makes money during this time is probably a good one.
Kevin_in_GA 4,599 posts msg #78704 - Ignore Kevin_in_GA modified	9/5/2009 6:33:40 PM Testing code to put in a table of my Bollinger Band Stocks and how they are doing. Table seems to be at the bottom of the page - not sure why. EDIT: deleted.
trendscanner 265 posts msg #78744 - Ignore trendscanner	9/7/2009 10:05:03 AM Kevin_in_GA - Ignore Kevin_in_GA modified 9/5/2009 10:16:08 AM Just ran my BB filter with only a 20% profit stop as the exit. I like testing from 10/31/08 to 3/1/09 because this time was so bad - if a filter does well during this time frame, it probably will do OK on any time frame. Interesting results: Approach Name: BOLLINGER BAND(16,2.5) IBD STOCKS Test started on 10/31/2008 ended on 02/27/2009, covering 80 days Trade Statistics There were 118 total stocks entered. Of those, 68 or 57.63% were complete and 50 or 42.37% were open. Of the 68 completed trades, 68 trades or 100.00%resulted in a net gain. Your average net change for completed trades was: 21.61%. The average draw down of your approach was: -15.26%. The average max profit of your approach was: 27.45% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): 360.76%, the ROI of ^SPX was: -70.63%. ================================================================================================ I spent some time backtesting various configurations of this filter. When I backtest this version: Fetcher[ CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5) and apply to watchlist(IBD100) ] during the time period 10/31/2008 through 3/3/2009, using a 10% stop loss and 20% stop profit, I get the following results There were 78 total stocks entered. Of those, 59 or 75.64% were complete and 19 or 24.36% were open. Of the 59 completed trades, 24 trades or 40.68%resulted in a net gain. Your average net change for completed trades was: 1.71%. The average draw down of your approach was: -9.85%. The average max profit of your approach was: 12.16% The Reward/Risk ratio for this approach is: 1.29 Annualized Return on Investment (ROI): 95.76%, the ROI of ^SPX was: -81.15%. Not sure why my results weren't as good as yours. I'm wondering what version of the BB IBD filter you're running or what other settings you're applying during this time period to get the 100% net gain on the completed trades. Thanks
Kevin_in_GA 4,599 posts msg #78787 - Ignore Kevin_in_GA	9/8/2009 12:06:16 PM Eliminate any stop loss. You'll get much better results.

StockFetcher Forums · Filter Exchange · Interesting filter - perhaps the best I've seen so far

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