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| levamit 101 posts msg #104930 - Ignore levamit modified |
2/12/2012 9:11:48 AM Hello Traders, I found this great strategy and i build nice 2 filter to trade on it. The strategy is buy next 3 month Call & Put and take profit target of 20 percent for stock movement. for backtest used the information below: Exit Setup Stop Loss: 20% Profit Stop: 20% Trailing Stop Loss: N/A Minimum Holding Days: 1 Maximum holding days: 80 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 Close all OPEN positions: Yes Meaning : if the stop loss dropped 20% your Put position could earn up to 100% and if the profit stop gained 20% your Call position could earn up to 100% The filter 1 is : Filter 2 : Enjoy, L.A |
| Billirider321 62 posts msg #104983 - Ignore Billirider321 |
2/15/2012 12:58:13 AM Made some changes with good result. Only had 34 trade in 2 year. Summary · Filter · Basic · Exit · Indicators · Advanced Backtests · Backtest Forum · Help leavamit_options_long (saved filter) Basic Setup Name: unnamed approach Approach Type: Long Start Date: 12/31/2009 End Date: 12/30/2011 Benchmark Symbol: ^SPX Exit Setup Stop Loss: N/A Profit Stop: N/A Trailing Stop Loss: N/A Minimum Holding Days: 1 Maximum holding days: 30 Exit Trigger #1: Price crossing above MA(10) 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 Close all OPEN positions: No Stocks are not OTCBB stocks are optionable stocks are not ETF average Volume(30) > 150000 and close is above 1 and close greater than close 1 day ago and count(close more than 15 percent below dma(10,), 5) above 1 Approach Information Approach Name: unnamed approach Test started on 12/31/2009 ended on 12/30/2011, covering 504 days Filter used: leavamit_options_long (saved filter) Trade Statistics There were 34 total stocks entered. Of those, 34 or 100.00% were complete and or 0.00% were open. Of the 34 completed trades, 22 trades or 64.71%resulted in a net gain. Your average net change for completed trades was: 7.44%. The average draw down of your approach was: -12.78%. The average max profit of your approach was: 16.38% The Reward/Risk ratio for this approach is: 5.13 Annualized Return on Investment (ROI): 268.33%, the ROI of ^SPX was: 5.70%. 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 (30 days) 0 times or 0.00% of the time. An exit trigger was executed 34 times or 100.00% of the time. Home Examples My Filters Forums Watch Lists Shared Lists Backtesting Settings User Guide Help Sign Out Statistics · Performance Chart · Trades · Equity Summary new! · System Summary · Edit Backtests · Backtest Forum · Help 1 to 34 of 34 - Download CSV Performance Symbol Trigger Date Entry Price Exit Date Exit Price Draw Down Max Profit Gain/ Loss 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Exit Type FBC 03/29/2010 61.00 04/07/2010 67.00 -6.56% 11.48% 9.84% -1.64% 9.84% 11.48% -1.64% -22.95% TRIGGER KV.A 04/01/2010 1.97 04/16/2010 1.82 -27.92% 0.00% -7.61% -8.63% -17.26% -9.64% -26.90% -31.98% TRIGGER STSA 04/29/2010 102.00 05/13/2010 88.00 -36.27% 0.98% -13.73% -32.35% -20.59% -17.65% -20.59% -50.98% TRIGGER PCBC 05/04/2010 155.00 05/13/2010 197.00 0.00% 88.39% 27.10% 49.03% 41.94% 16.77% -16.13% -53.55% TRIGGER PCBC 06/28/2010 78.00 07/09/2010 78.00 -20.51% 6.41% 0.00% -7.69% -14.10% -3.85% 29.49% 71.79% TRIGGER VICL 09/28/2010 2.23 10/08/2010 2.27 -1.79% 3.59% 1.79% 0.00% 1.35% -1.35% -2.69% -13.90% TRIGGER PCBC 11/03/2010 45.00 11/11/2010 56.00 -20.00% 35.56% 24.44% -6.67% 22.22% -11.11% -37.78% -37.20% TRIGGER PCBC 11/24/2010 28.00 12/03/2010 31.00 -21.43% 10.71% 10.71% 3.57% 7.14% 0.00% 0.93% 0.29% TRIGGER ASTI 04/05/2011 1.76 04/25/2011 1.70 -11.93% 1.70% -3.41% -3.41% -7.39% -9.66% -9.09% -22.16% TRIGGER PNSN 05/13/2011 3.42 05/24/2011 3.72 -13.74% 12.87% 8.77% -10.53% 4.68% 5.26% 4.09% 2.05% TRIGGER PLUG 05/27/2011 2.42 06/15/2011 2.28 -21.07% 2.89% -5.79% -3.31% -5.79% -7.02% -5.79% -6.20% TRIGGER PTIE 06/28/2011 4.01 07/11/2011 4.55 -6.73% 18.95% 13.47% -3.49% 15.46% 16.21% 19.95% 15.71% TRIGGER DNDN 08/09/2011 10.65 08/18/2011 12.36 -13.43% 30.99% 16.06% -3.76% 22.72% 17.37% 11.74% -15.49% TRIGGER MDR 08/09/2011 13.09 08/16/2011 14.90 -2.06% 16.20% 13.83% 5.81% 7.49% -4.74% 7.56% 1.99% TRIGGER MTG 08/09/2011 2.24 08/25/2011 2.25 -29.02% 11.16% 0.45% 5.36% -6.70% -24.55% 8.93% -17.86% TRIGGER RDN 08/09/2011 2.45 08/18/2011 2.47 -3.67% 13.88% 0.82% 8.16% 6.53% -18.37% 12.65% -15.10% TRIGGER GMXR 08/09/2011 2.99 08/31/2011 3.08 -20.40% 16.72% 3.01% 8.36% -2.34% -13.04% -21.40% -29.10% TRIGGER ANR 08/09/2011 28.35 08/16/2011 33.15 -2.54% 21.87% 16.93% 10.79% 13.47% 9.24% 4.83% -30.51% TRIGGER HNSN 08/09/2011 3.08 08/18/2011 3.01 -14.94% 8.12% -2.27% -3.25% 2.92% 0.00% 30.84% 3.25% TRIGGER DVR 08/09/2011 3.12 08/30/2011 3.05 -16.35% 5.45% -2.24% -3.21% -0.96% -6.73% -16.67% -48.72% TRIGGER RAS 08/09/2011 3.86 08/12/2011 4.60 -2.85% 20.21% 19.17% 16.84% 9.84% -9.07% 0.52% -16.06% TRIGGER CEDC 08/09/2011 5.74 08/16/2011 6.72 -8.89% 21.78% 17.07% -3.83% 11.85% -2.79% 9.93% 12.89% TRIGGER BONT 08/09/2011 6.83 08/22/2011 6.67 -16.25% 6.59% -2.34% -11.71% -6.73% 1.76% -6.73% -27.53% TRIGGER LNG 08/09/2011 7.19 08/16/2011 8.55 -6.12% 21.70% 18.92% 5.01% 14.60% 3.20% 1.11% -37.55% TRIGGER SD 08/09/2011 7.34 08/18/2011 7.52 -4.63% 11.72% 2.45% 2.18% 4.77% -8.99% -1.77% -18.94% TRIGGER IPSU 08/09/2011 8.49 08/29/2011 7.50 -23.44% 0.24% -11.66% -5.65% -12.49% -19.91% -6.36% -20.85% TRIGGER CLWR 08/10/2011 1.55 08/15/2011 1.95 -10.32% 29.68% 25.81% 23.23% 50.32% 96.77% 66.45% 32.26% TRIGGER ATPG 08/10/2011 9.46 08/16/2011 10.54 -7.40% 17.44% 11.42% 8.77% 19.03% 24.52% 28.33% -15.43% TRIGGER ANX 08/11/2011 1.17 08/31/2011 1.09 -30.77% 0.85% -6.84% -5.13% -14.53% -23.08% 0.85% -21.37% TRIGGER PNX 08/11/2011 2.02 08/18/2011 1.91 -7.92% 0.99% -5.45% -2.48% -11.88% -7.92% -13.37% -43.07% TRIGGER NWY 08/23/2011 3.13 08/31/2011 3.80 -3.51% 24.28% 21.41% 1.60% 20.45% 6.39% 0.32% -4.15% TRIGGER FMCN 10/04/2011 20.22 10/07/2011 22.90 -4.40% 15.18% 13.25% 12.81% 19.54% 21.96% 27.65% -8.41% TRIGGER GTIV 10/05/2011 3.18 10/13/2011 4.38 -0.94% 68.24% 37.74% 12.89% 41.51% 13.21% 67.92% 87.42% TRIGGER YRCW 10/13/2011 18.00 10/25/2011 18.00 -16.67% 0.00% 0.00% 0.00% -16.67% 0.00% -33.33% -38.33% TRIGGER 1 to 34 of 34 - *** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. 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| Kevin_in_GA 4,599 posts msg #104988 - Ignore Kevin_in_GA |
2/15/2012 11:39:24 AM Please rerun this with a max of 10 trades rather than 250 and let us know the equity summary. This is what is really important, not the ROI or trade data. I know you are using this for options, but let's see these metrics if possible. Kevin |
| levamit 101 posts msg #104993 - Ignore levamit modified |
2/16/2012 5:30:12 AM Hi Kev, You can use this filter, With the following credential : Exit Setup Maximum holding days: 3 or 2 Advanced Options Selection Method: select by volume descending Entry Price: open Conditional Entry: No Exit Price: open Maximum Trades Per Day: 2 Maximum Open Positions: 10 Maximum Selected Stocks: 2 Close all OPEN positions: Yes Tell me please what are you thinking about. You can test it with your beacktest software from the beginning of 2000? and update me with the results please. Regards, L.A |
| Billirider321 62 posts msg #104995 - Ignore Billirider321 |
2/16/2012 8:56:04 AM I agree with Kevin, Its not consistent money making and very oppurtunity. I am working on a mean revert on a daily basis method. will start a new thread. Bill |
| mahkoh 1,065 posts msg #105005 - Ignore mahkoh |
2/16/2012 5:21:27 PM Looking back with offset there are not many hits but those that do seem to indeed regularly return up to 20 %. I do think however that you will pay a hefty premium on your options causing time decay to eat up a chunk of your potential profit. Maybe wait a couple of days before establishing the position and let IV come down a bit? |
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