| StockFetcher Forums · Filter Exchange · Looking for filter with highest W/L Ratio | << 1 2 3 4 >>Post Follow-up |
| corsino 259 posts msg #49027 - Ignore corsino |
1/7/2007 1:59:14 PM Wallman Thanks for the tips. I did, in the past, backtest your Fast %K(14)below 10 filter and it did have a winning %, but did not try to change the parameters to see if it would improve the results. Out of curiosity, I backtest a lot of other people's filters, except those that have a lot of "set" statements.Those with a lot of "set" statements tend to get stuck in the backtesting and I have to e-mail SF to get them unstuck. I realize that filters alone cannot replace skills such as yours, but they keep my old brain working. |
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| __fetcheruser123 msg #49052 - Ignore __fetcheruser123 |
1/8/2007 1:55:51 PM Over a 4 year period, maximum 5 day hold, exit if RSI(2) > 85.
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| corsino 259 posts msg #49055 - Ignore corsino |
1/8/2007 2:47:22 PM Chrismnu Does that mean that $100,000 would have compounded into over a million? Do you know how that compares with other filters? |
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| Breed 1 posts msg #49058 - Ignore Breed |
1/8/2007 4:14:46 PM There seem to be some problems with the backtesting: 1) I used the same filter/exit/data and look at the different results 2) Look at the jump of the equity curve at the bottom of the performance chart from 07/10/06 ($267.581) to 07/13/06 ($767.276)?? 3)ACC was bought on 07/10/06 for 0.33 and sold 07/13/06 for 2.77 (a $3000 gain), however when you look at the chart this most likely is a wrong value, since it is completely out of line 4) The backtest final summary shows a total (Cash + Market)of $107715.43. 5) I just run the test again (not the attached one) and the performance chart delivers something totally different I would be very sceptical when using the backtesting tool
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| corsino 259 posts msg #49066 - Ignore corsino |
1/8/2007 7:34:32 PM Darn! Here I thought I could have been a millionaire, and was set to borrow $100,000 for the next four years. There does seem to be some problems with backtesting, so the results should be taken with a grain of salt. Furthermore,this morning I was communicating (by posting)with Tomb about an apparent discrepancy in results when running a backtest using "days offset"within the filter vs. using the Start Date and End Date in the backtest program, and suddenly all the posts after 12/13/2006, including my recent ones, disappeared from Backtest Support. Does anybody have that problem? |
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| stockfetcher 980 posts msg #49067 |
1/8/2007 7:54:54 PM Hi, We removed the thread related to your backtesting concerns after you refused to provide us with the details necessary to investigate the problem. Once again, if you could provide us with the exact filter you used in both the backtesting and historical analysis, we'll be more than happy to look into any possible problems. According to our records you were comparing different filters in each case. In addition, your last response on that thread indicated you didn't wish to assist us in this problem. Tom writes the following: -------------------------------------- Hi, Once again, we are having trouble following up on this issue due to inconsistencies in what you are reporting and what you have saved in your backtests. Currently for the backtest "11-DAYS DOWN" we see that there is a completely diff erent saved filter used as the entry filter than what was there previously; we w ould expect this would modify the results you are seeing. Again, if you can provide more information as well as details on how your number s were generated, this would allow us to further investigate this issue. Tom StockFetcher.com Support -------------------------------------- And your response was: >> Tom >> It is not that important to me to waste a lot of time. >> It just seems that there are inconsistent results doing >> the same backtest using two different features of SF. Steve StockFetcher.com Support |
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| corsino 259 posts msg #49069 - Ignore corsino |
1/8/2007 8:41:23 PM Tomb I did not actually refuse to cooperate. I gave you as much information as I could.You stated that the filter had totally changed, which is not true.The changes were merely to draw indicators or add columns, and should have had no impact on test results.Actually, I was in the process of compiling more information when the communications vanished from SF.Why do that? Anyway, I think that the inconsistencies are due to different accounting methods used by SF in the "day offset" backtest and the Backtesting program. It seems that in the "day offset" method the Performance is calculated assuming the stock price that day, whereas in Backtesting program(which uses Start Date and End Date) the buy price seems to be the Open price next morning. So that if the stock opens lower than it closed the previous day, the possible eventual performance would be better. |
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| tomb 267 posts msg #49071 - Ignore tomb |
1/8/2007 9:22:11 PM Hi, Your initial referenced backtest utilized the entry filter "11-DAYS DOWN"; upon your follow-up post, the filter used in the approach was "13-DAYS DOWN /1 to 10" and was functionally different than the first one. We were diligently pursuing the issue you had brought up, but you final post (below) made it very difficult to continue and understand the problem you were experiencing. >> Tom >> It is not that important to me to waste a lot of time. >> It just seems that there are inconsistent results doing >> the same backtest using two different features of SF. By default, StockFetcher uses the open price on the day following a successful match of your entry filter. The "Performance" column using date-offset is completely different and not assumed match with the more complex conditions used with the backtesting feature. Additionally, if you do not feel that the "open" price is reflective of your approach, you can configure this and other options to hopefully more closely approximate what you are looking for. Thank you. And please send all future correspondence on this issue either in the "Comments, Bugs and Requests" or via e-mail support. Tom StockFetcher.com Support |
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| __fetcheruser123 msg #49308 - Ignore __fetcheruser123 |
1/16/2007 5:06:59 PM Breed, You have to set the Maximum Open Positions to something like 2 or 4... That's the reason your backtest didn't produce the same equity curve. |
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| __fetcheruser123 msg #49309 - Ignore __fetcheruser123 |
1/16/2007 5:10:37 PM Stop Loss: N/A Profit Stop: N/A Trailing Stop Loss: N/A Minimum Holding Days: N/A Maximum holding days: 1 Exit Trigger #1: rsi(2) > 80 Maximum Trades Per Day: 12 Maximum Open Positions: 1
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| StockFetcher Forums · Filter Exchange · Looking for filter with highest W/L Ratio | << 1 2 3 4 >>Post Follow-up |
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