defau
24 posts
msg #43398
- Ignore defau |
5/1/2006 5:37:31 PM
Here is a filter I have created based on the threads I've been reading. Also attached are the backtesting results. Is there a way to make this better?
rsi(2)crossed above 20
and 5 day slope of rsi(8) is above 0
and average day range(20) is greater than 1.5%
and ema(8) is greater than ema(18)
and macd(8,18) fast line is above macd(8,18) slow line
and close is between 15 and 30
and average volume (90) is greater than 500000
and volume today is greater than average volume
and 36 day slope of ema(18) is greater than 0
| Approach Information | | Approach Name: Play 2 | | Test started on 12/30/2005 ended on 04/28/2006, covering 81 days | | Filter used: | |
| Trade Statistics | | There were 19 total stocks entered. Of those, 18 or 94.74% were complete and 1 or 5.26% were open. | | Of the 18 completed trades, 13 trades or 72.22%resulted in a net gain. | | Your average net change for completed trades was: 4.28%. | | The average draw down of your approach was: -2.09%. | | The average max profit of your approach was: 6.84% | | The Reward/Risk ratio for this approach is: 4.95 | | Annualized Return on Investment (ROI): 404.40%, the ROI of ^SPX was: 13.66%. |
| Exit Statistics | | Stop Loss was triggered 1 times or 5.56% of the time. | | Stop Profit was triggered 1 times or 5.56% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (5 days) 2 times or 11.11% of the time. | | An exit trigger was executed 14 times or 77.78% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 13 | 14 | 12 | 9 | 6 | 8 | | Losers: | 5 | 4 | 6 | 7 | 7 | 5 | | Win/Loss Ratio: | 2.60:1 | 3.50:1 | 2.00:1 | 1.29:1 | 0.86:1 | 1.60:1 | | Net Change: | 4.27% | 2.30% | 4.59% | 5.54% | 3.84% | 6.49% |
| Statistics By Variable: Match Price | | | <15 | <16.5 | <18 | <19.5 | <21 | <22.5 | <24 | <25.5 | <27 | <28.5 | | Completed | 2:0 | 2:0 | 1:0 | - | - | 2:2 | 2:0 | 1:1 | 1:2 | 2:0 | | 2 day chg | 2:0 | 2:0 | 1:0 | - | - | 2:2 | 2:0 | 1:1 | 2:1 | 2:0 | | 5 day chg | 2:0 | 1:1 | 1:0 | - | - | 2:2 | 2:0 | 1:1 | 2:1 | 1:1 | | 10 day chg | 1:1 | 0:1 | 1:0 | - | - | 2:2 | 2:0 | 1:1 | 1:2 | 1:0 | | 25 day chg | 0:1 | 0:1 | 1:0 | - | - | 1:3 | 2:0 | 1:1 | 1:1 | - | | 40 day chg | 0:1 | 1:0 | 1:0 | - | - | 2:2 | 2:0 | 1:1 | 1:1 | - |
| Statistics By Variable: Average Volume | | | <1.5M | <3.0M | <4.5M | <6.0M | <7.5M | <9.0M | <10.5M | <12.0M | <13.5M | <15.0M | | Completed | 7:2 | 1:2 | 2:0 | 2:0 | 1:0 | - | - | - | - | 0:1 | | 2 day chg | 6:3 | 2:1 | 2:0 | 2:0 | 1:0 | - | - | - | - | 1:0 | | 5 day chg | 7:2 | 1:2 | 1:1 | 1:1 | 1:0 | - | - | - | - | 1:0 | | 10 day chg | 5:3 | 1:2 | 0:2 | 1:0 | 1:0 | - | - | - | - | 1:0 | | 25 day chg | 2:5 | 2:1 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 40 day chg | 3:4 | 2:1 | 1:0 | 1:0 | - | - | - | - | - | 1:0 |
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__fetcheruser123
msg #43417
- Ignore __fetcheruser123 |
5/2/2006 12:20:10 PM
Not sure what kind of backtest setup you used, but here are the results over a 2 year period.
| Approach Information | | Approach Name: unnamed approach | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | rsi(2)crossed above 20
and 5 day slope of rsi(8) is above 0
and average day range(20) is greater than 1.5%
and ema(8) is greater than ema(18)
and macd(8,18) fast line is above macd(8,18) slow line
and close is between 15 and 30
and average volume (90) is greater than 500000
and volume today is greater than average volume
and 36 day slope of ema(18) is greater than 0 |
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| Trade Statistics | | There were 57 total stocks entered. Of those, 54 or 94.74% were complete and 3 or 5.26% were open. | | Of the 54 completed trades, 26 trades or 48.15%resulted in a net gain. | | Your average net change for completed trades was: -1.10%. | | The average draw down of your approach was: -7.45%. | | The average max profit of your approach was: 6.34% | | The Reward/Risk ratio for this approach is: 0.74 | | Annualized Return on Investment (ROI): -17.69%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 20 times or 37.04% of the time. | | Stop Profit was triggered 13 times or 24.07% 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) 21 times or 38.89% 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: | 26 | 27 | 22 | 24 | 30 | 30 | | Losers: | 28 | 30 | 35 | 32 | 27 | 27 | | Win/Loss Ratio: | 0.93:1 | 0.90:1 | 0.63:1 | 0.75:1 | 1.11:1 | 1.11:1 | | Net Change: | -1.10% | 0.12% | -0.47% | -0.70% | -0.08% | -0.63% |
| Statistics By Variable: Match Price | | | <14 | <16 | <18 | <20 | <22 | <24 | <26 | <28 | <30 | <32 | | Completed | 0:4 | 2:4 | 6:4 | 5:6 | 5:0 | 3:2 | 4:4 | 0:2 | 1:2 | - | | 2 day chg | 0:4 | 3:3 | 5:5 | 5:6 | 4:2 | 3:4 | 5:3 | 0:2 | 2:1 | - | | 5 day chg | 1:3 | 1:5 | 3:7 | 4:7 | 3:3 | 3:4 | 5:3 | 0:2 | 2:1 | - | | 10 day chg | 0:4 | 2:4 | 4:5 | 5:6 | 4:2 | 4:3 | 3:5 | 1:1 | 1:2 | - | | 25 day chg | 1:3 | 1:5 | 7:3 | 5:6 | 5:1 | 5:2 | 5:3 | 0:2 | 1:2 | - | | 40 day chg | 1:3 | 2:4 | 6:4 | 3:8 | 6:0 | 4:3 | 6:2 | 0:2 | 2:1 | - |
| 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 | 21:25 | 2:1 | 1:1 | - | 2:0 | - | - | - | - | 0:1 | | 2 day chg | 21:28 | 2:1 | 1:1 | - | 2:0 | - | - | - | - | 1:0 | | 5 day chg | 18:31 | 1:2 | 1:1 | - | 2:0 | - | - | - | - | 0:1 | | 10 day chg | 20:28 | 2:1 | 1:1 | - | 1:1 | - | - | - | - | 0:1 | | 25 day chg | 25:24 | 2:1 | 1:1 | - | 2:0 | - | - | - | - | 0:1 | | 40 day chg | 27:22 | 2:1 | 1:1 | - | 0:2 | - | - | - | - | 0:1 |
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defau
24 posts
msg #43419
- Ignore defau |
5/2/2006 1:34:33 PM
The exit makes a difference. rsi(8) crossed over 70 or rsi(2) crossed below 20 and hold time of 5 days max with 50% profit stop and 10% stop loss
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defau
24 posts
msg #43420
- Ignore defau |
5/2/2006 1:36:51 PM
Also, I think the results could be better if I could qualify the entry based on intraday signals
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__fetcheruser123
msg #43422
- Ignore __fetcheruser123 |
5/2/2006 2:26:48 PM
Here it is with the settings you suggested...
Stop Loss: 10%
Profit Stop: 50%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 5
Exit Trigger #1: rsi(8) crossed over 70 or rsi(2) crossed below 20
| Approach Information | | Approach Name: unnamed approach | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | rsi(2)crossed above 20
and 5 day slope of rsi(8) is above 0
and average day range(20) is greater than 1.5%
and ema(8) is greater than ema(18)
and macd(8,18) fast line is above macd(8,18) slow line
and close is between 15 and 30
and average volume (90) is greater than 500000
and volume today is greater than average volume
and 36 day slope of ema(18) is greater than 0 |
|
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| Trade Statistics | | There were 57 total stocks entered. Of those, 56 or 98.25% were complete and 1 or 1.75% were open. | | Of the 56 completed trades, 20 trades or 35.71%resulted in a net gain. | | Your average net change for completed trades was: -0.56%. | | The average draw down of your approach was: -4.27%. | | The average max profit of your approach was: 4.60% | | The Reward/Risk ratio for this approach is: 0.77 | | Annualized Return on Investment (ROI): -29.68%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 6 times or 10.71% 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 (5 days) 50 times or 89.29% 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: | 20 | 27 | 22 | 24 | 30 | 30 | | Losers: | 36 | 30 | 35 | 32 | 27 | 27 | | Win/Loss Ratio: | 0.56:1 | 0.90:1 | 0.63:1 | 0.75:1 | 1.11:1 | 1.11:1 | | Net Change: | -0.56% | 0.12% | -0.45% | -0.67% | -0.08% | -0.60% |
| Statistics By Variable: Match Price | | | <14 | <16 | <18 | <20 | <22 | <24 | <26 | <28 | <30 | <32 | | Completed | 1:3 | 1:5 | 3:7 | 4:7 | 2:4 | 2:4 | 5:3 | 0:2 | 2:1 | - | | 2 day chg | 0:4 | 3:3 | 5:5 | 5:6 | 4:2 | 3:4 | 5:3 | 0:2 | 2:1 | - | | 5 day chg | 1:3 | 1:5 | 3:7 | 4:7 | 3:3 | 3:4 | 5:3 | 0:2 | 2:1 | - | | 10 day chg | 0:4 | 2:4 | 4:5 | 5:6 | 4:2 | 4:3 | 3:5 | 1:1 | 1:2 | - | | 25 day chg | 1:3 | 1:5 | 7:3 | 5:6 | 5:1 | 5:2 | 5:3 | 0:2 | 1:2 | - | | 40 day chg | 1:3 | 2:4 | 6:4 | 3:8 | 6:0 | 4:3 | 6:2 | 0:2 | 2:1 | - |
| 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 | 16:32 | 1:2 | 1:1 | - | 2:0 | - | - | - | - | 0:1 | | 2 day chg | 21:28 | 2:1 | 1:1 | - | 2:0 | - | - | - | - | 1:0 | | 5 day chg | 18:31 | 1:2 | 1:1 | - | 2:0 | - | - | - | - | 0:1 | | 10 day chg | 20:28 | 2:1 | 1:1 | - | 1:1 | - | - | - | - | 0:1 | | 25 day chg | 25:24 | 2:1 | 1:1 | - | 2:0 | - | - | - | - | 0:1 | | 40 day chg | 27:22 | 2:1 | 1:1 | - | 0:2 | - | - | - | - | 0:1 |
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defau
24 posts
msg #43423
- Ignore defau |
5/2/2006 2:36:32 PM
I would like to know why I got a much better result.
Also, if you have a more reliable scan then I would love to see it.
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__fetcheruser123
msg #43426
- Ignore __fetcheruser123 |
5/2/2006 3:05:41 PM
I think it probably had something to do with the time frame in which you did the backtest... 4 months isn't a very reliable sample timeframe because it might not account for various market directions. (i.e.) If the market was trending up in those 4 months, it might produce tainted results. This is just my 2 cents, though. I also had a couple scans that backtested well over a 4 month period but then did poorly when tested over 2 years (which was my reason for purchasing the "advanced" membership here at SF).
A more reliable scan would be the Muddy Combined -- RSI(2) < 1. It's available in the Public Filters portion of SF and I just recently posted the results of a 2 year backtest.
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heyen
124 posts
msg #43427
- Ignore heyen
modified |
5/2/2006 3:08:22 PM
How representative are 19 stocks in just 81 days (=4 months)?
This might be just a trend.
When TA fails - the trend has change!
Argh! Cross post!
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Ray1
20 posts
msg #43433
- Ignore Ray1
modified |
5/2/2006 5:26:21 PM
chrismnu2003, your right about having to use a longer bracketing time frame. I can only backtest four months at a time. I normally change my date per quarter in order to test a filter over a year time. I tested this filter had and had some good results trading with it. Seeing you can test a 2 year time frame can you run it for me to see how it did? Im more interreated in ROI, Win-Lost etc.
Triggers are:
Stop Loss: 8%
Profit Stop: 50%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 45
Exit Trigger #1: rsi(8) crossed over 70 or rsi(2) crossed below 20
Just REMEMBER basktesting is to give you and ideal on how that filter worked during a giving time frame.
Good luck to yah!
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__fetcheruser123
msg #43434
- Ignore __fetcheruser123 |
5/2/2006 5:57:59 PM
Not too shabby...
Stop Loss: 8%
Profit Stop: 50%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 45
Exit Trigger #1: rsi(8) crossed over 70 or rsi(2) crossed below 20
| Approach Information | | Approach Name: show stocks where the Bollinger width(20) is betwe... | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | show stocks where the Bollinger width(20) is between 0 and 0.15 and draw Bollinger(20)
and Volume above 50000
and Volume above Average Volume(20)
and close above open
and close 1 day ago was below the open 1 day ago
and MA(50) increasing for the last 4 Months
and Close between 1 and 10
and +DI(14) crossed above -DI(14) within the last 1 day |
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| Trade Statistics | | There were 31 total stocks entered. Of those, 26 or 83.87% were complete and 5 or 16.13% were open. | | Of the 26 completed trades, 9 trades or 34.62%resulted in a net gain. | | Your average net change for completed trades was: 2.88%. | | The average draw down of your approach was: -6.43%. | | The average max profit of your approach was: 15.38% | | The Reward/Risk ratio for this approach is: 1.71 | | Annualized Return on Investment (ROI): 32.31%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 11 times or 42.31% of the time. | | Stop Profit was triggered 2 times or 7.69% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (45 days) 6 times or 23.08% of the time. | | An exit trigger was executed 7 times or 26.92% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 9 | 19 | 19 | 21 | 16 | 19 | | Losers: | 16 | 11 | 12 | 9 | 15 | 12 | | Win/Loss Ratio: | 0.56:1 | 1.73:1 | 1.58:1 | 2.33:1 | 1.07:1 | 1.58:1 | | Net Change: | 2.88% | 2.63% | 5.05% | 6.34% | 3.34% | 10.54% |
| Statistics By Variable: Match Price | | | <2 | <3 | <4 | <5 | <6 | <7 | <8 | <9 | <10 | <11 | | Completed | 1:0 | 1:1 | 1:1 | - | 0:1 | 0:5 | 2:5 | 1:3 | 3:0 | - | | 2 day chg | 2:0 | 2:0 | 1:1 | - | 1:1 | 3:4 | 3:3 | 3:2 | 4:0 | - | | 5 day chg | 2:0 | 1:1 | 1:1 | - | 1:1 | 3:4 | 5:2 | 4:1 | 2:2 | - | | 10 day chg | 1:0 | 1:1 | 2:0 | - | 1:1 | 5:2 | 5:2 | 4:1 | 2:2 | - | | 25 day chg | 1:1 | 1:1 | 1:1 | - | 1:1 | 3:4 | 3:4 | 2:3 | 4:0 | - | | 40 day chg | 1:1 | 2:0 | 1:1 | - | 0:2 | 4:3 | 5:2 | 2:3 | 4:0 | - |
| Statistics By Variable: Average Volume | | | <200000 | <400000 | <600000 | <800000 | <1000000 | <1.2M | <1.4M | <1.6M | <1.8M | <2.0M | | Completed | 6:9 | 2:3 | 0:2 | - | - | 0:1 | - | - | 1:1 | - | | 2 day chg | 11:6 | 2:4 | 3:1 | - | - | 1:0 | 1:0 | - | 1:0 | - | | 5 day chg | 9:8 | 5:1 | 2:2 | - | - | 0:1 | 1:0 | - | 2:0 | - | | 10 day chg | 11:5 | 3:3 | 3:1 | - | - | 1:0 | 1:0 | - | 2:0 | - | | 25 day chg | 9:8 | 2:4 | 3:1 | - | - | 0:1 | 1:0 | - | 1:1 | - | | 40 day chg | 10:7 | 3:3 | 3:1 | - | - | 1:0 | 1:0 | - | 1:1 | - |
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