mary4ever
11 posts
msg #36813
- Ignore mary4ever |
7/10/2005 12:29:59 AM
CLOSE MORE THAN 70% BELOW CLOSE 1 DAY AGO--RESULTSBacktest Summary: CLOSE MORE THAN 70% BELOW CLOSE 1 DAY AGO
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Approach Information
Approach Name: CLOSE MORE THAN 70% BELOW CLOSE 1 DAY AGO
Test started on 12/31/2003 ended on 06/29/2004, covering 123 days
Filter used:
CLOSE MORE THAN 70% BELOW CLOSE 1 DAY AGO (saved filter)
Trade Statistics
There were 24 total stocks entered. Of those, 24 or 100.00% were complete and or 0.00% were open.
Of the 24 completed trades, 11 trades or 45.83%resulted in a net gain.
Your average net change for completed trades was: 473.34%.
The average draw down of your approach was: -21.93%.
The average max profit of your approach was: 541.44%
The Reward/Risk ratio for this approach is: 42.09
Annualized Return on Investment (ROI): 31527.75%, the ROI of ^SPX was: 4.81%.
Exit Statistics
Stop Loss was triggered 13 times or 54.17% of the time.
Stop Profit was triggered 11 times or 45.83% 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) 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: 11 6 8 6 7 6
Losers: 13 7 9 12 12 12
Win/Loss Ratio: 0.85:1 0.86:1 0.89:1 0.50:1 0.58:1 0.50:1
Net Change: 473.34% 29.87% 47.22% 36.99% 111.35% 100.41%
Statistics By Variable: Match Price
<0.2 <0.4 <0.6 <0.8 <1 <1.2 <1.4 <1.6 <1.8 <2
Completed 10:7 0:1 0:1 - 1:1 0:1 - 0:1 - -
2 day chg 5:5 0:1 - - 1:0 0:1 - - - -
5 day chg 8:3 0:1 0:1 - 0:2 0:1 - - - -
10 day chg 5:7 0:1 0:1 - 0:2 0:1 - - - -
25 day chg 7:6 0:1 0:1 - 0:2 0:1 - - - -
40 day chg 6:6 0:1 0:1 - 0:2 0:1 - - - -
Statistics By Variable: Average Volume
<10.0M <20.0M <30.0M <40.0M <50.0M <60.0M <70.0M <80.0M <90.0M <100.0M
Completed 10:13 - - - - - 1:0 - - -
2 day chg 6:6 - - - - - 0:1 - - -
5 day chg 8:8 - - - - - 0:1 - - -
10 day chg 6:11 - - - - - 0:1 - - -
25 day chg 7:11 - - - - - 0:1 - - -
40 day chg 6:11 - - - - - 0:1 - - -
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