louie6digits
34 posts
msg #97902
- Ignore louie6digits |
12/9/2010 9:20:03 AM
"Strenth Filters" define when a stock is overbought or oversold. Macd(12,26,9) is a strenth filter. Above 0, and the stock
is STRONG. Below 0, and the stock is WEAK. If you add Correction and Direction filters, then you have a complete
trading formula for success. I am posting a Strenth Filter here!
After posting this filter here, I didn't realize how good this filter was. I backtested this filter with the following results.
TRADE STATISTICS
There were 3075 total stocks entered. Of those, 2967 or 96.49% were complete and 108 or 3.51% were open.
Of the 2967 completed trades, 1878 trades or 63.30%resulted in a net gain.
Your average net change for completed trades was: -0.03%.
The average draw down of your approach was: -3.50%.
The average max profit of your approach was: 2.05%
The Reward/Risk ratio for this approach is: 0.98
Annualized Return on Investment (ROI): -1.75%, the ROI of ^SPX was: 4.81%.
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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 2967 times or 100.00% of the time.
Exit Trigger #1: macd(12,26,1) 1 day ago below macd(12,26,1)
DOES ANYONE HERE KNOW HOW TO IMPROVE THIS FILTER SO THAT ROI TURNS A POSITIVE NET WIN %?
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mikes2010
16 posts
msg #97917
- Ignore mikes2010 |
12/10/2010 12:18:12 AM
Can you also include Correction and Direction filters?
Thanks
Mike
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louie6digits
34 posts
msg #97953
- Ignore louie6digits |
12/11/2010 10:14:20 AM
You hit the nail on the HEAD Mike. I need breakout filters that can pair this Strength Filter. I want to eliminate all those
stocks that breakout to the downside. Any ideas that could jump start this filter can help. Thanks!
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louie6digits
34 posts
msg #97962
- Ignore louie6digits |
12/11/2010 1:25:20 PM
Allow me to amaze myself! I added the super enhanced EXIT filter to the STRENGHT Filter. AMAZING!
EXIT TRIGGER:
Trade Statistics
There were 682 total stocks entered. Of those, 432 or 63.34% were complete and 250 or 36.66% were open.
Of the 432 completed trades, 300 trades or 69.44%resulted in a net gain.
Your average net change for completed trades was: 3.07%.
The average draw down of your approach was: -7.16%.
The average max profit of your approach was: 7.33%
The Reward/Risk ratio for this approach is: 2.59
Annualized Return on Investment (ROI): 29.80%, the ROI of ^SPX was: 4.81%.
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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 432 times or 100.00% of the time.
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