maxreturn
745 posts
msg #52382
- Ignore maxreturn |
6/21/2007 11:28:58 AM
Question is...how many stocks went through drawdowns of more than 10% before they became profitable?
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corsino
259 posts
msg #52383
- Ignore corsino |
6/21/2007 11:38:28 AM
I agree that it is the 10% profit /50% loss criteria. I backtested a similar Bollinger band squeeze filter(for only 4 months though) and it gave a 95/5 win/loss ratio. HOWEVER, by looking at the trades, I could not verify such a good ratio. It may be a case of funnymatics.
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kram1056
21 posts
msg #52392
- Ignore kram1056 |
6/21/2007 4:42:06 PM
Here is one that I did!!
Approach Information
Approach Name: NYIBDLIST
Test started on 05/01/2007 ended on 06/19/2007, covering 34 days
Filter used:
NYIBDLIST (saved filter)
Trade Statistics
There were 122 total stocks entered. Of those, 113 or 92.62% were complete and 9 or 7.38% were open.
Of the 113 completed trades, 81 trades or 71.68%resulted in a net gain.
Your average net change for completed trades was: 3.48%.
The average draw down of your approach was: -2.68%.
The average max profit of your approach was: 6.01%
The Reward/Risk ratio for this approach is: 5.61
Annualized Return on Investment (ROI): 172.88%, the ROI of ^SPX was: 24.84%.
Exit Statistics
Stop Loss was triggered 2 times or 1.77% of the time.
Stop Profit was triggered 1 times or 0.88% 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) 110 times or 97.35% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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betyerbottomdollar
169 posts
msg #52400
- Ignore betyerbottomdollar |
6/21/2007 6:38:20 PM
Well what is your filter kram?
I think the best annual ROI I have ever gotten was about 70%. And that was with one of mary4money's RSI filters.
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kram1056
21 posts
msg #52401
- Ignore kram1056 |
6/21/2007 6:51:26 PM
I dont really want to post my filter, but it incorporates Jeff Cooper's 5 day Momentum method plus stock ratings from Investor Business Daily. By using IBD's top rated stocks I can filter out the strongest gainers. So, when you backtest, you have to only look at a month or so at a time, while the stocks are at their higgest ratings. Hope this helps. I have done pretty well using this method, but when the market takes a big hit so does your Portfolio, plus you have to use strick stops so you dont lose to much. I put mine usually at 8%.
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pops
19 posts
msg #52450
- Ignore pops |
6/22/2007 11:21:36 PM
Kram, when you say that you have "done pretty well using this method", what does that mean? Is your annualized ROI anywhere near what your test indicated?Bill R.
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corsino
259 posts
msg #52451
- Ignore corsino |
6/23/2007 12:12:57 AM
It seems to me that buying stocks with very high momentum for only five days would be risky, because they're already overbought and itching for a pullback. My thinking is that it might be less risky to buy stocks that have had good momentum for a longer period and have proven that they can sustain their momentum.
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kram1056
21 posts
msg #52452
- Ignore kram1056 |
6/23/2007 1:03:08 AM
I have only been using this since Feburary, and I have averaged about 15% return. I dont buy into every trade, I have missed a few buyouts where I could have made 20% or more in 1 day, because I just dont have enough cash flow to buy them all. I try to pick the ones that IBD ranks Relative strength with 94 or better. The 5 day momentum method centers around stocks that are oversold, not overbought. So, you try and find good stocks with high Relative strentghs that have been oversold.
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corsino
259 posts
msg #52455
- Ignore corsino |
6/23/2007 3:38:51 AM
OK, that makes sense.
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dunamis
18 posts
msg #52456
- Ignore dunamis |
6/23/2007 4:37:14 AM
Thanks for the filter Casey. Very interesting. How do you trade this tho? Do you look at a stock when it first appears on the filter and then check the fundamentals? Have you traded this successfully? How do you choose the stock you go with?
so many questions... so little time!
Thanks for your help!
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