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| ludowillems 111 posts msg #63227 - Ignore ludowillems |
6/2/2008 10:05:43 AM some tuning of my BB Short filter and the results: [etcher and open is above upper Bollinger Band(20,2.0) and below upper Bollinger Band(20,3.0) 2 days ago and close is above upper bollinger band(20,2.0) and below upper bollinger band(20,3.0) 2days ago and close is below open and price is above 10 and volume is greater than 100000 and price is above MA(15) by at least 30% and Average Day Range(30) is more than 2 % and 30 day slope of MA(50) is below 0 offset is 3 and draw bollinger band(20,2.0) and draw bollinger band(20,3.0) fetcher] Backtesting with the following parameters: Exit Setup Stop Loss: N/A Profit Stop: 8% Trailing Stop Loss: N/A Minimum Holding Days: N/A Maximum holding days: 50 Exit Trigger #1: close is below lower bollinger(20;2.0) Extra Indicators Entry Columns: Show Performance After: after 2 days after 5 days after 10 days after 25 days after 40 days Advanced Options Selection Method: select by volume descending Entry Price: open is below close of yesterday Conditional Entry: No Exit Price: close Maximum Trades Per Day: 5 Maximum Open Positions: 5 Maximum Selected Stocks: 10 Start jan 30,2008 End: may 30, 2008 Results: winners: 94% Losers: 6% W/L ratio: 16:1 ROI: 55.8% Not too bad I thought. I'd like the smart guys to have a look at it: it almost seems too good to be trough. Regards, Ludo Willems |
| chetron 2,817 posts msg #63229 - Ignore chetron |
6/2/2008 10:12:37 AM CLICKABLE.. |
| chetron 2,817 posts msg #63234 - Ignore chetron modified |
6/2/2008 12:05:50 PM if you include your entry price info.... oops, corrected to keep entry current.... |
| nikoschopen 2,824 posts msg #63237 - Ignore nikoschopen modified |
6/2/2008 12:31:09 PM Great filter! As a Bollinger enthusiast myself, I like to point out that a selloff picks up considerably just when prices cross below the median Bollinger as shown below. You might want to reconsider using the "B" approach as opposed to "A". Or, more precisely, both "A" and "B". |
| ludowillems 111 posts msg #63240 - Ignore ludowillems |
6/2/2008 12:42:37 PM Hi chetron, Thanks for correcting my filter with the price info. And I owe you credit for this filter, my modifs where minor, although not entirely unimportant :) But the credit is yours, my humble apologies. What do you think about including a 2 or 3-day offset? It has pros and cons: it helps to identify confirmed trends, on the other hand, one could say you have missed a couple of %% ? Best regards, Ludo WIllems |
| chetron 2,817 posts msg #63242 - Ignore chetron |
6/2/2008 12:51:10 PM i think that you are inadvertently taking nikos advice. you are realizing that you are early. if you take nikos advice, you won't need the offset. enjoy |
| chetron 2,817 posts msg #63243 - Ignore chetron modified |
6/2/2008 1:06:41 PM oops. wow alot of errors on both parts. THE BACKTEST DOES THE FILTER INFO WITH A 3 DAY OFFSET, BUT ENTRY IS TODAY. CAN YOU CONFIRM, LUDO. LUDOS, CAN YOU GIVE ME THE DATE AND NAME OF THE LAST STOCK YOUR BACKTEST CAME UP WITH?????? |
| enforcer 21 posts msg #63255 - Ignore enforcer |
6/2/2008 3:46:27 PM hi ludo! hoe gaat man! see you are up to some great job on the forum. i was wondering, for about how long should one hold the stocks srom your filter. when is best to get out. and what are your criteria for picking the ones with the strongest signals. may the harvests be with you ! izzykabaka say hai! |
| ludowillems 111 posts msg #63256 - Ignore ludowillems |
6/2/2008 5:33:57 PM Hello Niko, Chetron, Thanks for your your advice. Indeed, waiting for the centerline BB cross down looks better, because the trend is already well confirmed. chetron, I ran my filter right now, (june 2nd, 2008-17.25 USa Eastern time) with the 3-day offset, and this is what came out: DAKT ALSK GBX EEFT Am I right: 3 day offset gives results as if the filter was run 3 days ago? What is the difference then between offset 3 days and the timeshift as in your version(AND OPEN 3 DAYS AGO)? Or are these expressions identical in the outcome? And to Enforcer: met mij gaat het goed. Bent u Belg zoals ik? (US version: E. asked about me, and i asked him if he lives in Belgium, like I do) I'm of to bed now, we are 6 hours ahead of you. Ludo [date offset is |
| chetron 2,817 posts msg #63257 - Ignore chetron modified |
6/2/2008 6:01:39 PM BECAUSE I ADDED THE ENTRY CONDITION WHICH CAN'T BE FOR 3 DAYS AGO. I HAD TO OFFSET EACH LINE, EXCEPT FOR THE ENTRY, TO ISOLATE IT, TO KEEP IT CURRENT, FOR TODAY. and of course, i get the same results, but one, for the desired entry. EEFT open was above yesterday's close, so it was not included. |
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