__fetcheruser123
msg #43212
- Ignore __fetcheruser123 |
4/26/2006 3:19:19 PM
This is a very simple filter. The idea is that a falling close and an increasing volume sets the stage for a rebound. Easy to use and implement in real world trading.
Backtest Setup:
Stop Loss: 10%
Profit Stop: 5%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25
| Approach Information | | Approach Name: Chris -- Volume Rebounder | | Test started on 12/31/2003 ended on 06/29/2004, covering 123 days | | Filter used: | | Chris -- Volume Rebounder (saved filter) |
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| Trade Statistics | | There were 82 total stocks entered. Of those, 78 or 95.12% were complete and 4 or 4.88% were open. | | Of the 78 completed trades, 60 trades or 76.92%resulted in a net gain. | | Your average net change for completed trades was: 1.48%. | | The average draw down of your approach was: -5.21%. | | The average max profit of your approach was: 6.82% | | The Reward/Risk ratio for this approach is: 1.66 | | Annualized Return on Investment (ROI): 51.68%, the ROI of ^SPX was: 4.81%. |
| Exit Statistics | | Stop Loss was triggered 13 times or 16.67% of the time. | | Stop Profit was triggered 56 times or 71.79% 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) 9 times or 11.54% 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: | 60 | 50 | 45 | 37 | 46 | 41 | | Losers: | 18 | 30 | 36 | 44 | 36 | 41 | | Win/Loss Ratio: | 3.33:1 | 1.67:1 | 1.25:1 | 0.84:1 | 1.28:1 | 1.00:1 | | Net Change: | 1.48% | 1.83% | 2.35% | 2.98% | 4.48% | 2.91% |
| Statistics By Variable: Match Price | | | <10 | <20 | <30 | <40 | <50 | <60 | <70 | <80 | <90 | <100 | | Completed | 32:5 | 16:6 | 6:1 | 4:3 | 1:1 | 0:1 | - | - | 1:0 | 0:1 | | 2 day chg | 24:12 | 11:12 | 4:3 | 6:3 | 2:0 | 1:0 | - | - | 1:0 | 1:0 | | 5 day chg | 24:13 | 11:12 | 5:2 | 3:6 | 1:1 | 0:1 | - | - | 0:1 | 1:0 | | 10 day chg | 21:16 | 9:14 | 4:3 | 2:7 | 1:1 | 0:1 | - | - | 0:1 | 0:1 | | 25 day chg | 21:17 | 13:10 | 6:1 | 4:5 | 1:1 | 0:1 | - | - | 1:0 | 0:1 | | 40 day chg | 17:21 | 11:12 | 5:2 | 4:5 | 2:0 | 1:0 | - | - | 1:0 | 0:1 |
| 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 | 50:15 | 4:0 | - | 2:2 | 1:1 | - | 2:0 | - | - | 1:0 | | 2 day chg | 44:23 | 4:0 | - | 0:4 | 2:0 | - | 0:2 | - | - | 0:1 | | 5 day chg | 37:31 | 3:1 | - | 2:2 | 2:0 | - | 0:2 | - | - | 1:0 | | 10 day chg | 29:39 | 4:0 | - | 2:2 | 1:1 | - | 0:2 | - | - | 1:0 | | 25 day chg | 40:29 | 3:1 | - | 1:3 | 1:1 | - | 1:1 | - | - | 0:1 | | 40 day chg | 33:36 | 3:1 | - | 1:3 | 1:1 | - | 2:0 | - | - | 1:0 |
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SiriusII
11 posts
msg #43231
- Ignore SiriusII |
4/27/2006 8:51:01 AM
How often are these supposed to appear? Just ran it and it returned 0.
Thanks
StigmaII
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BFreshour
139 posts
msg #43232
- Ignore BFreshour |
4/27/2006 9:44:28 AM
There were 82 total stocks entered over 123 days.
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elroz
26 posts
msg #43236
- Ignore elroz |
4/27/2006 12:28:31 PM
I am curious, why would you use a stop loss higher than a profit stop??
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__fetcheruser123
msg #43239
- Ignore __fetcheruser123 |
4/27/2006 2:05:14 PM
In case of a further dip after the signal...
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rtucker
318 posts
msg #43278
- Ignore rtucker
modified |
4/28/2006 6:44:07 PM
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WALLSTREETGENIUS
983 posts
msg #43279
- Ignore WALLSTREETGENIUS
modified |
4/28/2006 7:11:03 PM
Chris -
Try it like this.....
All the hurting should be over soon this way, and you should start to see some "tails."
Good luck.
- RIGGS -
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__fetcheruser123
msg #43296
- Ignore __fetcheruser123 |
4/29/2006 3:21:51 AM
rtucker,
Thanks for the filter, it worked quite well in backtesting. 87% Win Rate and an 86% ROI. The results are attached.
When you say "my win% is never better than 50% over time," what are you meaning?
| Approach Information | | Approach Name: Hollygrail -- ATR & Volume | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | | Hollygrail -- ATR & Volume (saved filter) |
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| Trade Statistics | | There were 220 total stocks entered. Of those, 220 or 100.00% were complete and or 0.00% were open. | | Of the 220 completed trades, 191 trades or 86.82%resulted in a net gain. | | Your average net change for completed trades was: 0.32%. | | The average draw down of your approach was: -7.70%. | | The average max profit of your approach was: 9.56% | | The Reward/Risk ratio for this approach is: 1.22 | | Annualized Return on Investment (ROI): 85.70%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 190 times or 86.36% 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) 30 times or 13.64% 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: | 191 | 110 | 114 | 108 | 109 | 111 | | Losers: | 28 | 100 | 100 | 107 | 109 | 108 | | Win/Loss Ratio: | 6.82:1 | 1.10:1 | 1.14:1 | 1.01:1 | 1.00:1 | 1.03:1 | | Net Change: | 0.32% | 2.08% | 3.26% | 1.69% | 0.32% | 0.47% |
| Statistics By Variable: Match Price | | | <0.9 | <1.05 | <1.2 | <1.35 | <1.5 | <1.65 | <1.8 | <1.95 | <2.1 | <2.25 | | Completed | 3:1 | 29:5 | 21:3 | 34:4 | 27:4 | 23:7 | 26:3 | 26:1 | 2:0 | - | | 2 day chg | 2:1 | 24:11 | 14:8 | 12:22 | 11:18 | 18:12 | 12:17 | 15:11 | 2:0 | - | | 5 day chg | 3:1 | 23:12 | 16:7 | 13:24 | 14:16 | 16:13 | 13:15 | 14:12 | 2:0 | - | | 10 day chg | 3:1 | 20:15 | 13:9 | 13:23 | 15:16 | 12:18 | 15:14 | 15:11 | 2:0 | - | | 25 day chg | 3:1 | 20:15 | 16:8 | 17:21 | 14:17 | 13:16 | 11:17 | 15:12 | 0:2 | - | | 40 day chg | 0:4 | 21:14 | 16:8 | 15:22 | 12:19 | 14:16 | 16:13 | 17:10 | 0:2 | - |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 149:19 | 29:5 | 0:2 | 2:1 | - | 4:0 | 2:0 | 2:1 | 2:0 | 1:0 | | 2 day chg | 91:71 | 14:17 | 0:2 | 0:3 | - | 0:4 | 2:0 | 1:2 | 1:1 | 1:0 | | 5 day chg | 93:70 | 18:16 | 0:2 | 0:3 | - | 1:3 | 2:0 | 0:3 | 0:2 | 0:1 | | 10 day chg | 93:71 | 13:21 | 0:2 | 0:3 | - | 1:3 | 0:2 | 1:2 | 0:2 | 0:1 | | 25 day chg | 95:73 | 12:21 | 0:2 | 0:3 | - | 1:3 | 0:2 | 1:2 | 0:2 | 0:1 | | 40 day chg | 93:75 | 14:20 | 0:2 | 0:3 | - | 1:3 | 0:2 | 1:2 | 2:0 | 0:1 |
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__fetcheruser123
msg #43297
- Ignore __fetcheruser123 |
4/29/2006 3:25:48 AM
RIGGS,
Thanks for the filter. Unfortunately, I couldn't get yours to backtest so well. How do you use it, generally?
How do you guys generally use your filters? Do you wait for some kind of indicator in the morning trading? If so, what do you look for? I'm still a little new to day-trading. I generally look for undervalued stocks to hold for a few days at a time.
| Approach Information | | Approach Name: unnamed approach | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | Show stocks where close is below EMA(13)
and close has been decreasing for the last 5 days
and volume is above average volume(5)
volume gained more than 100% more than volume 1-day ago
and Average Volume(90)is above 50000
add column average volume(90)
and close is between 1 and 250 |
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| Trade Statistics | | There were 6293 total stocks entered. Of those, 6273 or 99.68% were complete and 20 or 0.32% were open. | | Of the 6273 completed trades, 4805 trades or 76.60%resulted in a net gain. | | Your average net change for completed trades was: 0.30%. | | The average draw down of your approach was: -4.06%. | | The average max profit of your approach was: 4.07% | | The Reward/Risk ratio for this approach is: 1.23 | | Annualized Return on Investment (ROI): 37.92%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 4486 times or 71.51% 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) 1787 times or 28.49% 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: | 4805 | 3181 | 3284 | 3332 | 3190 | 3177 | | Losers: | 1438 | 2908 | 2894 | 2866 | 3049 | 3070 | | Win/Loss Ratio: | 3.34:1 | 1.09:1 | 1.14:1 | 1.16:1 | 1.05:1 | 1.03:1 | | Net Change: | 0.30% | 0.41% | 0.77% | 1.10% | 1.03% | 1.06% |
| Statistics By Variable: Match Price | | | <20 | <40 | <60 | <80 | <100 | <120 | <140 | <160 | <180 | <200 | | Completed | 3677:911 | 851:363 | 207:108 | 46:39 | 16:12 | 2:5 | 4:0 | 1:0 | 1:0 | - | | 2 day chg | 2309:2132 | 649:561 | 170:145 | 35:48 | 12:16 | 3:4 | 2:2 | - | 1:0 | - | | 5 day chg | 2390:2138 | 664:548 | 172:142 | 38:46 | 13:15 | 2:5 | 4:0 | - | 1:0 | - | | 10 day chg | 2392:2145 | 700:520 | 177:138 | 42:43 | 14:14 | 2:5 | 4:0 | 0:1 | 1:0 | - | | 25 day chg | 2309:2267 | 678:545 | 147:168 | 39:46 | 11:17 | 3:3 | 3:1 | 0:1 | 0:1 | - | | 40 day chg | 2242:2344 | 708:514 | 169:144 | 36:49 | 15:13 | 3:4 | 3:1 | 0:1 | 1:0 | - |
| 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 | 4775:1426 | 23:7 | 2:5 | 2:0 | 1:0 | - | 2:0 | - | - | - | | 2 day chg | 3162:2887 | 13:16 | 2:5 | 2:0 | 1:0 | - | 1:0 | - | - | - | | 5 day chg | 3266:2871 | 13:16 | 2:5 | 2:0 | 0:1 | - | 1:1 | - | - | - | | 10 day chg | 3317:2840 | 12:18 | 1:6 | 1:0 | 0:1 | - | 1:1 | - | - | - | | 25 day chg | 3169:3028 | 16:14 | 3:4 | 1:1 | 0:1 | - | 1:1 | - | - | - | | 40 day chg | 3161:3044 | 11:19 | 4:3 | 1:1 | 0:1 | - | 0:2 | - | - | - |
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rtucker
318 posts
msg #43287
- Ignore rtucker
modified |
4/29/2006 10:53:55 AM
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