I need to keep the filter to myself for now. But it's pretty simple:
1. RSI(2) is very low (oversold)
2. close is above open (set-up for a bounce)
3. The stocks daily volatility is very high (better chance of getting 15%+ profit)
Sell at 15% profit or better
No stop loss. I have had two stocks recently that were down 30%+ and came back for a good profit.
Sell after 20 trading days if you haven't sold for a profit.
Paper trade it for awhile, so you can get comfortable with it.
traderblues, you just confirm my words :) I'll show only few things and if you can reason then you'll see own error.
1. 1 day chg - Win 240, Los - 0. (strange results)
2. "The stocks daily volatility is very high (better chance of getting 15%+ profit"
3. "Sell at 15% profit or better"
4. SF has a small bug when it uses Stop Profit
Yeah, I've been doing some research the last couple of days on S1, and I think you're right. But what about the profit stop bug? I didn't realize that.
Anyway, I re-ran my backtest. I used 'open' for an entry price, and I took out the 15% profit stop. I'm now using RSI(2) as an exit filter. It does reduce things a bit. (In reality I will still use the 15% profit target, but will also use the RSI(2) exit filter.
Approach Information
Approach Name: RSI(2) entry & exit 7-31-04 to 7-31-06
Test started on 07/30/2004 ended on 07/31/2006, covering 504 days
Filter used:
RSI(2) 5-a-day 20 day hold (saved filter)
Trade Statistics
There were 299 total stocks entered. Of those, 289 or 96.66% were complete and 10 or 3.34% were open.
Of the 289 completed trades, 197 trades or 68.17%resulted in a net gain.
Your average net change for completed trades was: 5.55%.
The average draw down of your approach was: -13.80%.
The average max profit of your approach was: 15.76%
The Reward/Risk ratio for this approach is: 2.21
Annualized Return on Investment (ROI): 105.94%, the ROI of ^SPX was: 7.85%.
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 (100 days) 0 times or 0.00% of the time.
An exit trigger was executed 289 times or 100.00% of the time.
I see more realistic results. SF executes Stop Profit on a day when the trade was opened. Despite the fact that SF does not know order of trading actions. What was
before - our trade or price touches "stop profit".
OK, I worked on my filter some more,and made it more robust. I am still using 'open' as my entry, have an RSI exit filter, and a 15% profit stop. I hold for a minimum of 2 days, to eliminate the profit stop bug. No stop loss.
Back to a more 'reasonable' return. :~)
Approach Information
Approach Name: RSI(2) Opportunity 7-31-04 to 7-31-06
Test started on 07/30/2004 ended on 07/28/2006, covering 503 days
Filter used:
RSI(2) Opportunity Entry (saved filter)
Trade Statistics
There were 231 total stocks entered. Of those, 225 or 97.40% were complete and 6 or 2.60% were open.
Of the 225 completed trades, 181 trades or 80.44%resulted in a net gain.
Your average net change for completed trades was: 8.14%.
The average draw down of your approach was: -14.05%.
The average max profit of your approach was: 18.52%
The Reward/Risk ratio for this approach is: 3.16
Annualized Return on Investment (ROI): 117.49%, the ROI of ^SPX was: 7.95%.
Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 141 times or 62.67% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (100 days) 1 times or 0.44% of the time.
An exit trigger was executed 83 times or 36.89% of the time.
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