StockFetcher Forums · Filter Exchange · rsi(2) breakout, 75% WR, Reward/Risk 10/1<< >>Post Follow-up
__fetcheruser123
msg #47689
Ignore __fetcheruser123
10/26/2006 9:50:24 PM

Very few trades, but a nice return...

Approach Information
Approach Name: breakout
Test started on 10/25/2004 ended on 10/25/2006, covering 505 days
Filter used:
set{QQQQtest, count(ind(QQQQ,close) above ind(QQQQ,MA(40)),1) }
/* set{QQQQtest, count(ind(QQQQ,CCI(14)) above 0,1) } */

QQQQtest > 0

rsi(2) one day ago has been below 7 for the last 2 days
rsi(2) < 80
set{x, close / open}
x > 1
close one day ago is below open
average volume(90) > 300000
set{y, volume / average volume(30)}
y > 2
close is between 1 and 3

Trade Statistics
There were 24 total stocks entered. Of those, 24 or 100.00% were complete and or 0.00% were open.
Of the 24 completed trades, 18 trades or 75.00%resulted in a net gain.
Your average net change for completed trades was: 8.63%.
The average draw down of your approach was: -2.56%.
The average max profit of your approach was: 8.82%
The Reward/Risk ratio for this approach is: 10.01
Annualized Return on Investment (ROI): 2132.84%, the ROI of ^SPX was: 12.79%.

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 (1 days) 24 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:181817141616
Losers:556977
Win/Loss Ratio:3.60:13.60:12.83:11.56:12.29:12.29:1
Net Change:8.64%8.64%8.13%5.79%5.29%11.64%

Statistics By Variable: Match Price
 <1<1.2<1.4<1.6<1.8<2<2.2<2.4<2.6<2.8
Completed1:15:02:11:0-1:14:13:0-1:1
2 day chg1:15:02:11:0-1:14:13:0-1:1
5 day chg1:16:01:21:0-1:14:12:0-1:1
10 day chg1:13:21:21:0-1:14:13:0-0:2
25 day chg1:14:20:21:0-2:04:12:1-2:0
40 day chg1:13:31:11:0-2:04:13:0-1:1

Statistics By Variable: Average Volume
 <150000<300000<450000<600000<750000<900000<1.1M<1.2M<1.4M<1.5M
Completed1:03:15:13:12:13:0--1:1-
2 day chg1:03:15:13:12:13:0--1:1-
5 day chg-5:04:22:22:13:0--1:1-
10 day chg1:03:23:32:22:12:0--1:1-
25 day chg1:02:35:12:21:13:0--2:0-
40 day chg1:01:45:12:22:03:0--2:0-



wantonellis
161 posts
msg #47699
Ignore wantonellis
modified
10/27/2006 9:00:51 AM



rharmelink
81 posts
msg #47700
Ignore rharmelink
10/27/2006 10:38:34 AM

I could be wrong, but from reading the backtest results, it appears to me that the only "exit trigger" was to hold the position for one day only?


TheRumpledOne
6,411 posts
msg #47703
Ignore TheRumpledOne
modified
10/27/2006 10:13:28 PM

Fetcher[

rsi(2) one day ago has been below 7 for the last 2 days

rsi(2) < 80

close > open

close one day ago is below open

close > 1


average volume(30) > 1000000

]



Just a slight variation on price/volume.

Thanks for sharing.



__fetcheruser123
msg #47704
Ignore __fetcheruser123
10/28/2006 12:25:38 AM

rharmelink, you are correct.


StockFetcher Forums · Filter Exchange · rsi(2) breakout, 75% WR, Reward/Risk 10/1<< >>Post Follow-up

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