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lockwhiz
206 posts
msg #48170
- Ignore lockwhiz

11/26/2006 10:10:41 PM

Traderblues ... I am interested in you backtesting... or as SF call it "Exit Statistics" .... Obviously no Stop Loss ... (IMHO -a trailing stop is best)....but what did you use for your Stop Profit ?

traderblues
195 posts
msg #48175
- Ignore traderblues
modified

11/27/2006 7:36:40 AM

lockwhiz,

I found that 15% stop profit gives the best results, although anywhere from 12% to 18% gave very good results. A 12% profit target gave a success rate of around 80%, but the average gain per trade was reduced.

neskander
6 posts
msg #49472
- Ignore neskander

1/23/2007 4:53:11 AM

only playing the challenge

Approach Information

Approach Name: $27m dreamer

Test started on 12/31/2004 ended on 12/01/2006, covering 484 days

Filter used:

$27m dreamer (saved filter)

Trade Statistics

There were 1795 total stocks entered. Of those, 1545 or 86.07% were complete and 250 or 13.93% were open.

Of the 1545 completed trades, 907 trades or 58.71%resulted in a net gain.

Your average net change for completed trades was: 122.83%.

The average draw down of your approach was: -37.29%.

The average max profit of your approach was: 190.35%

The Reward/Risk ratio for this approach is: 8.99

Annualized Return on Investment (ROI): 455.44%, the ROI of ^SPX was: 7.70%.

Exit Statistics

Stop Loss was triggered 0 times or 0.00% of the time.

Stop Profit was triggered 776 times or 50.23% 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) 769 times or 49.77% of the time.

An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
	Completed	10 day chg	30 day chg	50 day chg	70 day chg	100 day chg
Winners:	907	719	762	719	713	674
Losers:	589	764	834	834	820	788
Win/Loss Ratio:	1.54:1	0.94:1	0.91:1	0.86:1	0.87:1	0.85:1
Net Change:	122.83%	13.96%	42.54%	58.58%	61.59%	84.29%

Statistics By Variable: Match Price
	<0.01	<0.02	<0.03	<0.04	<0.05	<0.06	<0.07	<0.08	<0.09	<0.1
Completed	12:4	99:26	94:24	82:41	96:56	87:64	80:82	74:52	140:116	143:124
10 day chg	4:10	47:53	48:66	58:72	76:76	70:87	68:92	66:62	151:117	131:129
30 day chg	2:14	69:53	61:60	63:79	85:82	70:101	74:94	66:76	141:126	131:149
50 day chg	4:14	61:49	61:56	64:75	73:85	66:98	76:95	66:70	128:138	120:154
70 day chg	4:14	67:43	61:49	67:66	67:93	67:94	71:93	66:64	123:145	120:159
100 day chg	4:13	69:42	63:40	66:63	62:86	64:80	62:94	60:65	106:151	118:154

Statistics By Variable: Average Volume
	<30.0M	<60.0M	<90.0M	<120.0M	<150.0M	<180.0M	<210.0M	<240.0M	<270.0M	<300.0M
Completed	900:586	2:2	1:0	-	1:0	-	-	-	1:1	2:0
10 day chg	716:758	2:2	1:0	-	0:1	-	-	-	0:1	0:2
30 day chg	760:826	1:3	1:0	-	0:1	-	-	-	0:2	0:2
50 day chg	718:825	1:3	0:1	-	0:1	-	-	-	0:2	0:2
70 day chg	712:811	1:3	0:1	-	0:1	-	-	-	0:2	0:2
100 day chg	674:778	0:4	0:1	-	0:1	-	-	-	0:2	0:2

AdamW328
84 posts
msg #49905
- Ignore AdamW328

2/8/2007 4:09:54 PM

Traderblues....great job!!!!

can you post the screen that you use to get these results. I am not aware of RSI(2) and would like to look into this more. Thanks!

neskander
6 posts
msg #50087
- Ignore neskander

2/17/2007 1:16:57 AM

Traderblues,
here is the latest challenge..achieved $245,000,000 over two years!

Approach Information

Approach Name: vol 06 max $245 million return sf

Test started on 01/16/2004 ended on 01/13/2006, covering 502 days

Filter used:

vol 06 max $245 million return (saved filter)

Trade Statistics

There were 66 total stocks entered. Of those, 56 or 84.85% were complete and 10 or 15.15% were open.

Of the 56 completed trades, 43 trades or 76.79%resulted in a net gain.

Your average net change for completed trades was: 177.59%.

The average draw down of your approach was: -26.36%.

The average max profit of your approach was: 224.04%

The Reward/Risk ratio for this approach is: 19.79

Annualized Return on Investment (ROI): 662.28%, the ROI of ^SPX was: 6.76%.