Average Volume Rebounder ... 81% Win Rate, 133% ROI

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__fetcheruser123
msg #43244
- Ignore __fetcheruser123

4/27/2006 4:41:51 PM

Another simple idea... This filter looks for largely above average volumes and unusually low %R's as an indication of a rebound. Backtesting was done from 4/25/04 to yesterday (4/25/06). I'll show the results of a back test from the two years before last, shortly.

Backtest Setup:

Stop Loss: N/A
Profit Stop: 2%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 5

Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: close
Maximum Trades Per Day: 25
Maximum Open Positions: 250

Approach Information

Approach Name: Chris -- Average Volume Rebounder

Test started on 04/23/2004 ended on 04/25/2006, covering 504 days

Filter used:

Chris -- Average Volume Rebound (saved filter)

Trade Statistics

There were 27 total stocks entered. Of those, 27 or 100.00% were complete and or 0.00% were open.

Of the 27 completed trades, 22 trades or 81.48%resulted in a net gain.

Your average net change for completed trades was: 1.18%.

The average draw down of your approach was: -1.54%.

The average max profit of your approach was: 3.94%

The Reward/Risk ratio for this approach is: 4.64

Annualized Return on Investment (ROI): 132.84%, the ROI of ^SPX was: 6.96%.

Exit Statistics

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

Stop Profit was triggered 18 times or 66.67% of the time.

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

You held for the maximum period of time (5 days) 9 times or 33.33% 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:	22	13	17	21	14	11
Losers:	5	11	9	6	13	13
Win/Loss Ratio:	4.40:1	1.18:1	1.89:1	3.50:1	1.08:1	0.85:1
Net Change:	1.18%	1.28%	3.31%	2.18%	1.79%	-0.51%

Statistics By Variable: Match Price
	<5	<10	<15	<20	<25	<30	<35	<40	<45	<50
Completed	2:0	7:0	3:1	2:0	3:2	3:0	2:0	-	0:1	0:1
2 day chg	1:1	4:2	1:3	2:0	3:2	1:2	0:1	-	-	1:0
5 day chg	1:0	5:2	2:2	2:0	4:1	2:1	1:1	-	0:1	0:1
10 day chg	1:1	6:1	3:1	1:1	4:1	2:1	2:0	-	1:0	1:0
25 day chg	1:1	4:3	2:2	1:1	3:2	1:2	1:1	-	0:1	1:0
40 day chg	1:0	1:5	2:1	0:2	3:2	1:2	1:1	-	1:0	1:0

Statistics By Variable: Average Volume
	<400000	<800000	<1.2M	<1.6M	<2.0M	<2.4M	<2.8M	<3.2M	<3.6M	<4.0M
Completed	17:5	3:0	1:0	-	-	-	-	1:0	-	-
2 day chg	11:8	1:2	1:0	-	-	-	-	0:1	-	-
5 day chg	14:8	2:1	1:0	-	-	-	-	-	-	-
10 day chg	19:3	1:2	1:0	-	-	-	-	0:1	-	-
25 day chg	13:9	0:3	1:0	-	-	-	-	0:1	-	-
40 day chg	11:9	0:3	0:1	-	-	-	-	-	-	-

__fetcheruser123
msg #43245
- Ignore __fetcheruser123

4/27/2006 4:46:23 PM

This backtest was done from 04/23/02 to 04/23/04. Same filter & setup, 90% win rate, 289% ROI.

Approach Information

Approach Name: Chris -- Average Volume Rebounder

Test started on 04/23/2002 ended on 04/23/2004, covering 505 days

Filter used:

Chris -- Average Volume Rebound (saved filter)

Trade Statistics

There were 31 total stocks entered. Of those, 31 or 100.00% were complete and or 0.00% were open.

Of the 31 completed trades, 28 trades or 90.32%resulted in a net gain.

Your average net change for completed trades was: 1.25%.

The average draw down of your approach was: -2.54%.

The average max profit of your approach was: 3.59%

The Reward/Risk ratio for this approach is: 3.07

Annualized Return on Investment (ROI): 289.06%, the ROI of ^SPX was: 1.45%.