StockFetcher Forums · Filter Exchange · %R (14) Rebounder ... 84% Win Rate, 118% ROI<< >>Post Follow-up
__fetcheruser123
msg #43142
- Ignore __fetcheruser123		 4/23/2006 4:12:20 AM

The idea is to look for rebounds based on consistently decreasing volume and low but increasing %R (14). Thoughts?

Back test setup:

Stop Loss: N/A
Profit Stop: 1%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 5

Fetcher[
Show stocks where Williams %R (14) is below -85
and where Williams %R (14) has been below -80.00 for the last 5 days
and where Williams %R (14) has increased the last 1 day
and where volume has decreased for the last 5 days
and Average Volume(90) is above 50000
]



Approach Information
Approach Name: Chris -- %R (14) Rebounder
Test started on 12/31/2003 ended on 06/29/2004, covering 123 days
Filter used:
Chris -- %R (14) Rebounder (saved filter)

Trade Statistics
There were 58 total stocks entered. Of those, 58 or 100.00% were complete and or 0.00% were open.
Of the 58 completed trades, 49 trades or 84.48%resulted in a net gain.
Your average net change for completed trades was: 0.55%.
The average draw down of your approach was: -3.23%.
The average max profit of your approach was: 3.54%
The Reward/Risk ratio for this approach is: 1.79
Annualized Return on Investment (ROI): 118.52%, the ROI of ^SPX was: 4.81%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 49 times or 84.48% 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 15.52% 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:492824282517
Losers:82832293241
Win/Loss Ratio:6.12:11.00:10.75:10.97:10.78:10.41:1
Net Change:0.55%1.47%-0.21%-0.44%-3.83%-12.58%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed26:410:14:24:14:01:0----
2 day chg11:179:32:43:22:21:0----
5 day chg7:2110:21:53:22:21:0----
10 day chg13:167:52:43:22:21:0----
25 day chg11:187:51:53:22:21:0----
40 day chg7:235:70:62:33:10:1----

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
Completed34:76:05:11:0--2:0-1:0-
2 day chg18:233:34:21:0--1:0-1:0-
5 day chg14:265:13:31:0--0:2-1:0-
10 day chg18:234:23:31:0--1:1-1:0-
25 day chg17:244:23:30:1--1:1-0:1-
40 day chg13:293:31:50:1--0:2-0:1-
__fetcheruser123
msg #43143
- Ignore __fetcheruser123		 4/23/2006 4:20:18 AM

After tweaking this a little bit, a stop profit of 0.90% is optimal, producing a win rate of 86% and an ROI of 135%.

-Chris

Approach Information
Approach Name: Chris -- %R (14) Rebounder
Test started on 12/31/2003 ended on 06/29/2004, covering 123 days
Filter used:
Chris -- %R (14) Rebounder (saved filter)

Trade Statistics
There were 58 total stocks entered. Of those, 58 or 100.00% were complete and or 0.00% were open.
Of the 58 completed trades, 50 trades or 86.21%resulted in a net gain.
Your average net change for completed trades was: 0.59%.
The average draw down of your approach was: -3.22%.
The average max profit of your approach was: 3.54%
The Reward/Risk ratio for this approach is: 1.96
Annualized Return on Investment (ROI): 135.45%, the ROI of ^SPX was: 4.81%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 50 times or 86.21% 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) 8 times or 13.79% 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:502824282517
Losers:72832293241
Win/Loss Ratio:7.14:11.00:10.75:10.97:10.78:10.41:1
Net Change:0.59%1.47%-0.21%-0.44%-3.83%-12.58%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed26:411:04:24:14:01:0----
2 day chg11:179:32:43:22:21:0----
5 day chg7:2110:21:53:22:21:0----
10 day chg13:167:52:43:22:21:0----
25 day chg11:187:51:53:22:21:0----
40 day chg7:235:70:62:33:10:1----

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
Completed35:66:05:11:0--2:0-1:0-
2 day chg18:233:34:21:0--1:0-1:0-
5 day chg14:265:13:31:0--0:2-1:0-
10 day chg18:234:23:31:0--1:1-1:0-
25 day chg17:244:23:30:1--1:1-0:1-
40 day chg13:293:31:50:1--0:2-0:1-
WALLSTREETGENIUS
983 posts
msg #43145
- Ignore WALLSTREETGENIUS
modified		 4/23/2006 6:06:15 AM

Chris -

You are right on target with Williams %R. It really is a great indicator for "rebounds." Here's a 3-day example that I've yet to share until now....

*** THE MIGHTY RIGGS ACCUMULATION WARM POP-80 ***

3-DAY OFFSET:(25-WINNERS 8-LOSERS 75.8%)

Fetcher[close is above 40
Set{Bullpower, high minus ema(13)}
Set{Bearpower, low minus ema(13)}
set{BLb,days(BullPower is above BullPower 1 day ago,100)}
set{BLa,days(BullPower is below BullPower 1 day ago,100)}
set{BLxBL, BLa - BLb}
set{BRb,days(BearPower is above BearPower 1 day ago,100)}
set{BRa,days(BearPower is below BearPower 1 day ago,100)}
set{BRxBR, BRa - BRb}
Draw Bullpower
Draw Bearpower
add column BLxBL
add column BRxBR
Draw Bullpower
Draw Bearpower
RSI(2)is increasing 1-day
average volume(90)is above 200000
60-day slope of close is above 0
offset date is 4/18/06

/* THE MIGHTY RIGGS ACCUMULATION WARM POP-80 */

/* NORMALIZE accumulation distribution */

set{adval, INDPOSITION(accumulation distribution, 60) * 100 }

/* NORMALIZE momentum(12) */

set{moval, INDPOSITION(momentum(12), 60) * 100}

/* NORMALIZE CCI(14) */

set{ccval, INDPOSITION(CCI(14), 60) * 100 }

/* NORMALIZE williams %r(10) */

set{wrval, INDPOSITION(williams %r(10), 60) * 100 }


/* DRAW THE MP CCIWLR CHART */

and draw wrval
and draw adval on plot wrval
and draw moval on plot wrval
and draw ccval on plot wrval

add column adval
add column ccval
add column moval
add column wrval

adval is above 80
wrval is below 50

adval is increasing
ccval is increasing
moval is increasing
wrval is increasing]




4-DAY OFFSET:(44-WINNERS, 7-LOSERS 86.3%)

Fetcher[close is above 40
Set{Bullpower, high minus ema(13)}
Set{Bearpower, low minus ema(13)}
set{BLb,days(BullPower is above BullPower 1 day ago,100)}
set{BLa,days(BullPower is below BullPower 1 day ago,100)}
set{BLxBL, BLa - BLb}
set{BRb,days(BearPower is above BearPower 1 day ago,100)}
set{BRa,days(BearPower is below BearPower 1 day ago,100)}
set{BRxBR, BRa - BRb}
Draw Bullpower
Draw Bearpower
add column BLxBL
add column BRxBR
Draw Bullpower
Draw Bearpower
RSI(2)is increasing 1-day
average volume(90)is above 200000
60-day slope of close is above 0
offset date is 4/17/06

/* THE MIGHTY RIGGS ACCUMULATION WARM POP-80 */

/* NORMALIZE accumulation distribution */

set{adval, INDPOSITION(accumulation distribution, 60) * 100 }

/* NORMALIZE momentum(12) */

set{moval, INDPOSITION(momentum(12), 60) * 100}

/* NORMALIZE CCI(14) */

set{ccval, INDPOSITION(CCI(14), 60) * 100 }

/* NORMALIZE williams %r(10) */

set{wrval, INDPOSITION(williams %r(10), 60) * 100 }


/* DRAW THE MP CCIWLR CHART */

and draw wrval
and draw adval on plot wrval
and draw moval on plot wrval
and draw ccval on plot wrval

add column adval
add column ccval
add column moval
add column wrval

adval is above 80
wrval is below 50

adval is increasing
ccval is increasing
moval is increasing
wrval is increasing]




5-DAY OFFSET:(52 WINNERS, 12 LOSERS 81.3%)

Fetcher[close is above 40
Set{Bullpower, high minus ema(13)}
Set{Bearpower, low minus ema(13)}
set{BLb,days(BullPower is above BullPower 1 day ago,100)}
set{BLa,days(BullPower is below BullPower 1 day ago,100)}
set{BLxBL, BLa - BLb}
set{BRb,days(BearPower is above BearPower 1 day ago,100)}
set{BRa,days(BearPower is below BearPower 1 day ago,100)}
set{BRxBR, BRa - BRb}
Draw Bullpower
Draw Bearpower
add column BLxBL
add column BRxBR
Draw Bullpower
Draw Bearpower
RSI(2)is increasing 1-day
average volume(90)is above 200000
60-day slope of close is above 0
offset date is 4/13/06

/* THE MIGHTY RIGGS ACCUMULATION WARM POP-80 */

/* NORMALIZE accumulation distribution */

set{adval, INDPOSITION(accumulation distribution, 60) * 100 }

/* NORMALIZE momentum(12) */

set{moval, INDPOSITION(momentum(12), 60) * 100}

/* NORMALIZE CCI(14) */

set{ccval, INDPOSITION(CCI(14), 60) * 100 }

/* NORMALIZE williams %r(10) */

set{wrval, INDPOSITION(williams %r(10), 60) * 100 }


/* DRAW THE MP CCIWLR CHART */

and draw wrval
and draw adval on plot wrval
and draw moval on plot wrval
and draw ccval on plot wrval

add column adval
add column ccval
add column moval
add column wrval

adval is above 80
wrval is below 50

adval is increasing
ccval is increasing
moval is increasing
wrval is increasing]




Chris, in those 3-5 days, that's 121-27 @ a 81.8% clip!I firmly believe that it's Williams %R that does all the heavy lifting here. Also, keep in mind that this 3-5 day filter produced these numbers when the market has just been simply terrible the past 2 days. But it really does take at least 3 days to get adval, ccval, moval & wrval really going.


- RIGGS -




StockFetcher Forums · Filter Exchange · %R (14) Rebounder ... 84% Win Rate, 118% ROI<< >>Post Follow-up

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