glm47
51 posts
msg #42535
- Ignore glm47 |
3/26/2006 5:44:35 PM
Cut and pasted from your post earlier in this thread:
/* dvpct - percentage dollar volume increased(+)/decreased(-) */
set{dv1, close 1 day ago * volume 1 day ago }
set{dv, close * volume }
set{netdvchg, dv - dv1}
set{dvpc, netdvchg / dv1 }
set{dvpct, dvpc * 100}
/* valchg - percentage value increased(+)/decreased(-) */
set{netchg, close - close 1 day ago}
set{CCC, netchg / close 1 day ago}
set{VVV, volume / volume 1 day ago}
set{CCCVVV, CCC * VVV}
set{valchg, CCCVVV * 100 }
add column dvpct
add column valchg
close above 50
volume above 1000000
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TheRumpledOne
6,529 posts
msg #42536
- Ignore TheRumpledOne |
3/26/2006 6:05:07 PM
"Anyway, here are the backtest results of TRO's Volume Change filter with my own Swing Trade parameters along with RSI(10) entry and exit signals. I was impressed by the 61% ROI... "
You didn't post YOUR filter.
The close/volume selection criteria I used was just for example purposes.
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glm47
51 posts
msg #42539
- Ignore glm47 |
3/26/2006 6:14:47 PM
Yes but those parameters are a filter by themselves...
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TheRumpledOne
6,529 posts
msg #42540
- Ignore TheRumpledOne |
3/26/2006 7:01:36 PM
So you're NOT going to post your filter?
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glm47
51 posts
msg #42541
- Ignore glm47 |
3/26/2006 7:17:17 PM
TRO you have the filter, you made it!
Here is what I have done with your post. I clicked the Fetcher magnifying glass on the second Fetcher filter you posted in this thread. I browsed through a few pages of results and was impresssed by the ratio of green to red in the Performance column.
So impressed in fact I decided to backtest it and used the following criteria in my backtest.
| Approach Information | | Approach Name: TRO Volume Change - Win Ratio Test (Swing Trade Params) | | Test started on 12/30/2005 ended on 03/24/2006, covering 57 days | | Filter used: | | TRO Volume change - high win ratio (saved filter) |
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| Trade Statistics | | There were 150 total stocks entered. Of those, 140 or 93.33% were complete and 10 or 6.67% were open. | | Of the 140 completed trades, 81 trades or 57.86%resulted in a net gain. | | Your average net change for completed trades was: 1.00%. | | The average draw down of your approach was: -2.65%. | | The average max profit of your approach was: 3.77% | | The Reward/Risk ratio for this approach is: 1.87 | | Annualized Return on Investment (ROI): 61.72%, the ROI of ^SPX was: 16.76%. |
| 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 (4 days) 140 times or 100.00% 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: | 81 | 80 | 80 | 64 | 50 | 29 | | Losers: | 58 | 58 | 60 | 55 | 40 | 21 | | Win/Loss Ratio: | 1.40:1 | 1.38:1 | 1.33:1 | 1.16:1 | 1.25:1 | 1.38:1 | | Net Change: | 1.00% | 0.31% | 1.01% | 0.10% | 0.37% | 0.07% |
| Statistics By Variable: Match Price | | | <30 | <45 | <60 | <75 | <90 | <105 | <120 | <135 | <150 | <165 | | Completed | 28:26 | 32:21 | 11:6 | 7:4 | 1:1 | 1:0 | 1:0 | - | - | - | | 2 day chg | 32:21 | 30:23 | 10:7 | 5:6 | 2:0 | 1:0 | 0:1 | - | - | - | | 5 day chg | 26:28 | 31:23 | 13:4 | 7:4 | 1:1 | 1:0 | 1:0 | - | - | - | | 10 day chg | 18:27 | 29:19 | 10:5 | 4:4 | 1:0 | 1:0 | 1:0 | - | - | - | | 25 day chg | 17:16 | 21:15 | 6:5 | 5:3 | 1:0 | - | 0:1 | - | - | - | | 40 day chg | 12:6 | 13:9 | 3:6 | 1:0 | - | - | - | - | - | - |
| Statistics By Variable: Average Volume | | | <10.0M | <20.0M | <30.0M | <40.0M | <50.0M | <60.0M | <70.0M | <80.0M | <90.0M | <100.0M | | Completed | 75:52 | 2:2 | 2:1 | - | - | - | 1:1 | 1:2 | - | - | | 2 day chg | 72:53 | 2:2 | 3:1 | - | - | - | 1:1 | 2:1 | - | - | | 5 day chg | 73:54 | 1:3 | 3:1 | - | - | - | 1:1 | 2:1 | - | - | | 10 day chg | 59:49 | 2:2 | 1:2 | - | - | - | 1:1 | 1:1 | - | - | | 25 day chg | 46:32 | 2:2 | 1:2 | - | - | - | 1:1 | 0:3 | - | - | | 40 day chg | 25:17 | 2:1 | 1:1 | - | - | - | 1:1 | 0:1 | - | - |
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glm47
51 posts
msg #42542
- Ignore glm47 |
3/26/2006 7:27:46 PM
That was the first backtest result I have ever posted. Didn't know it would not show the criteria I used for the backtest. Here they are, pasted from the System Summary page of my backtest profile:
Entry Filter
TRO Volume change - high win ratio (saved filter)
Basic Setup
Name: TRO Volume Change - Win Ratio Test (Swing Trade Params)
Approach Type: Long
Start Date: 12/30/2005
End Date: 03/24/2006
Benchmark Symbol: ^SPX
Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 4
Exit Trigger #1: rsi(10)>97
Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 5 days
after 10 days
after 25 days
after 40 days
Advanced Options
Selection Method: select by rsi(10)<2
Entry Price: open
Conditional Entry: No
Exit Price: N/A
Maximum Trades Per Day: 10
Maximum Open Positions: 10
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TheRumpledOne
6,529 posts
msg #42543
- Ignore TheRumpledOne
modified |
3/26/2006 8:39:10 PM
Ok, thanks for explaining.
Too funny, I wasn't even trying to create a filter... just a display to be added to other filters.
But I hardly call:
close above 50
volume above 1000000
A filter!
Of course, those stocks are probably volatile enough that you can swingtrade them.
But your entry was rsi(10) < 2, that's what's causing the profit to appear!!
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TheRumpledOne
6,529 posts
msg #42544
- Ignore TheRumpledOne
modified |
3/26/2006 8:42:17 PM
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glm47
51 posts
msg #42545
- Ignore glm47 |
3/26/2006 9:18:28 PM
I didn't even read the filter before clicking the Fetcher. I was just impressed by how much green I saw.
The volume above 1 million and close above $50.00 reduces 10,000 potential stocks to only 164. This alone made me think it was a filter. Now that I have read the filter I feel like a dope...lol
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