StockFetcher Forums · General Discussion · backtesting ideas<< 1 2 3 4 >>Post Follow-up
redversa721
153 posts
msg #157010
Ignore redversa721
modified
6/16/2021 10:23:35 AM

I ran more backtests and this is the best I got for the above strategy, I tried some higher stop losses to see what would happen

Opening criteria
My Watch Lists: REG_1
MACD(12,26,9) Crossed Above 0
UO(7,14,28) Is Above 30
Buy at close


Sell Criteria
Initial Capital: $30,000
Capital at Risk: 33% per trade
Portfolio Max Size: 3 positions
Comm. per Trade: $0.00
Avg Bid-Ask Spread: 0.02%
Stop Loss: 33%
Close position after: 125 trading days/bars
Period: 01/01/2012 - 12/31/2021


results:

Total Profit: $710,295
Total Trades: 57
Capital Growth: 2,368%
Profit Trades, % of Total: 84%
Profit Factor: [?] 24.79
Avg Trade Duration, days: 121
Payoff Ratio: [?] 4.65
Avg Profit per Trade: 19.9%
Max Drawdown: 30%
Avg Profit per Day: 0.16%
Max Drawdown, $: 168,728
Restoration Factor: [?] 4.21
Avg Annual Return: 38.8%

Here are the first 20 trades

Symbol Entry Date Entry Price Exit Date Exit Price Shares Profit Exit On
BAC 1/5/12 5.57 7/5/12 6.91 1777 2378.72 Duration Limit
CI 1/5/12 43.05 7/5/12 42.61 229 -102.71 Duration Limit
NFLX 1/6/12 12.33 7/6/12 11.7 802 -507.14 Duration Limit
GOOG 7/10/12 289.76 1/9/13 367.68 36 2802.47 Duration Limit
BAC 7/13/12 6.91 1/14/13 10.17 1517 4942.33 Duration Limit
PG 7/13/12 51.4 1/14/13 55.91 203 913.26 Duration Limit
HUM 1/10/13 65.28 7/11/13 81.85 174 2880.33 Duration Limit
PG 1/14/13 55.91 7/15/13 66.47 238 2510.12 Duration Limit
UNH 1/22/13 50.12 7/22/13 65.4 266 4061 Duration Limit
ENTG 7/11/13 9.74 1/8/14 10.99 1467 1830.53 Duration Limit
EQIX 7/16/13 167 1/13/14 145.95 90 -1897.13 Duration Limit
LLY 7/25/13 44.01 1/23/14 47.04 374 1129.7 Duration Limit
AAPL 1/23/14 17.87 7/23/14 22.12 940 3990.84 Duration Limit
NFLX 1/27/14 54.46 7/25/14 60.27 308 1785.77 Duration Limit
MSFT 1/31/14 33.18 7/31/14 38.4 506 2637.43 Duration Limit
HD 7/23/14 70.01 1/21/15 90.34 258 5240.48 Duration Limit
NEE 7/28/14 22.63 1/26/15 25.3 827 2203.91 Duration Limit
PG 8/7/14 67.93 2/5/15 74.58 288 1910.9 Duration Limit
NFLX 1/21/15 58.47 7/21/15 112.51 364 19662.37 Duration Limit


So I am not sure NEE or ENTG would have satisfied my stock parameter in 2014/15 since my watchlist is based off data from this year. But most of the other stocks seem reliable and common

nibor100
917 posts
msg #157011
Ignore nibor100
6/16/2021 10:57:12 AM

Yes, those answers were what I was looking for and more.

Those criteria you listed at the end of your response to b., are they all available from Finviz or your backtesting platform, or just your own criteria from other sources?

Did you also run a series of separate backtests using only the MACD and alternatively just the UO? I'm just curious, not trying to get you to run any additional backtests.

Thanks,
Ed S.





nibor100
917 posts
msg #157012
Ignore nibor100
6/16/2021 11:02:45 AM

OOps, forgot to include a couple of questions:

1. How many stocks are in your REG_1 watchlist?

2. Since there might be times where your MACD and UO criteria are met when the backtest needs to purchase a different stock, how is the choice made between 2 or more candidates?

Thanks again,
Ed S.

redversa721
153 posts
msg #157013
Ignore redversa721
6/16/2021 11:16:33 AM

Hi Nibor
Yes finviz free version has the screener where you can choose the options listed. I tried to make them as restrictive so that I get the best quality stocks for long term investing.

Here is the link to it
https://finviz.com/screener.ashx?v=111&f=cap_large,fa_div_pos,fa_eps5years_o10,fa_epsyoy_o5,fa_epsyoy1_o5,fa_estltgrowth_o5,fa_fpe_o5,fa_netmargin_pos,fa_pe_o5,fa_roe_o5,fa_roi_o10,geo_usa,sh_avgvol_o400&ft=3&r=21

I have not run backtest for just MACD. The original request was for MACD and i believe someone already posted some sort of backtest result. I just added an ultimate oscillator on top of it to see what I would get.

I have about 45 symbols in my watchlist.Most of them have a market cap over 80B dollars. Two have less than 15B dollars.

Great point regarding what i would choose when I get multiple stock options. You are going to laugh, but I go by ascending stock name. I tried cap, ,volume, roc, roi and roe, the best I got was just sorted by stock name. :)

The second best I got was through descending rate of change but based on testing, the best results were through just ascending stock name so far



redversa721
153 posts
msg #157014
Ignore redversa721
6/16/2021 11:22:26 AM

Here are the results for just MACD. I am surprised, it is quite close to what we got before.

Open
My Watch Lists: REG_1
MACD(12,26,9) Crossed Above 0
Buy at close

Initial Capital: $30,000
Capital at Risk: 33% per trade
Portfolio Max Size: 3 positions
Comm. per Trade: $0.00
Avg Bid-Ask Spread: 0.02%
Stop Loss: 33%
Close position after: 125 trading days/bars
Period: 01/01/2012 - 12/31/2021


Total Profit: $709,781
Total Trades: 57
Capital Growth: 2,366%
Profit Trades, % of Total: 84%
Profit Factor: [?] 24.77
Avg Trade Duration, days: 121
Payoff Ratio: [?] 4.64
Avg Profit per Trade: 19.9%
Max Drawdown: 30%
Avg Profit per Day: 0.16%
Max Drawdown, $: 168,728
Restoration Factor: [?] 4.21
Avg Annual Return: 38.8%


First 20 trades [Pretty much replicates the MACD with UO]
BAC 1/5/12 5.57 7/5/12 6.91 1777 2378.72 Duration Limit
CI 1/5/12 43.05 7/5/12 42.61 229 -102.71 Duration Limit
NFLX 1/6/12 12.33 7/6/12 11.7 802 -507.14 Duration Limit
GOOG 7/10/12 289.76 1/9/13 367.68 36 2802.47 Duration Limit
BAC 7/13/12 6.91 1/14/13 10.17 1517 4942.33 Duration Limit
PG 7/13/12 51.4 1/14/13 55.91 203 913.26 Duration Limit
HUM 1/10/13 65.28 7/11/13 81.85 174 2880.33 Duration Limit
PG 1/14/13 55.91 7/15/13 66.47 238 2510.12 Duration Limit
UNH 1/22/13 50.12 7/22/13 65.4 266 4061 Duration Limit
ENTG 7/11/13 9.74 1/8/14 10.99 1467 1830.53 Duration Limit
EQIX 7/16/13 167 1/13/14 145.95 90 -1897.13 Duration Limit
LLY 7/25/13 44.01 1/23/14 47.04 374 1129.7 Duration Limit
AAPL 1/23/14 17.87 7/23/14 22.12 940 3990.84 Duration Limit
NFLX 1/27/14 54.46 7/25/14 60.27 308 1785.77 Duration Limit
MSFT 1/31/14 33.18 7/31/14 38.4 506 2637.43 Duration Limit
HD 7/23/14 70.01 1/21/15 90.34 258 5240.48 Duration Limit
NEE 7/28/14 22.63 1/26/15 25.3 827 2203.91 Duration Limit
PG 8/7/14 67.93 2/5/15 74.58 288 1910.9 Duration Limit
NFLX 1/21/15 58.47 7/21/15 112.51 364 19662.37 Duration Limit
AAPL 1/26/15 25.98 7/24/15 28.83 848 2411.91 Duration Limit

nibor100
917 posts
msg #157015
Ignore nibor100
6/17/2021 12:00:50 PM

@redversa721,

I'm not laughing as choosing from stock name ascending seems to be used fairly often in backtesting.

Using the FinViz link you provided and your lists of 20 first trades I believe I was able to create most of your REG_! watchlist as I ended up with 43 stocks.

Using VectorVest on those 43 stocks, I was able to check a couple of your FinViz criteria back on Jan 3,2012 and found 12 stocks that don't have dividends back then, and as you suspected many stocks (21) don't meet the MarketCap 10B criteria. I can provide the names if you want.

Thanks,
Ed S.

Cheese
1,374 posts
msg #157021
Ignore Cheese
6/17/2021 3:51:40 PM

https://www.stockfetcher.com/forums/General-Discussion/backtesting-ideas/156926
redversa721 6/16/2021 12:13:35 AM
Bread and butter is I use a stoch and a super trend based strategy on just a select set of good quality stocks.
=================================================================================

red,

In appreciation of what you've done, I want to share this anecdotal experience.

Supertrend is indeed super.

But ichimoku tenkan-sen might even be better and hug closer, quicker

Fetcher[
symlist(XLC,XLB,XLE,XLF,XLI,XLK,XLP,XLRE,XLU,XLV,XLY,SPY,QQQ,IWM,DIA)

chart-time 4 months

set{cloz,close}

/*Tenkan-Sen*/
set{diff7TS, high 9 day high + low 9 day low}
set{TS, diff7tS / 2}
draw TS on plot price

set{Tenkan_Sen, TS}
draw Tenkan_Sen on plot cloz
]



redversa721
153 posts
msg #157025
Ignore redversa721
6/17/2021 5:56:41 PM

hello

Thanks for the info. I am horrible at reading chart, so will do some research and figure out what I need to look for. I kinda do not understand a lot of charting coz I think tables have kept me ok for all this time. So havent really thought about understanding charts.

Maybe to get me started, should I look at the bottom chart for crossovers? Thanks again for all the work

Cheese
1,374 posts
msg #157028
Ignore Cheese
modified
6/17/2021 10:07:35 PM

redversa721

Please refer to these sites for info
https://ichimokutrader.com/signals.html
https://www.investopedia.com/terms/t/tenkansen.asp
https://en.wikipedia.org/wiki/Ichimoku_Kink%C5%8D_Hy%C5%8D

HTH.

redversa721
153 posts
msg #157029
Ignore redversa721
6/17/2021 10:20:29 PM

Thanks so much for all the info. let me read them and get back to you. :)

DN

StockFetcher Forums · General Discussion · backtesting ideas<< 1 2 3 4 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2021 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.