StockFetcher Forums · General Discussion · EDGERATER discussion<< 1 2 3 4 5 >>Post Follow-up
xarlor
392 posts
msg #155288
Ignore xarlor
1/12/2021 9:10:37 PM

All Trades Winners Losers Neutral
Trade Count % 100% 63.85% 35.97% 0.18%


Cheese
1,049 posts
msg #155290
Ignore Cheese
1/12/2021 9:37:59 PM

xarlor 1/12/2021 9:10:37 PM
All Trades Winners Losers Neutral
Trade Count % 100% 63.85% 35.97% 0.18%
===============================================

THANK YOU, xarlor !


nibor100
727 posts
msg #155293
Ignore nibor100
1/13/2021 12:00:16 PM

@xarlor,

I made the changes you asked for except I don't have an all stocks no ETFs symbol list in Edgerater so I just ran it on my all stocks list.(6979 stocks and etfs)

Since it was a short list of results due to your 200M volume parameter change.
I've included the trade list output further below.

Ed S.

All Trades Winners Losers Neutral
Trade Count 34 24 10 0
Trade Count % 100% 70.59% 29.41% 0.00%
Avg. Profit/Loss $ $59.36 $126.59 ($101.99)
Avg. Profit/Loss % 2.96% 6.27% -4.99%

Average Min Max SD Sum
Trade Length (Days) 7.88 4.00 23.00 4.53
Trades per position 1.00 1.00 1.00 0.00 34.00
Daily Open Positions 0.11 0.00 6.00 0.45
Profit/Loss (%) 2.96% -24.85% 17.82% 7.69%
Max Favourable Excursion % (MFEP) 5.71% 0.00% 25.68% 5.98%
Max Adverse Excursion % (MAEP) 5.09% 0.00% 30.02% 6.98%
Profit/Loss ($) $59.36 ($510.88) $356.72 $156.14 $2,018.39
Max Favourable Excursion (MFE) $115.42 $0.00 $514.20 $119.84
Max Adverse Excursion (MAE) $103.43 $0.00 $600.97 $141.58

Starting Equity $100,000
Ending Equity $102,018
Net Profit $2,018
Net Profit % 2.02%
Investment Period (Days) 3252
Maximum Equity $102,804
Minimum Equity $99,906
Max Consecutive Winners 18
Max Consecutive Losers 2
Commission Rate $0.00
Total Commissions Paid $0.00

Payoff Ratio 1.24
Expectation % 58.21%
Expectation $ $59

Annualized Rate of Return (ARR) 0.23%
Compounded Annual Growth Rate (CAGR) 0.22%
Profit Factor (PF) 2.98
Pessimistic Rate of Return (PRR) 1.80
Maximum Portfolio Drawdown (MPD) $1,215.10
Sharpe Ratio 0.1324

Entry Date En. Price Sym. Exit Date Ex. Price Sh. Side Days Tr. Com. PL % MFE % MAE % P/L MFE MAE Exit Reason
4/8/2011 10.32 AAPL 4/14/2011 10.31 194 Long 5 1 0 -0.08% 0.32% 1.50% -1.55 6 30 Exit Event
4/15/2011 11.27 BAC 4/29/2011 10.89 178 Long 10 1 0 -3.35% 0.00% 5.23% -67.08 0 105 Exit Event
5/5/2011 33.72 SLV 5/11/2011 36.48 59 Long 5 1 0 8.18% 12.39% 0.36% 163.52 248 7 Exit Event
5/25/2011 24.07 AIG 6/10/2011 23.92 83 Long 12 1 0 -0.60% 2.37% 4.17% -12.03 47 84 Exit Event
7/18/2011 8.55 BAC 7/22/2011 9.02 234 Long 5 1 0 5.56% 5.76% 3.29% 111.20 115 66 Exit Event
8/2/2011 103.74 SPY 8/16/2011 98.76 19 Long 11 1 0 -4.80% 0.65% 12.13% -96.13 13 243 Exit Event
8/8/2011 6.73 F 8/15/2011 7.65 298 Long 6 1 0 13.70% 13.90% 0.00% 274.21 278 0 Exit Event
8/8/2011 5.73 BAC 8/16/2011 6.69 350 Long 7 1 0 16.90% 20.43% 0.00% 338.31 409 0 Exit Event
8/8/2011 5.04 FAS 8/16/2011 5.94 397 Long 7 1 0 17.82% 25.68% 30.02% 356.72 514 601 Exit Event
8/8/2011 9.04 SSO 8/16/2011 10.16 222 Long 7 1 0 12.36% 14.74% 3.67% 247.56 295 74 Exit Event
8/8/2011 8.24 XLF 8/16/2011 8.81 243 Long 7 1 0 6.85% 9.57% 0.96% 137.19 192 19 Exit Event
9/30/2011 11.75 AAPL 10/11/2011 12.09 173 Long 8 1 0 2.95% 2.95% 7.10% 59.86 60 144 Exit Event
11/23/2011 96.85 SPY 11/29/2011 99.75 21 Long 4 1 0 2.99% 3.11% 0.31% 60.79 63 6 Exit Event
11/23/2011 4.53 BAC 12/1/2011 4.74 449 Long 6 1 0 4.67% 7.59% 2.14% 94.75 154 43 Exit Event
4/16/2012 17.87 AAPL 4/26/2012 18.92 114 Long 9 1 0 5.88% 6.92% 4.33% 119.66 141 88 Exit Event
5/16/2012 6.28 BAC 5/24/2012 6.41 324 Long 7 1 0 2.11% 2.11% 5.49% 42.95 43 112 Exit Event
5/17/2012 109.90 SPY 5/24/2012 111.39 19 Long 6 1 0 1.35% 1.81% 1.00% 27.54 37 20 Exit Event
5/17/2012 16.33 AAPL 5/22/2012 17.55 125 Long 4 1 0 7.44% 7.44% 1.50% 151.42 151 30 Exit Event
6/24/2013 12.67 AAPL 7/2/2013 12.90 161 Long 7 1 0 1.84% 2.42% 3.40% 37.61 49 69 Exit Event
1/6/2015 177.64 SPY 1/9/2015 183.49 11 Long 4 1 0 3.29% 3.29% 0.00% 67.21 67 0 Exit Event
8/4/2015 26.32 AAPL 8/11/2015 27.17 78 Long 6 1 0 3.23% 5.14% 2.22% 65.95 105 45 Exit Event
8/24/2015 23.78 AAPL 8/27/2015 25.88 86 Long 4 1 0 8.85% 8.85% 0.00% 180.93 181 0 Exit Event
8/24/2015 170.04 SPY 8/28/2015 178.12 12 Long 5 1 0 4.75% 5.23% 1.36% 97.06 107 28 Exit Event
1/7/2016 22.34 AAPL 1/13/2016 23.23 92 Long 5 1 0 4.01% 4.40% 0.00% 82.22 90 0 Exit Event
2/11/2016 10.12 BAC 2/17/2016 11.39 203 Long 4 1 0 12.63% 12.63% 0.00% 259.11 259 0 Exit Event
4/27/2016 22.78 AAPL 5/11/2016 21.90 90 Long 11 1 0 -3.85% 0.06% 5.54% -79.21 1 114 Exit Event
3/21/2017 21.25 BAC 3/29/2017 21.70 97 Long 7 1 0 2.13% 2.82% 3.74% 43.73 58 77 Exit Event
2/5/2018 249.42 SPY 2/14/2018 249.78 8 Long 8 1 0 0.14% 3.19% 4.17% 2.96 66 86 Exit Event
10/10/2018 266.44 SPY 10/17/2018 268.49 8 Long 6 1 0 0.77% 0.91% 2.85% 15.80 19 59 Exit Event
10/30/2018 9.72 GE 11/29/2018 7.30 212 Long 22 1 0 -24.85% 2.06% 28.68% -510.88 42 590 Exit Event
12/19/2018 240.55 SPY 12/28/2018 240.37 9 Long 7 1 0 -0.08% 0.14% 6.41% -1.56 3 131 Exit Event
5/13/2019 45.72 AAPL 6/5/2019 45.37 45 Long 17 1 0 -0.78% 3.63% 8.32% -15.86 74 170 Exit Event
10/24/2019 3.90 NOK 11/25/2019 3.49 524 Long 23 1 0 -10.51% 0.00% 14.62% -215.00 0 299 Exit Event
2/25/2020 306.81 SPY 3/3/2020 303.72 7 Long 6 1 0 -1.01% 1.75% 8.67% -20.56 36 177 Exit Event







xarlor
392 posts
msg #155297
Ignore xarlor
1/13/2021 6:06:34 PM

Well, that was a fail on my part. My zero key must have gotten stuck because I certainly didn't mean 200 million but 2 million in volume. Sorry!

nibor100
727 posts
msg #155307
Ignore nibor100
1/14/2021 11:32:44 AM

@xarlor,

I had thought you probably meant $2M but when I double checked and saw the commas in the right places I changed my mind...

Below is the backtest with it changed back to $2m.

Ed S.

All Trades Winners Losers Neutral
Trade Count 12322 8043 4226 53
Trade Count % 100% 65.27% 34.30% 0.43%
Avg. Profit/Loss $ ($58.66) $239.04 ($625.98)
Avg. Profit/Loss % -0.08% 4.14% -8.11%

Average Min Max SD Sum
Trade Length (Days) 7.35 2.00 41.00 4.41
Trades per position 1.00 1.00 1.00 0.00 12322.00
Daily Open Positions 37.23 0.00 618.00 59.95
Profit/Loss (%) -0.08% -83.06% 109.66% 9.72%
Max Favourable Excursion % (MFEP) 4.26% 0.00% 137.24% 5.11%
Max Adverse Excursion % (MAEP) 6.85% 0.00% 90.50% 10.91%
Profit/Loss ($) ($58.66) ($9,922.79) $11,988.24 $881.51 ($722,819.25)
Max Favourable Excursion (MFE) $253.33 $0.00 $15,004.15 $393.15
Max Adverse Excursion (MAE) $476.20 $0.00 $10,597.70 $1,054.30

Starting Equity $100,000
Ending Equity ($622,819)
Net Profit ($722,819)
Net Profit % -722.82%
Investment Period (Days) 3372
Maximum Equity $622,217
Minimum Equity ($931,159)
Max Consecutive Winners 184
Max Consecutive Losers 128
Commission Rate $0.00
Total Commissions Paid $0.00

Payoff Ratio 0.38
Expectation % -9.37%
Expectation $ ($59)

Annualized Rate of Return (ARR) -78.24%
Compounded Annual Growth Rate (CAGR) #NUM!
Profit Factor (PF) 0.73
Pessimistic Rate of Return (PRR) 0.71
Maximum Portfolio Drawdown (MPD) $1,553,376.21
Sharpe Ratio -74.4675





xarlor
392 posts
msg #155331
Ignore xarlor
1/15/2021 8:31:33 PM

Yikes. Well I guess that answers that. I'm going to have to learn Edgewater so I can tweak the rules. Thank you again for indulging my curiosity, nibor.

nibor100
727 posts
msg #155338
Ignore nibor100
1/17/2021 2:05:56 AM

@xarlor,

Backtest was doing great until middle of Feb 2020 with a total equity of around $600K then the Covid decline took place with many signals for entry as stocks began to fall fast and then continued falling for days before eventually recovering enough to have a RSI(2) level >70.

As an example of just one backtest trading date; if you run your filter on 26 Feb 2020 and then look at the chart of UAL you'll see an example of what happened to hundreds of stocks in the backtest. UAL ended up with a loss of -50.4% and it was one of the medium size losses. The backtest had 70 trades enter on the 26th and around 50 were losers.

The other reason the backtest got hammered is because of large size of the equity and the entry requirement rule of using just 2% of available equity resulting in many, many trades required to keep that $600K in the market.

I'm willing to do a couple of tweak backtests if you'd like since I already have the basic entry and exit scripts written.

Ed S.

xarlor
392 posts
msg #155340
Ignore xarlor
modified
1/17/2021 9:55:28 AM

Okay, it's actually comforting knowing the strategy was doing great up until a Black Swan event.

Looking at UAL and going off what you said, seems a simple check is in order. If you're willing to take this further, let's just add a very basic uptrend indicator as a go/no-go entry:

low > ma(200)

P.S. - How did the strategy end with negative equity? No margin was to be used and trades only taken with available capital. The worst the strategy should theoretically end at is $0.

Eman93
4,745 posts
msg #155349
Ignore Eman93
1/18/2021 9:06:27 AM

You are on the right track here and the RSI 2 is a great oversold/overbought indicator.
You are getting several important pieces of data when running the scan:
First is total number of returns, if the overall market is oversold you would expect a very large number of returns.
If it is a small amount of returns, the individual stock has an issue or could be issues in a sector, you may not want to take the trade automatically.

You could use relative strength greater than the SPX, I think it is important to limit your overall list to the market leaders (for bullish) it needs to be in an uptrend- example ( Close > 100sma) (slope of 100SMA > 0).
You should use a better entry, SF only has eod data for testing try close > close 1 day ago.
Exit could be Close < Close 1 day ago.

This is basically buy the dip or sell the rip, when you add in support and resistance you can get a real nice entry.





nibor100
727 posts
msg #155353
Ignore nibor100
1/18/2021 12:09:37 PM

@xarlor,

Good question, as I've never seen negative equity before either on any of my backtests run in Edgerater Pro nor Edgerater PRO 2020.

Perhaps, he undid some toggle when he updated the program this year, or when he added the Batch backtesting options.

I've sent him your question.

I'll probably run the go/no go backtest change sometime during today's Magic game.

Ed S.

StockFetcher Forums · General Discussion · EDGERATER discussion<< 1 2 3 4 5 >>Post Follow-up

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