StockFetcher Forums · Filter Exchange · RSI (14) Top Pop ... 89% Win Rate<< >>Post Follow-up
msg #43137
Ignore __fetcheruser123
4/23/2006 1:42:12 AM

What do you guys think? The idea is that mid-priced stocks trending up in this fashion end with at least a little 1/2% pop the following day before falling again.

The back test was setup like this:

Stop Loss: N/A
Profit Stop: 0.5%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1

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

Show stocks where Williams %R (14) has been above -17.00 for the last 4 days
and where Williams %R (14) 5 days ago had been below -10 for 20 days
and where Williams %R (14) has increased in the last 1 day
and where Williams %R (14) has been below -3.00 for the last 10 days
and Average Volume(90) is above 50000
and close is between 3 and 12
offset 7 days

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

Trade Statistics
There were 374 total stocks entered. Of those, 370 or 98.93% were complete and 4 or 1.07% were open.
Of the 370 completed trades, 328 trades or 88.65%resulted in a net gain.
Your average net change for completed trades was: 1.43%.
The average draw down of your approach was: -2.54%.
The average max profit of your approach was: 2.42%
The Reward/Risk ratio for this approach is: 8.41
Annualized Return on Investment (ROI): 1866.68%, 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 300 times or 81.08% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 70 times or 18.92% 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
Win/Loss Ratio:8.41:11.05:11.05:10.89:10.74:10.63:1
Net Change:1.43%0.06%0.54%0.67%-0.38%-3.14%

Statistics By Variable: Match Price
2 day chg4:315:2116:1722:1726:2716:2027:2126:1321:2210:13
5 day chg4:315:2422:1020:2021:3119:1726:2319:2227:1714:11
10 day chg2:416:2318:1823:1828:2416:2025:2312:2923:2111:15
25 day chg0:79:3022:1417:2419:3413:2326:2321:2021:2310:16
40 day chg1:69:3019:1713:2816:3812:2426:2415:2523:2110:16

Statistics By Variable: Average Volume
2 day chg171:1682:42:16:00:11:0---1:0
5 day chg178:1693:33:01:51:00:1---1:0
10 day chg164:1874:23:01:50:11:0---1:0
25 day chg154:2001:51:21:50:10:1---1:0
40 day chg139:2162:41:21:50:10:1---1:0

msg #43141
Ignore __fetcheruser123
4/23/2006 3:34:51 AM

Whoops, that's supposed to be %R (14), not RSI. :)

195 posts
msg #43148
Ignore traderblues
4/23/2006 8:14:47 AM

You need to factor in slippage and commissions. Your average gain per trade is only 1.43%. This will come down after you figure in the costs. And your success rate will also go down quite a bit.

This is one downfall of this backtester. There is no option to add slippage and commissions into the results. What you can do is download the trade results into Excel, add a column to add slippage and commissions to every trade, and see what it does to the results.

StockFetcher Forums · Filter Exchange · RSI (14) Top Pop ... 89% Win Rate<< >>Post Follow-up

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