General Discussion · Success?
__fetcheruser123msg #116648
11/10/2013 12:38:01 PM I might. :) It's been seven years, I've forgotten a lot of names. How goes it?
General Discussion · Success?
__fetcheruser123msg #116370
10/31/2013 6:57:52 AM I haven't posted on these forums in seven years. I got a bit burnt out chasing Pi. ;) I was just wondering if any of you turned this stuff into something successful? I still have a few filters that seem to perform alright and thought I might do something with them.
I see TRO is still around. Is Muddy still banned? :)
Filter Exchange · Looking for filter with highest W/L Ratio
__fetcheruser123msg #49309
1/16/2007 5:10:37 PM Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1
Exit Trigger #1: rsi(2) > 80
Maximum Trades Per Day: 12
Maximum Open Positions: 1Approach Information Approach Name: tester Test started on 01/14/2005 ended on 01/16/2007 , covering 502 days Filter used: Smallcap-Long; 80% WR; 6.13 RR (saved filter )
Trade Statistics There were 162 total stocks entered. Of those, 161 or 99.38% were complete and 1 or 0.62% were open. Of the 161 completed trades, 98 trades or 60.87% resulted in a net gain. Your average net change for completed trades was: 3.31% . The average draw down of your approach was: -4.44% . The average max profit of your approach was: 5.88% The Reward/Risk ratio for this approach is: 2.81 Annualized Return on Investment (ROI): 818.66% , the ROI of ^SPX was: 10.58% .
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 (1 days) 161 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: 98 98 102 96 80 76 Losers: 55 55 56 61 70 71 Win/Loss Ratio: 1.78:1 1.78:1 1.82:1 1.57:1 1.14:1 1.07:1 Net Change: 3.31% 3.31% 4.48% 6.65% 9.83% 8.04%
Statistics By Variable: Match Price <0.4 <0.8 <1.2 <1.6 <2 <2.4 <2.8 <3.2 <3.6 <4 Completed 18:8 8:6 11:2 9:2 13:6 11:8 9:9 7:7 5:2 7:5 2 day chg 18:8 8:6 11:2 9:2 13:6 11:8 9:9 7:7 5:2 7:5 5 day chg 16:11 9:4 10:4 8:3 14:7 12:8 12:6 10:5 2:5 9:3 10 day chg 15:12 8:5 9:5 9:2 17:4 9:11 11:7 8:7 2:5 8:3 25 day chg 10:17 6:8 9:5 8:2 12:8 10:9 11:4 5:9 4:3 5:5 40 day chg 12:15 7:7 10:4 7:3 9:10 9:9 7:7 6:9 3:4 6:3
Statistics By Variable: Average Volume <4.0M <8.0M <12.0M <16.0M <20.0M <24.0M <28.0M <32.0M <36.0M <40.0M Completed 80:49 11:3 5:2 0:1 - 1:0 - - - 1:0 2 day chg 80:49 11:3 5:2 0:1 - 1:0 - - - 1:0 5 day chg 87:47 9:5 4:3 1:0 - 1:0 - - - 0:1 10 day chg 84:49 8:6 2:5 1:0 - 1:0 - - - 0:1 25 day chg 65:63 9:4 5:1 1:0 - 0:1 - - - 0:1 40 day chg 62:63 7:6 5:1 1:0 - 1:0 - - - 0:1
Statistics By Variable: EMA(10) <0.5 <1 <1.5 <2 <2.5 <3 <3.5 <4 <4.5 <5 Completed 19:10 9:4 11:3 12:2 12:10 10:6 13:8 7:10 5:2 - 2 day chg 19:10 9:4 11:3 12:2 12:10 10:6 13:8 7:10 5:2 - 5 day chg 17:12 9:4 11:4 11:3 14:11 11:5 15:6 8:10 6:1 - 10 day chg 16:13 8:5 11:4 11:3 16:9 9:7 14:7 6:11 5:2 - 25 day chg 12:17 4:10 11:4 10:2 12:13 9:5 11:8 8:8 3:3 - 40 day chg 14:15 5:9 13:2 6:6 10:13 8:5 10:9 6:10 4:2 -
Filter Exchange · Looking for filter with highest W/L Ratio
__fetcheruser123msg #49308
1/16/2007 5:06:59 PM Breed,
You have to set the Maximum Open Positions to something like 2 or 4... That's the reason your backtest didn't produce the same equity curve.
Filter Exchange · Looking for filter with highest W/L Ratio
__fetcheruser123msg #49052
1/8/2007 1:55:51 PM Over a 4 year period, maximum 5 day hold, exit if RSI(2) > 85.Approach Information Approach Name: tester Test started on 12/08/2004 ended on 12/08/2006 , covering 505 days Filter used: Close has been decreasing over the last 11 days
and close between 1 and 50
and average volume (90)above 50000
and not otcbb
AND RSI(2) < 1
Trade Statistics There were 262 total stocks entered. Of those, 262 or 100.00% were complete and or 0.00% were open. Of the 262 completed trades, 166 trades or 63.36% resulted in a net gain. Your average net change for completed trades was: 4.95% . The average draw down of your approach was: -3.81% . The average max profit of your approach was: 8.90% The Reward/Risk ratio for this approach is: 4.54 Annualized Return on Investment (ROI): 283.72% , the ROI of ^SPX was: 9.67% .
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 (5 days) 167 times or 63.74% of the time. An exit trigger was executed 95 times or 36.26% of the time.
Statistics By Holding Period Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Winners: 166 134 150 157 139 140 Losers: 90 120 104 102 118 108 Win/Loss Ratio: 1.84:1 1.12:1 1.44:1 1.54:1 1.18:1 1.30:1 Net Change: 4.95% 3.63% 4.79% 4.81% 4.30% 5.15%
Statistics By Variable: Match Price <5 <10 <15 <20 <25 <30 <35 <40 <45 <50 Completed 54:19 36:20 24:22 18:9 10:5 12:3 5:5 2:3 4:1 1:3 2 day chg 39:36 24:30 22:23 16:10 10:5 9:6 7:3 1:4 4:1 2:2 5 day chg 47:26 29:27 25:21 18:8 10:5 11:3 4:6 2:3 3:2 1:3 10 day chg 48:27 34:23 27:19 16:11 8:7 10:5 6:4 3:2 2:3 3:1 25 day chg 41:33 30:27 24:22 15:12 6:9 9:5 6:4 2:3 3:2 3:1 40 day chg 40:32 29:26 22:23 17:10 6:6 11:2 7:3 2:3 3:2 3:1
Statistics By Variable: Average Volume <4.0M <8.0M <12.0M <16.0M <20.0M <24.0M <28.0M <32.0M <36.0M <40.0M Completed 165:87 1:1 - 0:1 - - - 0:1 - - 2 day chg 133:117 0:2 - 1:0 - - - 0:1 - - 5 day chg 147:103 1:1 - 1:0 - - - 1:0 - - 10 day chg 156:99 1:1 - 0:1 - - - 0:1 - - 25 day chg 138:115 1:1 - 0:1 - - - 0:1 - - 40 day chg 139:105 1:1 - 0:1 - - - 0:1 - -
Statistics By Variable: EMA(10) <10 <20 <30 <40 <50 <60 <70 <80 <90 <100 Completed 88:35 40:35 22:7 10:9 6:1 0:3 - - - - 2 day chg 62:61 35:38 19:10 12:7 5:2 1:2 - - - - 5 day chg 75:48 40:34 21:7 9:10 5:2 0:3 - - - - 10 day chg 79:47 42:33 19:10 11:8 4:3 2:1 - - - - 25 day chg 67:58 41:34 13:15 11:8 5:2 2:1 - - - - 40 day chg 65:56 40:34 15:9 13:6 5:2 2:1 - - - -
General Discussion · Backtesting Contest / how high can you go ?
__fetcheruser123msg #48539
12/10/2006 10:26:20 PM Here's one that's about $1.5m. I've got a couple short filters that I think could do better but SF doesn't calculate the graphs properly for short systems.Approach Information Approach Name: tester Test started on 12/06/2004 ended on 12/06/2006 , covering 505 days Filter used: Smallcap-Long; 80% WR; 6.13 RR (saved filter )
Trade Statistics There were 88 total stocks entered. Of those, 86 or 97.73% were complete and 2 or 2.27% were open. Of the 86 completed trades, 64 trades or 74.42% resulted in a net gain. Your average net change for completed trades was: 6.86% . The average draw down of your approach was: -9.26% . The average max profit of your approach was: 13.55% The Reward/Risk ratio for this approach is: 4.56 Annualized Return on Investment (ROI): 262.49% , the ROI of ^SPX was: 9.10% .
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 ( days) 0 times or 0.00% of the time. An exit trigger was executed 86 times or 100.00% of the time.
Statistics By Holding Period Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Winners: 64 60 56 50 43 42 Losers: 21 26 28 34 39 36 Win/Loss Ratio: 3.05:1 2.31:1 2.00:1 1.47:1 1.10:1 1.17:1 Net Change: 6.86% 3.76% 4.66% 7.97% 11.66% 9.05%
Statistics By Variable: Match Price <0.4 <0.8 <1.2 <1.6 <2 <2.4 <2.8 <3.2 <3.6 <4 Completed 10:5 8:3 7:3 8:0 5:1 7:2 6:1 5:2 4:2 4:2 2 day chg 11:3 6:5 9:1 6:2 6:1 6:3 4:3 3:4 4:2 5:2 5 day chg 10:5 8:2 8:2 5:3 5:2 5:4 5:1 3:4 3:3 4:2 10 day chg 9:5 5:6 6:4 7:1 6:1 6:3 4:2 3:4 3:3 1:5 25 day chg 9:6 3:8 6:4 7:1 5:1 2:6 3:2 1:6 4:2 3:3 40 day chg 6:8 3:8 5:4 7:1 4:2 2:6 5:0 2:4 4:1 4:2
Statistics By Variable: Average Volume <2.5M <5.0M <7.5M <10.0M <12.5M <15.0M <17.5M <20.0M <22.5M <25.0M Completed 49:18 12:2 2:0 0:1 - - - - 1:0 - 2 day chg 45:21 11:5 2:0 1:0 - - - - 1:0 - 5 day chg 44:23 9:4 2:0 0:1 - - - - 1:0 - 10 day chg 43:23 5:9 1:1 0:1 - - - - 1:0 - 25 day chg 32:32 8:6 2:0 1:0 - - - - 0:1 - 40 day chg 32:30 6:6 2:0 1:0 - - - - 1:0 -
Statistics By Variable: EMA(10) <0.5 <1 <1.5 <2 <2.5 <3 <3.5 <4 <4.5 <5 Completed 11:6 8:3 10:2 5:0 7:3 7:1 8:0 4:5 4:1 - 2 day chg 12:4 7:4 9:3 6:0 8:2 5:3 4:4 4:6 5:0 - 5 day chg 11:6 9:1 8:4 5:1 6:4 5:2 5:3 3:6 4:1 - 10 day chg 10:6 5:6 8:4 6:0 7:3 6:2 4:3 3:6 1:4 - 25 day chg 9:8 3:8 10:2 5:1 4:4 2:5 3:4 4:5 3:2 - 40 day chg 6:10 3:8 9:2 4:2 4:4 3:4 5:1 4:4 4:1 -
General Discussion · SNDA
__fetcheruser123msg #48234
11/29/2006 6:02:37 PM ... showed up on a short filter of mine that shows good results. You might consider it for a short tomorrow.
General Discussion · Why do 95% of traders lose?
__fetcheruser123msg #48233
11/29/2006 6:00:42 PM What's the point in having a group if it's not to trade ideas and learn from each other? Everybody wants things easier, it's human nature. That's why there are groups to trade ideas, so individuals don't have to think of everything themselves.
General Discussion · Backtest challenge
__fetcheruser123msg #48063
11/20/2006 12:16:40 AM traderblues,
good work on your screens, very impressive. i'm curios, what type of risk management do you employ? stops, etc?
-chris
Filter Exchange · rsi(2) breakout, 75% WR, Reward/Risk 10/1
__fetcheruser123msg #47704
10/28/2006 12:25:38 AM rharmelink, you are correct.