| General Discussion · * * * H O T T I P S * * *
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traderblues
msg #45976 |
7/19/2006 2:03:52 PM
USOO
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| General Discussion · **** USEFUL SITES *****
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traderblues
msg #49022 |
1/7/2007 12:47:02 PM
For research:
www.instantbull.com
I just discovered this one yesterday.
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| Filter Exchange · 1 month holding
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traderblues
msg #50704 |
3/28/2007 12:12:50 PM
This is just my opinion, but I don't think he should be trading right now. He has too many other things to think about. If he feels he has to trade to make money right now (to pay for medical bills?), that is a formula for disaster.
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| Filter Exchange · 5 day swing trades
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traderblues
msg #43767
modified |
5/16/2006 6:13:38 PM
hold for a maximum 5 days
sell at 15% profit
max 10 trades per day
sort by RSI(5) ascending
This backtests at an average gain of around 4%, with around a 65% success rate. Looking for improvements.
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| Filter Exchange · 5 day swing trades
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traderblues
msg #43783 |
5/16/2006 5:53:56 PM
Clam61,
I didn't use a stop loss value in my backtest. I also did a period 1-1-02 thru 1-1-04, and it came out very similar (a little better).
| Approach Information | | Approach Name: Opportunity Swings 1-1-04 to 1-1-06 | | Test started on 12/31/2003 ended on 12/30/2005, covering 504 days | | Filter used: | | Opportunity Swings 5 Day Hold - 15% Target (saved filter) |
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| Trade Statistics | | There were 418 total stocks entered. Of those, 414 or 99.04% were complete and 4 or 0.96% were open. | | Of the 414 completed trades, 267 trades or 64.49%resulted in a net gain. | | Your average net change for completed trades was: 4.01%. | | The average draw down of your approach was: -7.88%. | | The average max profit of your approach was: 11.10% | | The Reward/Risk ratio for this approach is: 2.38 | | Annualized Return on Investment (ROI): 243.57%, the ROI of ^SPX was: 6.12%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 126 times or 30.43% 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) 288 times or 69.57% 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: | 267 | 260 | 258 | 263 | 216 | 187 | | Losers: | 138 | 146 | 152 | 147 | 198 | 229 | | Win/Loss Ratio: | 1.94:1 | 1.78:1 | 1.70:1 | 1.79:1 | 1.09:1 | 0.82:1 | | Net Change: | 4.01% | 2.37% | 3.25% | 4.57% | 4.76% | 3.12% |
| Statistics By Variable: Match Price | | | <15 | <30 | <45 | <60 | <75 | <90 | <105 | <120 | <135 | <150 | | Completed | 219:116 | 39:19 | 5:2 | 2:1 | 1:0 | - | - | 1:0 | - | - | | 2 day chg | 214:119 | 38:23 | 5:2 | 2:1 | 1:0 | - | - | 0:1 | - | - | | 5 day chg | 211:127 | 37:23 | 5:2 | 3:0 | 1:0 | - | - | 1:0 | - | - | | 10 day chg | 210:127 | 42:19 | 6:1 | 3:0 | 1:0 | - | - | 1:0 | - | - | | 25 day chg | 175:167 | 33:27 | 4:3 | 2:1 | 1:0 | - | - | 1:0 | - | - | | 40 day chg | 148:195 | 32:29 | 4:3 | 2:1 | 1:0 | - | - | 0:1 | - | - |
| 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 | 262:137 | 3:1 | 1:0 | - | - | - | - | - | 1:0 | - | | 2 day chg | 254:146 | 4:0 | 1:0 | - | - | - | - | - | 1:0 | - | | 5 day chg | 253:152 | 3:0 | 1:0 | - | - | - | - | - | 1:0 | - | | 10 day chg | 261:143 | 1:3 | 0:1 | - | - | - | - | - | 1:0 | - | | 25 day chg | 214:194 | 1:3 | 0:1 | - | - | - | - | - | 1:0 | - | | 40 day chg | 186:224 | 0:4 | 0:1 | - | - | - | - | - | 1:0 | - |
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| Filter Exchange · 5 day swing trades
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traderblues
msg #43785 |
5/16/2006 6:02:17 PM
Lohmeyer1,
Thanks for the tip. Another method that I use is to wait 30 minutes after the open, then buy if/when the stock hits a new intraday high and is in the green.
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| Filter Exchange · 5 day swing trades
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traderblues
msg #43807 |
5/17/2006 7:14:41 AM
Clam61,
My goal is always to come up with a completely mechanical system, so I don't have to pick through the results. That way you take out all personal bias. So in theory, this filter says you should make roughly 4% per pick if you trade all of the results.
I tried to add a line 'and close is above open', in order to pick only stocks that have halted their downtrend. But this severely cut down the number of trades, so I left it out. If you sift through the daily results and find a hammer candlestick on the latest day, then I would think that this would be a very good pick.
I'm going to keep wotking on it to see if I can find any improvements. If anyone comes up with something to add, please pass it along.
BJS
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| Filter Exchange · 5 day swing trades
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traderblues
msg #44109 |
5/23/2006 7:42:57 PM
lohmeyer,
Nothing really innovative. Opportunity is simply the weekly ATR divided by the stock price. So it represents stocks that move a lot in relation to their price. You don't want to buy a $60 stock that only moves $1 up and down per week. That would give you very little opportunity if you are a swing trader.
But your question got me thinking about the opportunity ratio. I had it set at greater than 0.15. Then I got to thinking - how about stocks where opportunity was at a medium term high? So I changed that to "opportunity reached a new 10 week high". I also changed the max holding period to 10 days, and the profit stop to 20%. Still no stop loss. Here is the new 2 year backtest result:
set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity reached a new 10 week high
and rsi(5) is below 25
and price is above 0.5
and dailytot is above 150000
and high has been above MA(100) for the last 40 days
and price is above MA(50)
Profit Stop 20%
NO stop Loss
Maximum holding period 10 days
sort by opportunity ascending (lower is better)
| Approach Information | | Approach Name: new opportunity 1-1-02 to 1-1-04 | | Test started on 12/31/2001 ended on 12/31/2003, covering 504 days | | Filter used: | set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity reached a new 10 week high
and rsi(5) is below 25
and price is above 0.5
and dailytot is above 150000
and high has been above MA(100) for the last 40 days
and price is above MA(50)
and add column rsi(5)
and sort by column 8 ascending |
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| Trade Statistics | | There were 424 total stocks entered. Of those, 418 or 98.58% were complete and 6 or 1.42% were open. | | Of the 418 completed trades, 298 trades or 71.29%resulted in a net gain. | | Your average net change for completed trades was: 6.20%. | | The average draw down of your approach was: -6.73%. | | The average max profit of your approach was: 12.72% | | The Reward/Risk ratio for this approach is: 4.16 | | Annualized Return on Investment (ROI): 183.22%, the ROI of ^SPX was: -2.07%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 96 times or 22.97% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (10 days) 282 times or 67.46% of the time. | | An exit trigger was executed 40 times or 9.57% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 298 | 283 | 300 | 296 | 306 | 293 | | Losers: | 120 | 137 | 122 | 123 | 118 | 130 | | Win/Loss Ratio: | 2.48:1 | 2.07:1 | 2.46:1 | 2.41:1 | 2.59:1 | 2.25:1 | | Net Change: | 6.20% | 2.92% | 4.99% | 6.75% | 11.20% | 13.53% |
| Statistics By Variable: Match Price | | | <50 | <100 | <150 | <200 | <250 | <300 | <350 | <400 | <450 | <500 | | Completed | 290:116 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 0:1 | | 2 day chg | 274:134 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 5 day chg | 293:117 | 5:4 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 10 day chg | 288:119 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 0:1 | | 25 day chg | 298:114 | 6:3 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 40 day chg | 283:128 | 8:1 | 0:1 | 1:0 | - | - | - | - | - | 1:0 |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 278:114 | 9:4 | 4:0 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 2 day chg | 267:126 | 6:8 | 3:1 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 5 day chg | 282:113 | 8:6 | 4:0 | 3:0 | - | 1:1 | 1:1 | 1:0 | - | 0:1 | | 10 day chg | 276:116 | 9:5 | 4:0 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 25 day chg | 290:107 | 8:6 | 4:0 | 2:1 | - | 1:1 | 0:2 | 1:0 | - | 0:1 | | 40 day chg | 277:119 | 7:7 | 3:1 | 3:0 | - | 2:0 | 0:2 | 1:0 | - | 0:1 |
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| Filter Exchange · 5 day swing trades
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traderblues
msg #44110 |
5/23/2006 7:47:39 PM
I left out 1 thing....there is an exit trigger of "RSI(5) is above 75". I might try taking that out, and seeing what kind of effect it has. It didn't get triggered that often, anyway.
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| Filter Exchange · 5 day swing trades
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traderblues
msg #44129 |
5/24/2006 6:42:42 AM
lohmeyer,
I did another test with a 25 day max holding period, and a 25% profit stop. I left the RSI(5)>75 sell trigger in. Now we're getting somewhere...
BJS
| Approach Information | | Approach Name: new opportunity 1-1-02 to 1-1-04 | | Test started on 12/31/2001 ended on 12/31/2003, covering 504 days | | Filter used: | set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity reached a new 10 week high
and rsi(5) is below 25
and price is above 0.5
and dailytot is above 150000
and high has been above MA(100) for the last 40 days
and price is above MA(50)
and add column rsi(5)
and sort by column 8 ascending |
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| Trade Statistics | | There were 421 total stocks entered. Of those, 391 or 92.87% were complete and 30 or 7.13% were open. | | Of the 391 completed trades, 299 trades or 76.47%resulted in a net gain. | | Your average net change for completed trades was: 8.98%. | | The average draw down of your approach was: -8.54%. | | The average max profit of your approach was: 15.35% | | The Reward/Risk ratio for this approach is: 5.22 | | Annualized Return on Investment (ROI): 137.60%, the ROI of ^SPX was: -2.07%. |
| Exit Statistics | | Stop Loss was triggered 0 times or 0.00% of the time. | | Stop Profit was triggered 83 times or 21.23% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time (25 days) 127 times or 32.48% of the time. | | An exit trigger was executed 181 times or 46.29% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 299 | 281 | 299 | 295 | 303 | 291 | | Losers: | 90 | 136 | 120 | 121 | 118 | 129 | | Win/Loss Ratio: | 3.32:1 | 2.07:1 | 2.49:1 | 2.44:1 | 2.57:1 | 2.26:1 | | Net Change: | 8.98% | 3.11% | 5.32% | 7.22% | 11.93% | 14.43% |
| Statistics By Variable: Match Price | | | <50 | <100 | <150 | <200 | <250 | <300 | <350 | <400 | <450 | <500 | | Completed | 291:87 | 6:2 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 2 day chg | 272:133 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 5 day chg | 292:115 | 5:4 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 10 day chg | 287:117 | 7:2 | 0:1 | 1:0 | - | - | - | - | - | 0:1 | | 25 day chg | 295:114 | 6:3 | 0:1 | 1:0 | - | - | - | - | - | 1:0 | | 40 day chg | 281:127 | 8:1 | 0:1 | 1:0 | - | - | - | - | - | 1:0 |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 279:87 | 11:1 | 4:0 | 2:0 | - | 1:1 | 1:0 | 1:0 | - | 0:1 | | 2 day chg | 265:125 | 6:8 | 3:1 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 5 day chg | 281:111 | 8:6 | 4:0 | 3:0 | - | 1:1 | 1:1 | 1:0 | - | 0:1 | | 10 day chg | 275:114 | 9:5 | 4:0 | 3:0 | - | 2:0 | 1:1 | 1:0 | - | 0:1 | | 25 day chg | 287:107 | 8:6 | 4:0 | 2:1 | - | 1:1 | 0:2 | 1:0 | - | 0:1 | | 40 day chg | 275:118 | 7:7 | 3:1 | 3:0 | - | 2:0 | 0:2 | 1:0 | - | 0:1 |
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