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Filter Exchange · Winning Streak!
traderblues
msg #46532
8/22/2006 10:25:24 AM

Woodstock,

Yeah, I've been doing some research the last couple of days on S1, and I think you're right. But what about the profit stop bug? I didn't realize that.

Anyway, I re-ran my backtest. I used 'open' for an entry price, and I took out the 15% profit stop. I'm now using RSI(2) as an exit filter. It does reduce things a bit. (In reality I will still use the 15% profit target, but will also use the RSI(2) exit filter.





Approach Information
Approach Name: RSI(2) entry & exit 7-31-04 to 7-31-06
Test started on 07/30/2004 ended on 07/31/2006, covering 504 days
Filter used:
RSI(2) 5-a-day 20 day hold (saved filter)

Trade Statistics
There were 299 total stocks entered. Of those, 289 or 96.66% were complete and 10 or 3.34% were open.
Of the 289 completed trades, 197 trades or 68.17%resulted in a net gain.
Your average net change for completed trades was: 5.55%.
The average draw down of your approach was: -13.80%.
The average max profit of your approach was: 15.76%
The Reward/Risk ratio for this approach is: 2.21
Annualized Return on Investment (ROI): 105.94%, the ROI of ^SPX was: 7.85%.

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 (100 days) 0 times or 0.00% of the time.
An exit trigger was executed 289 times or 100.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg5 day chg10 day chg20 day chg
Winners:197163162162152144
Losers:89118126130141147
Win/Loss Ratio:2.21:11.38:11.29:11.25:11.08:10.98:1
Net Change:5.55%1.54%1.90%2.13%2.24%2.34%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed178:7314:123:21:10:11:0----
1 day chg144:10014:133:31:11:00:1----
2 day chg144:10714:132:41:11:00:1----
5 day chg146:10812:162:41:10:11:0----
10 day chg138:11710:182:41:10:11:0----
20 day chg128:12512:163:31:10:10:1----

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
Completed191:864:21:1------1:0
1 day chg161:1121:41:1------0:1
2 day chg157:1212:52:0------1:0
5 day chg155:1275:21:1------1:0
10 day chg146:1375:20:2------1:0
20 day chg138:1435:20:2------1:0



Filter Exchange · Winning Streak!
traderblues
msg #46530
8/22/2006 7:47:59 AM

I need to keep the filter to myself for now. But it's pretty simple:

1. RSI(2) is very low (oversold)
2. close is above open (set-up for a bounce)
3. The stocks daily volatility is very high (better chance of getting 15%+ profit)

Sell at 15% profit or better
No stop loss. I have had two stocks recently that were down 30%+ and came back for a good profit.
Sell after 20 trading days if you haven't sold for a profit.

Paper trade it for awhile, so you can get comfortable with it.


Filter Exchange · Winning Streak!
traderblues
msg #46518
8/21/2006 4:47:39 PM

And for those who say the backtests here are crap, here's the backtest for that filter. Compare these stats with the closed trades link (above), and you'll see they're very similar. True, 19 actual trades aren't enough to be statistically significant, but it's enough to take notice.

 
Approach Information
Approach Name: RSI(2) 15% 20 day hold 7-31-04 to 7-31-06
Test started on 07/30/2004 ended on 07/31/2006, covering 504 days
Filter used:
RSI(2) 5-a-day 20 day hold (saved filter)

Trade Statistics
There were 240 total stocks entered. Of those, 231 or 96.25% were complete and 9 or 3.75% were open.
Of the 231 completed trades, 184 trades or 79.65%resulted in a net gain.
Your average net change for completed trades was: 9.32%.
The average draw down of your approach was: -8.29%.
The average max profit of your approach was: 17.41%
The Reward/Risk ratio for this approach is: 5.85
Annualized Return on Investment (ROI): 270.31%, the ROI of ^SPX was: 7.85%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 77 times or 33.33% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (100 days) 0 times or 0.00% of the time.
An exit trigger was executed 154 times or 66.67% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg5 day chg10 day chg20 day chg
Winners:184240196168160140
Losers:47040698093
Win/Loss Ratio:3.92:10.00:14.90:12.44:12.00:11.50:1
Net Change:9.32%5.95%6.84%7.50%7.63%6.93%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed136:2930:98:38:31:00:11:00:10:1-
1 day chg170:040:013:011:01:02:01:01:01:0-
2 day chg141:2532:89:410:11:01:11:00:11:0-
5 day chg124:4328:126:78:31:00:21:00:10:1-
10 day chg116:5429:116:77:41:00:21:00:10:1-
20 day chg107:5820:206:65:61:00:11:00:10:1-

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
Completed171:417:44:02:00:1---0:1-
1 day chg218:013:05:02:01:0---1:0-
2 day chg177:3811:24:02:01:0---1:0-
5 day chg151:649:45:01:11:0---1:0-
10 day chg144:748:55:02:00:1---1:0-
20 day chg127:867:43:22:00:1---1:0-



General Discussion · Historical intraday prices
traderblues
msg #46517
8/21/2006 4:15:03 PM

glider,

Businessweek.com also has a very good stock screener, if you want to mix in a few fundamentals. For position trades I like to get a list of 100 fundamentally sound companies, put them in a watchlist here, and time my entries and exits using technical filters.


Filter Exchange · Winning Streak!
traderblues
msg #46516
8/21/2006 4:03:44 PM

For those who say it can't be done:

http://www.stocktickr.com/BTStrader/closed/

I don't use the exact filter that is shown in the thread, but it's very similar, using RSI(2).


Backtesting Support · THE BACKTESTS HERE ARE CRAP!
traderblues
msg #46472
8/18/2006 3:00:51 PM

It's funny how one person can use a tool to make big piles of money, while another person, using the same tool, fails miserably and blames it on the tool.


Filter Exchange · help needed
traderblues
msg #46427
8/16/2006 12:46:22 PM

I am reading between the lines of michlala's question, and I think there may be some confusion. Stockfetcher only uses end of day data, so if you wanted to trade today, and use stocks where today's open is at least 5% below yesterday's close, you can't do it here. You would have to wait until 5:00 p.m. est today to get today's gap-downs, and trade them tomorrow morning.


Filter Exchange · Winning Streak!
traderblues
msg #46368
8/14/2006 2:23:31 PM

Woodstock, you're wrong. Try this. Run a backtest with a fairly restrictive filter, using 'open' as your entry price. Limit your buys to no more than 5 per day. Don't limit the maximum number of stocks in your portfolio. Looking at the results, write down the number of total trades made. Then go back and run the same filter, using 'S1' as your entry price, and don't forget to check the 'conditional' box. Note that far fewer trades were made. This is because many times the filtered stock never hits the S1 price. There is always an S1 each and every day, so if it were using tomorrow's price, it would always hit the S1. The fact that the trades are far fewer suggests that this is not the case.


General Discussion · Help please
traderblues
msg #46328
8/12/2006 8:45:40 AM

You could filter it down farther to get the strongest stocks:

Fetcher[set{hilo, high - low}
where close is between 0.1 and 10
where volume is above average volume(90)
and volume is above 50000
where hilo reached a new 20 day high
where relative strength(^IXIC,200) reached a new 50 day high
where close is above open
]




General Discussion · Help please
traderblues
msg #46327
8/12/2006 8:38:08 AM

Good Idea!

Fetcher[set{hilo, high - low}
where close is between 0.1 and 10
where volume is above average volume(90)
where hilo reached a new 20 day high
where close is above open
]




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