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Filter Exchange · FADING THE GAP STATISTICS FILTER
traderblues
msg #45520
7/7/2006 12:05:17 PM

I've also heard good things about MB Trading. They also offer FOREX.


Filter Exchange · Winning Streak!
traderblues
msg #45514
modified
7/7/2006 8:04:14 AM

Oh. OK.

Yesterday 3 stocks came up in the filter, but none of them dropped down to the trigger price, so no trades were made.


Filter Exchange · Winning Streak!
traderblues
msg #45474
7/5/2006 4:08:08 PM

TODAY'S CLOSED PAPER TRADE:

DOVP
Open 1.97
Closed 2.20
11.7% Gain

This was only 1 trade, but hmmmmm.....


Filter Exchange · Winning Streak!
traderblues
msg #45468
7/5/2006 10:58:25 AM

scholes,

I am reluctant to give this information out unless heyen agrees to it. He's the one who started this thread. heyen...what about it?

However, keep in mind that I have tried this entry limit in the past on another filter, and did not get nearly the results that the backtester gave. So right now I view this as unrealistic and worthy of only testing. You're right, though. It is interesting.


Filter Exchange · Winning Streak!
traderblues
msg #45464
7/5/2006 10:25:20 AM

TODAY'S PAPER TRADE USING THIS FILTER:

Today's stock would be DOVP. The buy limit price is 1.97. At the open the stock dropped down to 1.91. It has bounced back up to 2.08 so far.


Filter Exchange · Winning Streak!
traderblues
msg #45445
7/3/2006 3:41:41 PM

Correction - RSI(2) 3-a-Day would not have bought ANDS today. I was looking at the wrong entry price. It would not have hit my entry price today, so I would have missed out on that one.


Filter Exchange · Winning Streak!
traderblues
msg #45444
7/3/2006 3:35:45 PM

And for those who like to play the short side of the field: (not as many trades this way. Dang.)



Approach Information
Approach Name: RSI(2) 3-a-Day Shorts
Test started on 12/31/2002 ended on 12/31/2004, covering 504 days
Filter used:
set{vvv,atr(20)/close}
close between 3 and 10
and average volume(20) above 250000
and vvv above .1
and market is nasdaq
and RSI(2) increasing 2 days


Trade Statistics
There were 591 total stocks entered. Of those, 588 or 99.49% were complete and 3 or 0.51% were open.
Of the 588 completed trades, 550 trades or 93.54%resulted in a net gain.
Your average net change for completed trades was: 5.22%.
The average draw down of your approach was: -1.65%.
The average max profit of your approach was: 7.69%
The Reward/Risk ratio for this approach is: 36.59
Annualized Return on Investment (ROI): 1630.85%, the ROI of ^SPX was: 18.53%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 123 times or 20.92% 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) 465 times or 79.08% 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
Winners:55072141181203216
Losers:35514447408386375
Win/Loss Ratio:15.71:10.14:10.32:10.44:10.53:10.58:1
Net Change:5.22%-5.89%-6.36%-5.78%-3.84%-2.75%

Statistics By Variable: Match Price
 <3<4<5<6<7<8<9<10<11<12
Completed40:1173:13108:972:460:449:428:020:0--
2 day chg6:3420:16817:9812:665:597:463:252:18--
5 day chg9:3241:14824:9218:5811:5317:3714:147:13--
10 day chg14:2758:13127:8824:5413:5120:3420:85:15--
25 day chg12:2968:11937:8024:5418:4616:3817:1111:9--
40 day chg15:2675:11436:8128:5022:4218:3613:159:11--

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
Completed530:3313:14:1-2:0--1:0--
2 day chg72:4920:140:5-0:2--0:1--
5 day chg137:4293:111:4-0:2--0:1--
10 day chg178:3893:110:5-0:2--0:1--
25 day chg197:3705:91:4-0:2--0:1--
40 day chg205:3648:63:2-0:2--0:1--



Filter Exchange · Winning Streak!
traderblues
msg #45442
7/3/2006 3:00:01 PM

heyen,

How 'bout this one? I allowed up to 3 trades per day, and used a 10% profit stop. Today it would have bought ANDS at $3.02, and it closed at $3.30.

BJS



Approach Information
Approach Name: RSI(2) 3-a-Day
Test started on 12/31/2002 ended on 12/31/2004, covering 504 days
Filter used:
set{vvv,atr(20)/close}
Open between 1 and 8
and average volume(20) above 500000
and vvv above .1
and market is nasdaq
and RSI(2) decreasing 2 days


Trade Statistics
There were 922 total stocks entered. Of those, 921 or 99.89% were complete and 1 or 0.11% were open.
Of the 921 completed trades, 883 trades or 95.87%resulted in a net gain.
Your average net change for completed trades was: 6.94%.
The average draw down of your approach was: -1.84%.
The average max profit of your approach was: 9.18%
The Reward/Risk ratio for this approach is: 103.57
Annualized Return on Investment (ROI): 2599.87%, the ROI of ^SPX was: 18.53%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 314 times or 34.09% 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) 607 times or 65.91% 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
Winners:883815676628580580
Losers:3297240285339339
Win/Loss Ratio:27.59:18.40:12.82:12.20:11.71:11.71:1
Net Change:6.94%7.27%8.85%10.67%14.14%19.07%

Statistics By Variable: Match Price
 <1<2<3<4<5<6<7<8<9<10
Completed12:0252:6225:8124:886:487:666:031:0--
2 day chg11:1243:15208:23116:1670:1881:1360:626:5--
5 day chg8:3203:53170:6597:3660:2966:2951:1521:10--
10 day chg7:5183:72161:7294:3853:3765:2946:2019:12--
25 day chg8:4171:87144:9188:4450:4058:3739:2622:10--
40 day chg8:4181:75132:10382:5147:4364:3147:1919:13--

Statistics By Variable: Average Volume
 <15.0M<30.0M<45.0M<60.0M<75.0M<90.0M<105.0M<120.0M<135.0M<150.0M
Completed860:3113:12:01:03:01:0-2:01:0-
2 day chg793:9512:22:01:03:01:0-2:01:0-
5 day chg656:23611:32:01:03:01:0-2:00:1-
10 day chg616:2747:71:11:01:21:0-1:00:1-
25 day chg569:3264:101:11:02:11:0-2:00:1-
40 day chg568:3287:72:01:01:21:0-0:10:1-



Filter Exchange · Winning Streak!
traderblues
msg #45395
modified
6/30/2006 2:21:20 PM

OK, never mind, I figured it out. Have you ever actually tried to trade using this conditional entry? I've paper traded some of my filters using the conditional entry, but my results were not even close to the backtested results.

If it were this easy, you are the keeper of the Grail.



Filter Exchange · Winning Streak!
traderblues
msg #45394
6/30/2006 2:03:31 PM

heyen,

So it looks like you only trade 1 stock per day. How are you sorting (i.e. what gets put at the top of the list)?


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