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General Discussion · Not Working
traderblues
msg #48096
11/21/2006 11:35:08 AM

The pe ratio is causing the problem. I have learned not to trust the pe ratios that Stockfetcher uses. They are often very old or innaccurate.


Backtesting Support · Setting "share" quantities for buying
traderblues
msg #48085
11/20/2006 7:24:40 PM

You set the average position size by changing the "maximum open positions" on the Advanced page. This setting defaults to 250, so it will assume each position size is $100,000 / 250 = $400. So if you are only buying $400 worth of shares, many times this will be a very small number of shares. If you change this setting from 250 to 25, then the average position size will be $100,000 / 25 = $4,000.

Then, if you want at least 100 shares, then the stock price must be less than $40. You add this line to your filter.


General Discussion · Backtest challenge
traderblues
msg #48069
11/20/2006 8:29:56 AM

none. no stops, per se. I just look for good exit points.


Filter Exchange · Is it possible to create an ascending triangle scan?
traderblues
msg #48025
11/17/2006 10:26:55 PM

Well, yes, stockfetcher has a triangle patterm, but it's not 100% relaiable, so you have to pick through the results. For example:

Fetcher[pattern is ascending triangle(60)
and high is above upper ascending triangle(60)
]




Filter Exchange · How do I Screen based on % change?
traderblues
msg #48015
11/17/2006 2:18:04 PM

e.g.
Fetcher[day change is above 10 percent]




General Discussion · Backtest challenge
traderblues
msg #47997
11/16/2006 9:06:04 AM

That's not my website, but those are my trades. It has been working very well. When I first learned about RSI(2) I was a non-believer. Obviously, not anymore!


General Discussion · Backtest challenge
traderblues
msg #47992
11/15/2006 9:45:45 PM

OK, if nobody else wants to play, I guess I'll play with myself. If your skeptical, go here:

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

It's all about RSI(2). Thanks Muddy and TRO. I couldn't have done it without all of your previous work.

Approach Information
Approach Name: RSI(2) Opportunity 10-1-04 to 10-1-06
Test started on 10/01/2004 ended on 09/29/2006, covering 503 days
Filter used:
RSI(2) Opportunity Entry (saved filter)

Trade Statistics
There were 176 total stocks entered. Of those, 174 or 98.86% were complete and 2 or 1.14% were open.
Of the 174 completed trades, 109 trades or 62.64%resulted in a net gain.
Your average net change for completed trades was: 6.75%.
The average draw down of your approach was: -10.29%.
The average max profit of your approach was: 14.64%
The Reward/Risk ratio for this approach is: 2.76
Annualized Return on Investment (ROI): 273.80%, the ROI of ^IXIC was: 8.97%.

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 (10 days) 55 times or 31.61% of the time.
An exit trigger was executed 119 times or 68.39% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:1099195938372
Losers:6178757993100
Win/Loss Ratio:1.79:11.17:11.27:11.18:10.89:10.72:1
Net Change:6.75%3.44%3.03%3.61%3.38%4.18%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed82:4518:95:60:12:01:0--1:0-
2 day chg71:5413:154:60:11:21:0--1:0-
5 day chg73:5215:135:60:11:21:0--0:1-
10 day chg71:5715:124:70:12:11:0--0:1-
25 day chg65:6613:154:70:11:20:1--0:1-
40 day chg55:7312:154:70:11:20:1--0:1-

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
Completed104:604:1-----1:0--
2 day chg88:752:3-----1:0--
5 day chg90:734:2-----1:0--
10 day chg88:775:1-----0:1--
25 day chg79:903:3-----1:0--
40 day chg69:972:3-----1:0--



General Discussion · Average Volume not working
traderblues
msg #47981
11/15/2006 12:57:42 PM

Don't put the comma in 999999


Filter Exchange · High Tight Flag search (or MOMO search)
traderblues
msg #47952
11/13/2006 5:32:11 PM

Fetcher[set{hi10,high 10 day high}
set{lo10,low 10 day low}
set{flag10,hi10/lo10}
flag10 is below 1.1
set{lo60,low 60 day low}
set{rise60,hi10/lo60}
rise60 is above 1.8
average volume(3) is below average volume(10)
average volume(10) is above 50000
lo60 is above 1
]




General Discussion · Backtesting in a selective market condition.
traderblues
msg #47887
modified
11/9/2006 10:36:43 AM

Lighten up. I think he was trying to teach him how to fish, rather than just giving him a fish.



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