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Filter Exchange · BEST SHORTING FILTER
trek
msg #36259
6/8/2005 10:51:53 PM

Mary

Here is a short filter using rsi and adx. It doesn't give a lot of trades, but the ones it does works out pretty well. It gives really good backtest numbers for all years.

Approach Information
Approach Name: ADX/RSI Short
Test started on 12/31/2004 ended on 06/06/2005, covering 107 days
Filter used:
ADX(7)IS ABOVE 70 AND ADX(7) HAS BEEN DECREASING FOR THE LAST 1 DAY AND ADX(7) HAS BEEN INCREASING LAG 2 DAYS AND PRICE IS GREATER THAN 2 AND AVERAGE VOLUME IS GREATER THAN 25000 AND +DI(7) HAS BEEN ABOVE -DI(7) FOR THE LAST 5 DAYS and rsi(2) is above 98

Trade Statistics
There were 10 total stocks entered. Of those, 10 or 100.00% were complete and or 0.00% were open.
Of the 10 completed trades, 7 trades or 70.00%resulted in a net gain.
Your average net change for completed trades was: 4.14%.
The average draw down of your approach was: -2.63%.
The average max profit of your approach was: 9.59%
The Risk/Reward ratio for this approach is: 3.05
Annualized Return on Investment (ROI): 511.66%, the ROI of ^SPX was: -3.05%.

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 (2 days) 10 times or 100.00% 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:733344
Losers:377655
Win/Loss Ratio:2.33:10.43:10.43:10.50:10.80:10.80:1
Net Change:4.14%-4.40%-3.14%-4.16%-3.57%-11.85%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed4:21:1--1:01:0----
2 day chg2:41:1--0:10:1----
5 day chg2:41:1--0:10:1----
10 day chg3:20:2--0:10:1----
25 day chg3:21:1--0:10:1----
40 day chg3:21:1--0:10:1----

Statistics By Variable: Average Volume
 <150000<300000<450000<600000<750000<900000<1.1M<1.2M<1.4M<1.5M
Completed2:23:1--1:0--1:0--
2 day chg2:21:3--0:1--0:1--
5 day chg2:21:3--0:1--0:1--
10 day chg1:22:2--0:1--0:1--
25 day chg2:12:2--0:1--0:1--
40 day chg2:12:2--0:1--0:1--



Filter Exchange · CLICKABLE FILTERS
trek
msg #35838
5/1/2005 11:31:43 PM

I didn't come up with this filter, it came from someone on stockfetcher about a year ago. It is run with 25% stop loss and 4 day hold.

It gives a low win/loss percentage, but every timeframe I've run has a good ROI%. For the ROI% to be this much with such a low win%, I thought if someone can find a way to "tweak" it to get a better win/loss %, the ROI% may increase drastically.

Trek

Approach Information
Approach Name: stocks ready to grow
Test started on 12/31/2004 ended on 04/29/2005, covering 82 days
Filter used:
low reached a new 1 year low within the last 6 month and low is below 1 and trix histogram(6,6) has been increasing over the last 1 day and close divided by 1-year low is below 2 and close divided by 1-year low had been above 1.1 for the last 12 weeks AND VOLUME IS GREATER THAN 25000

Trade Statistics
There were 242 total stocks entered. Of those, 237 or 97.93% were complete and 5 or 2.07% were open.
Of the 237 completed trades, 71 trades or 29.96%resulted in a net gain.
Your average net change for completed trades was: 2.67%.
The average draw down of your approach was: -9.25%.
The average max profit of your approach was: 13.93%
The Risk/Reward ratio for this approach is: 1.50
Annualized Return on Investment (ROI): 165.88%, the ROI of ^SPX was: -14.07%.

Exit Statistics
Stop Loss was triggered 10 times or 4.22% 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 (4 days) 227 times or 95.78% 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:717568737159
Losers:149128145137132118
Win/Loss Ratio:0.48:10.59:10.47:10.53:10.54:10.50:1
Net Change:2.67%1.90%3.09%9.43%13.07%11.34%

Statistics By Variable: Match Price
 <0.1<0.2<0.3<0.4<0.5<0.6<0.7<0.8<0.9<1
Completed7:115:95:85:55:129:2510:234:84:1617:32
2 day chg7:97:76:33:53:1411:1912:184:85:1717:28
5 day chg7:75:96:53:54:138:258:255:75:1717:32
10 day chg10:77:56:83:64:117:218:262:104:1722:26
25 day chg8:116:95:92:64:1311:196:242:97:1220:20
40 day chg6:146:105:82:84:1311:144:182:37:812:22

Statistics By Variable: Average Volume
 <1.5M<3.0M<4.5M<6.0M<7.5M<9.0M<10.5M<12.0M<13.5M<15.0M
Completed61:1427:41:3---1:0-1:0-
2 day chg68:1205:51:2---0:1-1:0-
5 day chg62:1375:40:3---0:1-1:0-
10 day chg65:1296:40:4---1:0-1:0-
25 day chg65:1204:70:5---1:0-1:0-
40 day chg56:1051:80:5---1:0-1:0-



General Discussion · Looks like there is nobody to accept this challenge
trek
msg #35835
5/1/2005 7:17:46 PM

At last request, SF still did not have fundamental capabilities. I still don't think they have this ability.


Backtesting Support · Difference in Holding Period
trek
msg #35827
5/1/2005 11:30:46 AM

The only difference in these two backtest is the holding period. Same time frame, same test. However, the number of trades on a 4 day hold = 338, while the number of trades on a 3 day hold = 424.

The number of trade shouldn't be based on the holding period, since the buy conditions were the same. Is this a glitch or am I missing something?

Sorry, I could only figure out how to post one preview, so I had to copy/paste the 4 day holding period.

By the way, this is not the only filter this happens on. I've tried other filter backtest and get the same problem.

Here is the filter and results:

show stocks whose Average Volume(15) is more than 150 percent above Average Volume(60) and volume is greater than 100000 and price is greater than 1 and stock is OPTIONABLE and add column industry description and stock is not otcbb and draw darvas box

Approach Information
Approach Name: Vol. Increase - 4 day hold
Test started on 01/02/2003 ended on 12/31/2003, covering 251 days
Filter used:
AvgVol(15) more than 150% above AvgVol(60)- Optionable stocks only (saved filter)

Trade Statistics
There were 338 total stocks entered. Of those, 337 or 99.70% were complete and 1 or 0.30% were open.
Of the 337 completed trades, 180 trades or 53.41%resulted in a net gain.
Your average net change for completed trades was: 1.70%.
The average draw down of your approach was: -5.56%.
The average max profit of your approach was: 7.69%
The Risk/Reward ratio for this approach is: 1.71
Annualized Return on Investment (ROI): 105.84%, the ROI of ^SPX was: 25.96%.

Exit Statistics
Stop Loss was triggered 5 times or 1.48% 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 (4 days) 332 times or 98.52% of the time.
An exit trigger was executed 0 times or 0.00% of the time.



Approach Information
Approach Name: Vol. Increase - 3 day hold
Test started on 01/02/2003 ended on 12/31/2003, covering 251 days
Filter used:
AvgVol(15) more than 150% above AvgVol(60)- Optionable stocks only (saved filter)

Trade Statistics
There were 424 total stocks entered. Of those, 423 or 99.76% were complete and 1 or 0.24% were open.
Of the 423 completed trades, 223 trades or 52.72%resulted in a net gain.
Your average net change for completed trades was: 1.23%.
The average draw down of your approach was: -4.97%.
The average max profit of your approach was: 6.34%
The Risk/Reward ratio for this approach is: 1.53
Annualized Return on Investment (ROI): 102.04%, the ROI of ^SPX was: 25.96%.

Exit Statistics
Stop Loss was triggered 4 times or 0.95% 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 (3 days) 419 times or 99.05% 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:223213238247277291
Losers:191202180173144133
Win/Loss Ratio:1.17:11.05:11.32:11.43:11.92:12.19:1
Net Change:1.23%0.15%1.65%3.39%9.12%13.95%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed107:9952:4631:2319:16-6:55:2--3:0
2 day chg102:10346:5236:2021:13-4:83:4--1:2
5 day chg114:9454:4535:1920:15-7:55:2--3:0
10 day chg120:8956:4239:1718:17-6:66:1--2:1
25 day chg143:6658:4238:1727:8-6:64:3--1:2
40 day chg144:6764:3639:1724:11-10:27:0--3:0

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
Completed205:17611:93:31:1----3:2-
2 day chg193:18813:73:41:1----3:2-
5 day chg217:16713:73:41:1----4:1-
10 day chg227:15912:84:30:2----4:1-
25 day chg260:12710:102:50:2----5:0-
40 day chg276:11413:71:60:2----1:4-



Backtesting Support · backtest waiting
trek
msg #35703
4/22/2005 12:07:22 PM

tomb,
when I hit the start test button, the filter comes up and says "waiting". It never shows the returns. How long does it take or is there something I'm doing wrong.

thanks,

Trek


Announcements · New Pattern: Cup and Handle
trek
msg #32399
6/22/2004 9:24:07 AM

how would the weekly version of cup and handle be written, I tried
Fetcher[show stocks whose weekly pattern is cup and handle]

and
Fetcher[show stocks whose pattern is weekly cup and handle]

. Both return the same as the daily filter

Thanks,

Star


General Discussion · Short interest - Baffled ???
trek
msg #31125
2/18/2004 9:27:26 AM

xplorer,

I just recently began to consider this, while watching TASR. TASR has over 50% short for the last few months. The price exploded up, when the shorts had to cover. It seems the only info I find on different websites is a month behind, so it may be that the number of shorts only comes out as monthly data.

Do you have a website with up to date data?

Also look at CALM, it has over 60% short.

This is something SF should add, if possible.

trek


General Discussion · Weekly charts
trek
msg #29683
11/6/2003 9:03:55 AM

Just curious as to progress and expected date for weekly charts.

thanks


General Discussion · My Box Theory Site
trek
msg #28117
8/27/2003 10:29:01 PM

Dick,

Last message should Read "at LEAST double the 52 week high"


General Discussion · My Box Theory Site
trek
msg #28116
8/27/2003 10:07:06 PM

Dick,

Also remember that Darvas said "he wanted the stock trading at the 52 week high, to be near the all time high, but ALSO TO BE DOUBLE THE 52 WEEK LOW." If you are using 26 week high, may should use double 26 week low. This will cut down on the number of returns, also.

trek


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