StockFetcher Forums · General Discussion · 1,600% with only 42 trades<< 1 2 >>Post Follow-up
KSK8
561 posts
msg #146107
Ignore KSK8
1/16/2019 5:59:45 PM

Fetcher[

/* short open , cover close */

set{c1, open - low}
set{c2, c1/open }
set{c3, count(c2 > .01 , 100)}
set{d1, count(close > 0.1,1)}
set{d2, count(close < 10,1)}
set{d3, count(volume > 1000000,1)}
set{d4, count(rsi(2) > 90,1)}
set{d5, count(close is 10% below high,1)}
set{d6, count(c3 > 90,1)}
set{e1, d1*d2}
set{e2, e1*d3}
set{e3, e2*d4}
set{e4, e3*d5}
set{e5, e4*d6}

e5 > 0

market is not OTCBB
market is not ETF

]



Disclaimer: THIS IS ONLY BASED UPON PRICE.

If it was all based upon PRICE and PRICE ONLY while excluding commissions, liquidity and crap, then a $10,000 portfolio would turn into over $164,000 with 1 year of mechanically trading this by shorting the open and covering the close. I did not want to set a higher portfolio amount because I felt 10k is the most generic starting equity for backtesting.

Manual backtesting results using SF data;

January 2018-January 2019

$10,000

2018
Jan 30 ATOS 10% gain +1000 = 11,000
Feb 13 CTRV 8.65% gain +951 = 11,951
Feb 21 DCAR 12.03% gain +1,437 = 13,388
March 1 BPMX 3.57% gain +477 = 13,865
March 2 MNGA 15.27% gain +2,117 = 15,982
March 15 EARS 6.10% gain +974 = 16,956
April 3 SLS 5.65% loss -958 = 15,997
April 4 SLS 22.99% gain +3,667 = 19,674
April 11 MYSZ 2.22% gain +436 = 20,110
April 13 MARA 8.54% gain +1,717 = 21,827
April 16 MARA 7.24% gain +1,580 = 23,407
May 1 HTBX 27.91% loss -6,532 = 16,874
May 7 EARS 3.41% gain +575 = 17,449
May 8 EARS 2.56% gain +446 = 17,895
May 14 APRI 3.33% gain +595 = 18,490
May 21 ADOM 14.86% loss -2,747 = 15,742
May 22 ADOM 13.92% gain +2,191 = 17,933
May 24 HTBX 4.76% loss -853 = 17,079
May 29 NSPR 4% gain +683 = 17,762
June 1 CRIS 10% gain +1,776 = 19,538
June 11 DPW 4.48% gain +875 = 20,413
June 29 MNGA 33.33% gain +6,803 = 27,216
Aug 1 GSAT 14.06% gain +3,826 = 31,042
Sep 13 INPX 21.36% gain +6,630 = 37,672
Sep 26 INPX 2.17% loss -817 = 36,854
Oct 3 FLKS 2.53% gain +932 = 37,786
Oct 4 SINT 8.33% gain +3,147 = 40,933
Oct 5 TRPX 3.77% gain +1,543 = 42,476
Oct 8 AMMA 8.59% gain +3,648 = 46,124
Oct 22 FTFT 19.39% gain +8,943 = 55,067
Oct 26 UAVS 17.14% gain +9,438 = 64,505
Nov 1 TNXP 5.56% gain +3,586 = 68,091
Nov 12 ZIOP 10.77% gain +7,333 = 75,424
Nov 23 ABIL 12.28% gain +9,262 = 84,686
Nov 29 TNXP 3.33% gain +2,820 = 87,506
Nov 30 TNXP 21.95% gain +19,207 = 106,713
Dec 17 PTX 20.62% gain +22,004 = 128,717
Dec 21 INPX 14.17 gain +18,239 = 146,956
2019
Jan 2 BPMX 0.00% gain ------------
Jan 7 FLKS 16.00% gain +23,512 = 170,468
Jan 9 BPMX 5.11% gain +8,710 = 179,178
Jan 16 ABIL 8.29% loss -14,853 = 164,324

164k with only 42 trades. -assuming I made no errors.

Unfortunately this would not be possible live trading mechanically as a result of liquidity, fee's, availability of shares and other crap, but I think the prospect of this specific filter is worth sharing.

Maybe the statistical concept of it could be expanded upon.






scott111552
173 posts
msg #146108
Ignore scott111552
1/16/2019 6:49:46 PM

I personally thank you for your generous contributions to the StockFetcher community.
Do you have a long strategy that you could share?

Mactheriverrat
3,132 posts
msg #146109
Ignore Mactheriverrat
1/16/2019 6:57:12 PM

I will second Scotts statement!!!!

KSK8
561 posts
msg #146115
Ignore KSK8
1/16/2019 10:12:24 PM

I appreciate it thanks!

I do happen to have a few killer long systems but I'll prioritize a separate thread them.

nibor100
1,010 posts
msg #146118
Ignore nibor100
1/17/2019 3:10:46 PM

@ksk8,

1. I like the way you coded this filter, it made making a 1 day results filter and 1 year/252 trading days backtest filter much easier for me to create, since you already had the 'must be true' logic built in.

2. I found 46 trades for the most recent year vs. your 42, are you only taking one trade if more than one stock shows up on a given date in your manual backtest?

3. For the prior 3 years the number of trades seem to steadily decline, based on the SF data. 34 trades, 28 trades, and 13 trades.

Perhaps a lot those price type stocks underwent changes that exited them from the SF database; delisting, buyouts, mergers, name changes etc..

Ed S.



ron22
255 posts
msg #146129
Ignore ron22
1/17/2019 10:23:38 PM

KSK8, Looking forward to seeing your long systems.

KSK8
561 posts
msg #146156
Ignore KSK8
1/19/2019 1:53:12 PM

nibor100,

Yeah that's what I did, if I had more than 1 candidate show up on the filter I would chose whichever had the highest market cap (cheapest to borrow).

Along with the RSI criteria I was trying to achieve a statistical edge with this version. Any idea on how I can add a statistical component that gives me an overview of prior whipsaw and volatility? Currently I am satisfied with these types of systems but I love the prospect of improvement and that's an area I feel there is room for.



Village Elder
231 posts
msg #146166
Ignore Village Elder
1/20/2019 2:43:59 PM

Intriguing approach. I spent some time back testing this since I was understandably skeptical about your stated returns - too many other systems have made similarly eye-popping ROI claims only to fall apart under a rigorous back test.

Rather than compounding the results, in most trading system back testing it is often more valuable to look at trading systems where the trade amount is held constant. It is simply unrealistic to think that one could short $100,000 on a $0.10 stock with no challenge or impact on price.

Here I have held the trade amount at $10,000 per trade (and for the sake of argument your starting equity is $30,000 which allows for three trades per day maximum, or continued trading during drawdowns up to 66%).

To inject some level of reality, I set the slippage from bid/ask spreads at $0.01 and round trip commissions at $9.95. I'm ignoring the challenge of finding enough shares because I really want to see how this approach plays out.

Here is every trade pulled up by SF since 1/1/2017:

SIGNAL DATETICKERNEXT DAY OPENSLIPPAGEENTRY PRICESHARES PURCHASEDNEXT DAY CLOSESLIPPAGEEXIT PRICECOMM.GAIN/LOSS (%)GAIN/LOSS ($)TOTAL PROFIT ($)
01/03/17EVOK$3.10$0.01$3.093236.245955$2.85$0.01$2.86$9.957.05%$734.39$734.39
01/06/17PTX$3.45$0.01$3.442906.976744$3.36$0.01$3.37$9.951.08%$193.54$927.92
01/11/17AIPT$3.05$0.01$3.043289.473684$2.82$0.01$2.83$9.956.43%$680.84$1,608.76
02/16/17CVRS$0.64$0.01$0.6315873.01587$0.62$0.01$0.63$9.95-0.99%-$9.95$1,598.81
03/01/17AIPT$2.46$0.01$2.454081.632653$2.33$0.01$2.34$9.953.71%$439.03$2,037.84
03/03/17CVRS$1.29$0.01$1.287812.5$1.19$0.01$1.20$9.955.67%$615.05$2,652.89
03/14/17CVRS$1.55$0.01$1.546493.506494$1.39$0.01$1.40$9.959.01%$899.14$3,552.03
03/28/17RGSE$1.40$0.01$1.397194.244604$1.43$0.01$1.44$9.95-4.47%-$369.66$3,182.37
04/24/17RGSE$1.22$0.01$1.218264.46281$1.24$0.01$1.25$9.95-4.19%-$340.53$2,841.84
05/08/17MNKD$1.05$0.01$1.049615.384615$1.12$0.01$1.13$9.95-8.96%-$875.33$1,966.51
05/10/17MNKD$1.32$0.01$1.317633.587786$1.27$0.01$1.28$9.951.35%$219.06$2,185.57
05/15/17IDXG$2.50$0.01$2.494016.064257$2.43$0.01$2.44$9.951.05%$190.85$2,376.42
06/21/17MBRX$1.05$0.01$1.049615.384615$1.01$0.01$1.02$9.950.97%$182.36$2,558.78
06/23/17TOPS$7.60$0.01$7.591317.523057$6.80$0.01$6.81$9.9510.46%$1,017.72$3,576.50
06/27/17MBRX$1.86$0.01$1.855405.405405$3.28$0.01$3.29$9.95-44.76%-$7,793.73-$4,217.24
07/06/17RTTR$0.60$0.01$0.5916949.15254$0.57$0.01$0.58$9.950.73%$159.54-$4,057.70
07/14/17MOSY$1.51$0.01$1.506666.666667$1.30$0.01$1.31$9.9513.51%$1,256.72-$2,800.98
07/21/17TOPS$3.20$0.01$3.193134.796238$4.45$0.01$4.46$9.95-29.47%-$3,991.14-$6,792.12
07/24/17TOPS$4.10$0.01$4.092444.987775$4.60$0.01$4.61$9.95-11.28%-$1,271.39-$8,063.51
07/25/17TOPS$4.20$0.01$4.192386.634845$3.20$0.01$3.21$9.9530.53%$2,338.90-$5,724.61
07/26/17MBRX$2.22$0.01$2.214524.886878$2.36$0.01$2.37$9.95-6.75%-$723.98-$6,448.59
08/11/17DRYS$3.19$0.01$3.183144.654088$3.35$0.01$3.36$9.95-5.36%-$566.04-$7,014.63
08/25/17INNT$9.80$0.01$9.791021.45046$9.50$0.01$9.51$9.952.94%$286.01-$6,728.63
09/11/17TRXC$1.16$0.01$1.158695.652174$1.26$0.01$1.27$9.95-9.45%-$1,043.48-$7,772.10
10/03/17DRYS$3.18$0.01$3.173154.574132$3.13$0.01$3.14$9.950.96%$94.64-$7,677.47
10/06/17TOPS$5.40$0.01$5.391855.28757$5.50$0.01$5.51$9.95-2.18%-$222.63-$7,900.10
10/17/17TRXC$4.40$0.01$4.392277.904328$3.69$0.01$3.70$9.9518.65%$1,571.75-$6,328.35
10/23/17DRYS$4.07$0.01$4.062463.054187$4.06$0.01$4.07$9.95-0.25%-$24.63-$6,352.98
10/25/17DRYS$4.74$0.01$4.732114.164905$4.65$0.01$4.66$9.951.50%$147.99-$6,204.99
11/03/17TOPS$11.20$0.01$11.19893.6550$16.80$0.01$16.81$9.95-33.43%-$5,022.34-$11,227.33
11/24/17TEUM$1.33$0.01$1.327575.757576$1.13$0.01$1.14$9.9515.79%$1,363.64-$9,863.69
11/27/17TEUM$1.56$0.01$1.556451.612903$1.19$0.01$1.20$9.9529.17%$2,258.06-$7,605.63
11/28/17TEUM$1.25$0.01$1.248064.516129$1.09$0.01$1.10$9.9512.73%$1,129.03-$6,476.59
12/19/17TEUM$1.70$0.01$1.695917.159763$1.54$0.01$1.55$9.959.03%$828.40-$5,648.19
12/21/17MNGA$5.70$0.01$5.691757.469244$4.80$0.01$4.81$9.9518.30%$1,546.57-$4,101.62
12/26/17TEUM$3.05$0.01$3.043289.473684$2.50$0.01$2.51$9.9521.12%$1,743.42-$2,358.20
12/27/17HTGM$2.09$0.01$2.084807.692308$2.05$0.01$2.06$9.950.97%$96.15-$2,262.04
01/29/18ATOS$7.20$0.01$7.191390.820584$6.48$0.01$6.49$9.9510.79%$973.57-$1,288.47
02/12/18CTRV$2.31$0.01$2.304347.826087$2.11$0.01$2.12$9.958.49%$782.61-$505.86
02/20/18DCAR$2.91$0.01$2.903448.275862$2.56$0.01$2.57$9.9512.84%$1,137.93$632.07
02/28/18BPMX$0.28$0.01$0.2737037.03704$0.27$0.01$0.28$9.95-3.57%-$370.37$261.70
02/28/18ATOS$8.28$0.01$8.278.76$16.04$0.01$16.05$9.95-48.47%-$68.15$193.55
03/01/18MNGA$1.31$0.01$1.307692.307692$1.11$0.01$1.12$9.9516.07%$1,384.62$1,578.16
03/14/18EARS$1.64$0.01$1.636134.969325$1.54$0.01$1.55$9.955.16%$490.80$2,068.96
04/02/18SLS$8.49$0.01$8.481179.245283$8.97$0.01$8.98$9.95-5.57%-$589.62$1,479.34
04/03/18SLS$8.70$0.01$8.691150.747986$6.70$0.01$6.71$9.9529.51%$2,278.48$3,757.82
04/10/18MYSZ$1.35$0.01$1.347462.686567$1.32$0.01$1.33$9.950.75%$74.63$3,832.44
04/12/18MARA$1.64$0.01$1.636134.969325$1.50$0.01$1.51$9.957.95%$736.20$4,568.64
04/13/18MARA$1.52$0.01$1.516622.516556$1.41$0.01$1.42$9.956.34%$596.03$5,164.67
04/13/18DPW$1.21$0.01$1.208333.333333$1.15$0.01$1.16$9.953.45%$333.33$5,498.00
04/30/18HTBX$3.26$0.01$3.253076.923077$4.17$0.01$4.18$9.95-22.25%-$2,861.54$2,636.46
05/04/18EARS$2.05$0.01$2.044901.960784$1.98$0.01$1.99$9.952.51%$245.10$2,881.56
05/07/18EARS$1.95$0.01$1.945154.639175$1.90$0.01$1.91$9.951.57%$154.64$3,036.20
05/11/18APRI$0.30$0.01$0.2934482.75862$0.29$0.01$0.30$9.95-3.33%-$344.83$2,691.37
05/18/18ADOM$1.48$0.01$1.476802.721088$1.70$0.01$1.71$9.95-14.04%-$1,632.65$1,058.72
05/21/18ADOM$1.58$0.01$1.576369.426752$1.36$0.01$1.37$9.9514.60%$1,273.89$2,332.60
05/23/18HTBX$2.10$0.01$2.094784.688995$2.20$0.01$2.21$9.95-5.43%-$574.16$1,758.44
05/25/18NSPR$1.25$0.01$1.248064.516129$1.20$0.01$1.21$9.952.48%$241.94$2,000.38
05/31/18CRIS$2.78$0.01$2.773610.108303$2.49$0.01$2.50$9.9510.80%$974.73$2,975.11
06/08/18DPW$0.67$0.01$0.6615151.51515$0.64$0.01$0.65$9.951.54%$151.52$3,126.62
06/28/18MNGA$0.60$0.01$0.5916949.15254$0.40$0.01$0.41$9.9543.90%$3,050.85$6,177.47
07/31/18ABIO$0.75$0.01$0.7413513.51351$0.68$0.01$0.69$9.957.25%$675.68$6,853.14
07/31/18GSAT$0.64$0.01$0.6315873.01587$0.55$0.01$0.56$9.9512.50%$1,111.11$7,964.26
09/12/18INPX$8.80$0.01$8.791137.656428$6.92$0.01$6.93$9.9526.84%$2,116.04$10,080.30
09/25/18INPX$9.20$0.01$9.191088.139282$9.40$0.01$9.41$9.95-2.34%-$239.39$9,840.91
09/25/18ABIO$0.57$0.01$0.5617857.14286$0.53$0.01$0.54$9.953.70%$357.14$10,198.05
10/02/18FLKS$0.56$0.01$0.5518348.62385$0.54$0.01$0.55$9.95-0.91%-$91.74$10,106.31
10/03/18SINT$0.30$0.01$0.2934482.75862$0.28$0.01$0.29$9.951.75%$172.41$10,278.72
10/04/18TRPX$6.36$0.01$6.351574.80315$6.12$0.01$6.13$9.953.59%$346.46$10,625.18
10/05/18AMMA$0.36$0.01$0.3528571.42857$0.33$0.01$0.34$9.952.94%$285.71$10,910.89
10/19/18FTFT$1.65$0.01$1.646097.560976$1.33$0.01$1.34$9.9522.39%$1,829.27$12,740.16
10/25/18UAVS$1.05$0.01$1.049615.384615$0.87$0.01$0.88$9.9518.18%$1,538.46$14,278.62
10/31/18TNXP$0.72$0.01$0.7114084.50704$0.68$0.01$0.69$9.952.90%$281.69$14,560.31
11/09/18ZIOP$2.60$0.01$2.593861.003861$2.32$0.01$2.33$9.9511.16%$1,003.86$15,564.17
11/21/18ABIL$3.42$0.01$3.412932.55132$3.00$0.01$3.01$9.9513.29%$1,173.02$16,737.19
11/28/18TNXP$7.21$0.01$7.201388.888889$6.97$0.01$6.98$9.953.15%$305.56$17,042.75
11/29/18TNXP$6.65$0.01$6.641506.024096$5.19$0.01$5.20$9.9527.69%$2,168.67$19,211.42
12/14/18PTX$0.48$0.01$0.4721276.59574$0.38$0.01$0.39$9.9520.51%$1,702.13$20,913.55
12/20/18INPX$3.74$0.01$3.732680.965147$3.21$0.01$3.22$9.9515.84%$1,367.29$22,280.84
12/31/18BPMX$0.11$0.01$0.10100000$0.11$0.01$0.12$9.95-16.67%-$2,000.00$20,280.84
01/04/19FLKS$0.50$0.01$0.4920408.16327$0.42$0.01$0.43$9.9513.95%$1,224.49$21,505.33
01/08/19BPMX$0.14$0.01$0.1376923.07692$0.13$0.01$0.14$9.95-7.14%-$769.23$20,736.10
01/15/19ABIL$2.17$0.01$2.164629.62963$2.35$0.01$2.36$9.95-8.47%-$925.93$19,810.18


Some observations:

1. During 2017 (strong uptrend in the markets with low volatility) this system did poorly - by the TOPS short trade on 11/03/2107 you were down more than 33% - if you were compounding $10,000 you were down to only $4,356 a loss of more than 56%. Most folks would have bailed on this before that level of pain was reached.

2. By the end of 2017 you were net - $2262 with fixed trade sizing, but up about 15% if you were compounding.

3. By the end of 3Q 2018, you were up about 33% with fixed trade sizing, but lagging behind the market return. However, in 4Q this system caught fire, more than doubling that return to 67% in two years, basically crushing the S&P for the same period of time.

4. Drawdown and trade volatility are the weak points to this otherwise profitable system. It might make sense to put in place some metric for market trend (PSAR, ema cross, etc.) and only trade when the market is trending lower.

KSK8
561 posts
msg #146180
Ignore KSK8
1/20/2019 5:30:49 PM

Village Elder,

Thanks for doing this. I actually agree almost 100% with this assessment. Keep in mind I did say earlier it wasn't possible to trade each and every stock it gives because of the many factors that present themselves as a hinder to select plays.

So I agree with your testing on this, but I disagree with the notion that the overall stock market trend is a factor. I firmly stand strong in believing that the overall market activity has little influence on the majority of stocks that this specific filter spits out. A different paradigm in the psychology plays out when this type of phenomenon transpires, exactly similar to the other systems I've posted.

I only trade nowadays on those types of occasions and when the fundamentals of the move coincide with the sentiment. Along with that, I only focus on heavily liquid plays when there is enough crowd, that way entering in large positions is easier to do without influencing the price.

I do agree with your premise that volatility and whipsaw is an essential disadvantage if you don't compound which is why crowd size is imperative with this system's overall performance.

So noting you were able to to understand the volatility prospect, perhaps you can offer a criteria or statistical component that correlates with this factor? I have yet to see someone do so... There are no wrong answers!


Village Elder
231 posts
msg #146185
Ignore Village Elder
1/21/2019 12:16:00 AM

IMHO, without volatility this system really wouldn't work. Just look at its construction - you require a consistent 1% difference from open to low, as well as a pullback from the high of at least 10%. That is unusually volatile, and explains why you see so few hits compared to other strategies.

My thoughts on MARKET volatility relative to this strategy:

In low volatility environments, when the market is trending upward, there may be a tendency for long players to stay pat, or for others to jump in (FOMO). That suppresses returns for this setup.

In high volatility environments, when everything around you is crapping the bed, there is a sense that one should take profit off the table (which works great for this setup).

The trade record supports this (weak in 2017, strong in 2018) but that is not by itself conclusive. Just an observation on my part. Overall this approach performed quite well in ROI but not as well in risk-adjusted returns (ROI / S.D. of returns).

StockFetcher Forums · General Discussion · 1,600% with only 42 trades<< 1 2 >>Post Follow-up

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