StockFetcher Forums · Public Filter List · ERSI/RSI/COG FILTER<< >>Post Follow-up
259 posts
msg #36810
Ignore corsino
7/9/2005 7:55:25 PM

Fetcher[Show stocks where the ERSI(3,7) is below 1
and rsi (2) is below 1
and close is between 0.5 and 3
and cci (14) less than -150
and cog (3) is above -0.5
and volume is above 50000

Approach Information
Approach Name: ERSI/ RSI/ COG
Test started on 12/31/2004 ended on 07/08/2005, covering 130 days
Filter used:
ERSI/ RSI/ COG (saved filter)

Trade Statistics
There were 369 total stocks entered. Of those, 364 or 98.64% were complete and 5 or 1.36% were open.
Of the 364 completed trades, 218 trades or 59.89%resulted in a net gain.
Your average net change for completed trades was: 5.69%.
The average draw down of your approach was: -6.80%.
The average max profit of your approach was: 13.71%
The Reward/Risk ratio for this approach is: 3.19
Annualized Return on Investment (ROI): 466.94%, the ROI of ^IXIC was: -5.76%.

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 (3 days) 364 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Win/Loss Ratio:1.74:11.77:11.84:11.97:11.96:11.65:1
Net Change:5.69%3.09%4.74%5.94%5.57%5.63%

Statistics By Variable: Match Price
1 day chg34:1749:1239:1522:1818:1718:1422:1311:14--
2 day chg43:1345:1836:1927:1619:2021:1121:1414:12--
3 day chg42:1444:1936:2131:1121:1821:1021:1214:12--
4 day chg40:1642:1937:1932:1121:1820:1121:1316:10--
5 day chg41:1542:2137:1828:1520:1918:1519:1613:13--

Statistics By Variable: Average Volume
1 day chg203:1163:32:01:12:0-1:01:0--
2 day chg215:1194:21:12:02:1-1:01:0--
3 day chg220:1133:31:02:02:1-1:01:0--
4 day chg219:1113:41:12:02:1-1:01:0--
5 day chg208:1263:42:01:12:1-1:01:0--

23 posts
msg #36817
Ignore BigOh
7/10/2005 10:11:32 AM

Just curious, what was your entry, exit and pullback settings at

259 posts
msg #36820
Ignore corsino
7/10/2005 12:10:10 PM

No stop loss nor stop profit percentages were used. Only a 3-day holding period, although it works well for other periods up to 5 days. Like most TA filters, the results probably deteriorate after that.

259 posts
msg #36821
Ignore corsino
7/10/2005 12:27:13 PM

Although I haven't done extensive tracking, it seems that the SECOND time a stock appears on the list within a week, may be a better time to buy it. But that may be a short-term anomaly.

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