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General Discussion · Success?
__fetcheruser123
msg #116648
11/10/2013 12:38:01 PM

I might. :) It's been seven years, I've forgotten a lot of names. How goes it?

General Discussion · Success?
__fetcheruser123
msg #116370
10/31/2013 6:57:52 AM

I haven't posted on these forums in seven years. I got a bit burnt out chasing Pi. ;) I was just wondering if any of you turned this stuff into something successful? I still have a few filters that seem to perform alright and thought I might do something with them.

I see TRO is still around. Is Muddy still banned? :)

Filter Exchange · Looking for filter with highest W/L Ratio
__fetcheruser123
msg #49309
1/16/2007 5:10:37 PM

Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1
Exit Trigger #1: rsi(2) > 80

Maximum Trades Per Day: 12
Maximum Open Positions: 1

Approach Information
Approach Name: tester
Test started on 01/14/2005 ended on 01/16/2007, covering 502 days
Filter used:
Smallcap-Long; 80% WR; 6.13 RR (saved filter)

Trade Statistics
There were 162 total stocks entered. Of those, 161 or 99.38% were complete and 1 or 0.62% were open.
Of the 161 completed trades, 98 trades or 60.87%resulted in a net gain.
Your average net change for completed trades was: 3.31%.
The average draw down of your approach was: -4.44%.
The average max profit of your approach was: 5.88%
The Reward/Risk ratio for this approach is: 2.81
Annualized Return on Investment (ROI): 818.66%, the ROI of ^SPX was: 10.58%.

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 (1 days) 161 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:9898102968076
Losers:555556617071
Win/Loss Ratio:1.78:11.78:11.82:11.57:11.14:11.07:1
Net Change:3.31%3.31%4.48%6.65%9.83%8.04%

Statistics By Variable: Match Price
 <0.4<0.8<1.2<1.6<2<2.4<2.8<3.2<3.6<4
Completed18:88:611:29:213:611:89:97:75:27:5
2 day chg18:88:611:29:213:611:89:97:75:27:5
5 day chg16:119:410:48:314:712:812:610:52:59:3
10 day chg15:128:59:59:217:49:1111:78:72:58:3
25 day chg10:176:89:58:212:810:911:45:94:35:5
40 day chg12:157:710:47:39:109:97:76:93:46:3

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
Completed80:4911:35:20:1-1:0---1:0
2 day chg80:4911:35:20:1-1:0---1:0
5 day chg87:479:54:31:0-1:0---0:1
10 day chg84:498:62:51:0-1:0---0:1
25 day chg65:639:45:11:0-0:1---0:1
40 day chg62:637:65:11:0-1:0---0:1

Statistics By Variable: EMA(10)
 <0.5<1<1.5<2<2.5<3<3.5<4<4.5<5
Completed19:109:411:312:212:1010:613:87:105:2-
2 day chg19:109:411:312:212:1010:613:87:105:2-
5 day chg17:129:411:411:314:1111:515:68:106:1-
10 day chg16:138:511:411:316:99:714:76:115:2-
25 day chg12:174:1011:410:212:139:511:88:83:3-
40 day chg14:155:913:26:610:138:510:96:104:2-



Filter Exchange · Looking for filter with highest W/L Ratio
__fetcheruser123
msg #49308
1/16/2007 5:06:59 PM

Breed,

You have to set the Maximum Open Positions to something like 2 or 4... That's the reason your backtest didn't produce the same equity curve.




Filter Exchange · Looking for filter with highest W/L Ratio
__fetcheruser123
msg #49052
1/8/2007 1:55:51 PM

Over a 4 year period, maximum 5 day hold, exit if RSI(2) > 85.

Approach Information
Approach Name: tester
Test started on 12/08/2004 ended on 12/08/2006, covering 505 days
Filter used:
Close has been decreasing over the last 11 days
and close between 1 and 50
and average volume (90)above 50000
and not otcbb
AND RSI(2) < 1

Trade Statistics
There were 262 total stocks entered. Of those, 262 or 100.00% were complete and or 0.00% were open.
Of the 262 completed trades, 166 trades or 63.36%resulted in a net gain.
Your average net change for completed trades was: 4.95%.
The average draw down of your approach was: -3.81%.
The average max profit of your approach was: 8.90%
The Reward/Risk ratio for this approach is: 4.54
Annualized Return on Investment (ROI): 283.72%, the ROI of ^SPX was: 9.67%.

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 (5 days) 167 times or 63.74% of the time.
An exit trigger was executed 95 times or 36.26% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:166134150157139140
Losers:90120104102118108
Win/Loss Ratio:1.84:11.12:11.44:11.54:11.18:11.30:1
Net Change:4.95%3.63%4.79%4.81%4.30%5.15%

Statistics By Variable: Match Price
 <5<10<15<20<25<30<35<40<45<50
Completed54:1936:2024:2218:910:512:35:52:34:11:3
2 day chg39:3624:3022:2316:1010:59:67:31:44:12:2
5 day chg47:2629:2725:2118:810:511:34:62:33:21:3
10 day chg48:2734:2327:1916:118:710:56:43:22:33:1
25 day chg41:3330:2724:2215:126:99:56:42:33:23:1
40 day chg40:3229:2622:2317:106:611:27:32:33:23:1

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
Completed165:871:1-0:1---0:1--
2 day chg133:1170:2-1:0---0:1--
5 day chg147:1031:1-1:0---1:0--
10 day chg156:991:1-0:1---0:1--
25 day chg138:1151:1-0:1---0:1--
40 day chg139:1051:1-0:1---0:1--

Statistics By Variable: EMA(10)
 <10<20<30<40<50<60<70<80<90<100
Completed88:3540:3522:710:96:10:3----
2 day chg62:6135:3819:1012:75:21:2----
5 day chg75:4840:3421:79:105:20:3----
10 day chg79:4742:3319:1011:84:32:1----
25 day chg67:5841:3413:1511:85:22:1----
40 day chg65:5640:3415:913:65:22:1----



General Discussion · Backtesting Contest / how high can you go ?
__fetcheruser123
msg #48539
12/10/2006 10:26:20 PM

Here's one that's about $1.5m. I've got a couple short filters that I think could do better but SF doesn't calculate the graphs properly for short systems.

Approach Information
Approach Name: tester
Test started on 12/06/2004 ended on 12/06/2006, covering 505 days
Filter used:
Smallcap-Long; 80% WR; 6.13 RR (saved filter)

Trade Statistics
There were 88 total stocks entered. Of those, 86 or 97.73% were complete and 2 or 2.27% were open.
Of the 86 completed trades, 64 trades or 74.42%resulted in a net gain.
Your average net change for completed trades was: 6.86%.
The average draw down of your approach was: -9.26%.
The average max profit of your approach was: 13.55%
The Reward/Risk ratio for this approach is: 4.56
Annualized Return on Investment (ROI): 262.49%, the ROI of ^SPX was: 9.10%.

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 ( days) 0 times or 0.00% of the time.
An exit trigger was executed 86 times or 100.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:646056504342
Losers:212628343936
Win/Loss Ratio:3.05:12.31:12.00:11.47:11.10:11.17:1
Net Change:6.86%3.76%4.66%7.97%11.66%9.05%

Statistics By Variable: Match Price
 <0.4<0.8<1.2<1.6<2<2.4<2.8<3.2<3.6<4
Completed10:58:37:38:05:17:26:15:24:24:2
2 day chg11:36:59:16:26:16:34:33:44:25:2
5 day chg10:58:28:25:35:25:45:13:43:34:2
10 day chg9:55:66:47:16:16:34:23:43:31:5
25 day chg9:63:86:47:15:12:63:21:64:23:3
40 day chg6:83:85:47:14:22:65:02:44:14:2

Statistics By Variable: Average Volume
 <2.5M<5.0M<7.5M<10.0M<12.5M<15.0M<17.5M<20.0M<22.5M<25.0M
Completed49:1812:22:00:1----1:0-
2 day chg45:2111:52:01:0----1:0-
5 day chg44:239:42:00:1----1:0-
10 day chg43:235:91:10:1----1:0-
25 day chg32:328:62:01:0----0:1-
40 day chg32:306:62:01:0----1:0-

Statistics By Variable: EMA(10)
 <0.5<1<1.5<2<2.5<3<3.5<4<4.5<5
Completed11:68:310:25:07:37:18:04:54:1-
2 day chg12:47:49:36:08:25:34:44:65:0-
5 day chg11:69:18:45:16:45:25:33:64:1-
10 day chg10:65:68:46:07:36:24:33:61:4-
25 day chg9:83:810:25:14:42:53:44:53:2-
40 day chg6:103:89:24:24:43:45:14:44:1-



General Discussion · SNDA
__fetcheruser123
msg #48234
11/29/2006 6:02:37 PM

... showed up on a short filter of mine that shows good results. You might consider it for a short tomorrow.


General Discussion · Why do 95% of traders lose?
__fetcheruser123
msg #48233
11/29/2006 6:00:42 PM

What's the point in having a group if it's not to trade ideas and learn from each other? Everybody wants things easier, it's human nature. That's why there are groups to trade ideas, so individuals don't have to think of everything themselves.


General Discussion · Backtest challenge
__fetcheruser123
msg #48063
11/20/2006 12:16:40 AM

traderblues,

good work on your screens, very impressive. i'm curios, what type of risk management do you employ? stops, etc?

-chris


Filter Exchange · rsi(2) breakout, 75% WR, Reward/Risk 10/1
__fetcheruser123
msg #47704
10/28/2006 12:25:38 AM

rharmelink, you are correct.


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