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Backtesting Support · Selecting the 2nd or 3rd stock in a column for backtesting
bartt59
msg #59147
1/19/2008 5:03:54 PM

Tomb, if you are there...
What's the syntax necessary to get the 2nd or 3rd stock only in a filter results column to back test ? I've set the selection criteria statement to select by column/variable descending/ascending and this works fine when I'm backtesting a single stock that bubbles to the top of the column, but I need to make the backtest look at a single stock below the top listed one.
Thanks much.
bartt

Backtesting Support · Backtest Selection Method: select by column "x" ascending/descending not sorting by custom variable
bartt59
msg #41594
2/26/2006 8:44:32 PM

I'm not able to get Backtest to select stocks by column 5 ascending. Column 5 contains a custom variable, percentC. I'm finding that stocks are being selected by price (column 2) descending.
The filter:
Show stocks where price crossed MA(50) from below
and Average Volume(90) above 50000
and close between 15 and 100
and draw MA(50)

set{myLow, close 52 week low}
set{myDelta1, close-myLow}
set{percentC, myDelta1/myLow}

AND percentC between .5 and 1
AND draw close 52 week high
AND draw close 52 week low
AND draw percentC
AND draw close 5 year high
AND add column percentC
AND sort column 5 ascending

The filter defaults percentC to column 5 and sorts it ascending as directed.

The Backtest Set up:
Basic Setup
Name: Price crossed MA(50) from below 15-100 %c = .5-1
Approach Type: Long
Start Date: 10/20/2005
End Date: 02/24/2006
Benchmark Symbol: ^SPX

Exit Setup
Stop Loss: 10%
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 50

Extra Indicators
Entry Columns:
Show Performance After: after 5 days
after 10 days
after 20 days
after 30 days
after 50 days

Advanced Options
Selection Method: select by column 5 ascending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 3
Maximum Open Positions: 50

I appreciate any help or observations.
Thanks in advance.
bartt

Approach Information
Approach Name: Price crossed MA(50) from below 15-100 %c = .5-1
Test started on 10/20/2005 ended on 02/24/2006, covering 86 days
Filter used:
Price crossed MA(50) from below 15-100 %c = .5-1 (saved filter)

Trade Statistics
There were 122 total stocks entered. Of those, 72 or 59.02% were complete and 50 or 40.98% were open.
Of the 72 completed trades, 42 trades or 58.33%resulted in a net gain.
Your average net change for completed trades was: 4.26%.
The average draw down of your approach was: -7.35%.
The average max profit of your approach was: 12.85%
The Reward/Risk ratio for this approach is: 2.14
Annualized Return on Investment (ROI): 28.17%, the ROI of ^SPX was: 22.50%.

Exit Statistics
Stop Loss was triggered 25 times or 34.72% 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 (50 days) 47 times or 65.28% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed5 day chg10 day chg20 day chg30 day chg50 day chg
Winners:427170725948
Losers:30514831168
Win/Loss Ratio:1.40:11.39:11.46:12.32:13.69:16.00:1
Net Change:4.26%1.68%2.16%5.11%5.50%8.58%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed0:11:25:68:1114:68:23:23:0--
5 day chg1:05:213:619:1618:129:82:54:2--
10 day chg0:15:210:720:1515:1311:64:35:1--
20 day chg0:15:18:619:922:510:44:34:2--
30 day chg-1:28:214:819:18:25:14:0--
50 day chg-1:05:39:317:18:15:03:0--

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
Completed33:217:42:1-0:2-0:1-0:1-
5 day chg63:405:71:2-1:1-0:1-1:0-
10 day chg62:375:72:1-0:2-0:1-1:0-
20 day chg60:258:32:1-1:1-0:1-1:0-
30 day chg44:1410:13:0-1:1---1:0-
50 day chg36:58:13:0-1:1---0:1-



Announcements · New StockFetcher Advanced Subscription
bartt59
msg #37622
8/24/2005 10:46:40 PM

Does the Fetcher Team have any plans to offer automated trading capbilities ?



General Discussion · Robert Lichello's AIM
bartt59
msg #35308
3/10/2005 12:32:44 AM

Anybody familiar with/using/filtering stocks that make good candidates for this system ?

Thanks for your time.
bartt


General Discussion · Need filter syntax help for price as a % of 52 week low
bartt59
msg #34338
12/12/2004 1:16:27 PM

Thanks Yepher. Filament is lit. I got it now.


General Discussion · Need filter syntax help for price as a % of 52 week low
bartt59
msg #34237
12/6/2004 12:53:27 AM

How should I correctly state the following ?

price is less than 200% of 52 week low

Thanks Much

bartt


Filter Exchange · RSI(2) - The Little Indicator That Could
bartt59
msg #29936
11/18/2003 8:23:58 PM

NICE CALL on POSO you guys !!!
bartt


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