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Backtesting Support · Advanced Options: Selection Methods
deodevelop
msg #48593
12/13/2006 7:28:36 PM

Hi Folks,
In the SF Backtester under the Selection Method Criteria, I want to specify select by "performance" descending. I've seen the "performance" column in the filter's match results, but I am unsure if "performance" is a permissible variable to use. I've used variations of select by volume, rsi(2), and fast stochastic fast %k(14) descending (or ascending). But I'm just confused about 1) using the "performance" term 2) would it be better to make a user-defined variable within the fiter and then refer to that user-defined variable in the Selection Method statement to SF's backtester. I hope my description is clear enough.

I saw one forum reference that seemed to address something similar, but there was not response back regarding their solution.

Thanks for any guidance you could share with me.
Ed


Backtesting Support · Advanced Options: Selection Methods
deodevelop
msg #48594
12/13/2006 7:55:16 PM

Pardon me Folks - it was a really long day and I made a mistake in my post above...... I meant to say "%Chg" instead of "Performance". Sorry for the slip up, Ed


Backtesting Support · Equity Summary - Won't Open
deodevelop
msg #48213
11/28/2006 9:19:18 PM

I ran my regular backtest the same way as I have multiple times yesterday before but for some reason today the "Equity Summary" New! won't open anymore. The "Trades" selection shows all the trades correctly and all of the other selections including the Summaries are working fine. Have re-booted and tried every other remedy I could figure out - still same condition exists. Could you let me know what the problem could be?

 
Approach Information
Approach Name: _Rocket 2 RSI(2) LT 20 -7 -3 C>0.99
Test started on 12/23/2005 ended on 11/24/2006, covering 231 days
Filter used:
_Rocket 2 RSI(2) LT 20 (saved filter)

Trade Statistics
There were 168 total stocks entered. Of those, 168 or 100.00% were complete and or 0.00% were open.
Of the 168 completed trades, 88 trades or 52.38%resulted in a net gain.
Your average net change for completed trades was: 0.86%.
The average draw down of your approach was: -3.38%.
The average max profit of your approach was: 4.52%
The Reward/Risk ratio for this approach is: 1.51
Annualized Return on Investment (ROI): 211.95%, the ROI of ^SPX was: 11.18%.

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) 168 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 chg5 day chg10 day chg
Winners:88921009610087
Losers:757166716576
Win/Loss Ratio:1.17:11.30:11.51:11.35:11.54:11.15:1
Net Change:0.86%0.84%1.77%1.79%1.44%0.95%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed48:3717:1414:104:63:21:10:31:0-0:2
1 day chg49:3620:1114:104:63:21:10:31:0-0:2
2 day chg51:3717:1416:87:35:01:11:21:0-1:1
3 day chg47:4120:1214:107:34:11:11:21:0-1:1
5 day chg52:3420:1214:105:54:12:01:21:0-1:1
10 day chg42:4222:1012:125:52:31:11:21:0-1:1

Statistics By Variable: Average Volume
 <10.0M<20.0M<30.0M<40.0M<50.0M<60.0M<70.0M<80.0M<90.0M<100.0M
Completed80:726:12:1---0:1---
1 day chg84:686:12:1---0:1---
2 day chg93:624:33:0---0:1---
3 day chg89:675:22:1---0:1---
5 day chg90:647:03:0---0:1---
10 day chg78:745:23:0---1:0---

Statistics By Variable: RSI(2)
 <2<4<6<8<10<12<14<16<18<20
Completed24:2316:1515:1011:95:65:43:36:31:22:0
1 day chg25:2418:1217:811:95:55:42:46:31:22:0
2 day chg24:2518:1417:813:79:24:53:39:01:22:0
3 day chg24:2617:1517:811:97:46:33:38:11:22:0
5 day chg29:2016:1617:814:56:55:43:36:32:12:0
10 day chg20:2716:1517:811:97:46:31:55:42:12:0



Backtesting Support · Exit Criteria
deodevelop
msg #48403
12/5/2006 7:07:57 PM

SF Backtesting Folks,
Could someone kindly reply to the prior post from the fellow above. The fellow posted it OVER 6 weeks ago. If I knew the answer I would post one......but how about TRYING to help the fellow at least.


General Discussion · Filter Help - Can't figure out what's missing in my code
deodevelop
msg #48320
12/2/2006 12:53:00 PM

Hi folks,
I'm just learning SF's coding and was wondering if anyone could look at my code below and give me some guidance on what I'm doing wrong.
I was just trying to make a variable that would give me the ratio of the match's volume / ADV(10) and use that variable to:
show stocks with 3x ADV(10)
and that had hit a new 52 week high

But when I Backtest my filter - there are no matches - which I know is not the case in reality.

Thanks in advance for any guidance
Ed
My code is below......

set{VaRatio, Volume / ADV(10)}
Show stocks where VaRatio is above 3.00
and high reached a new 1 year high
and Average Volume(10) is above 500000
and Volume is above 1000000
and close is greater than 6.00
and market is not otcbb
add column Va Ratio
add column average volume(10)
add column average volume(20)
add column average volume(50)
add column rsi(10)



General Discussion · Filter Help - Can't figure out what's missing in my code
deodevelop
msg #48338
12/2/2006 3:57:55 PM

thanks lockwiz, you were right.
Sometimes if you look at something too long - the visible becomes invisible.
Works perfectly now
thanks again:)
Ed


General Discussion · Filter Help - Can't figure out what's missing in my code
deodevelop
msg #48388
12/4/2006 7:58:05 PM

Sorry - forgot to post the working filter code - here it is...
Lots to learn - your help saved my bald spot from growing even bigger:)
Thanks again LockWiz and TRO

Set{VaRatio, Volume / average volume(10)}
Show stocks where VaRatio is above 3.00
and high reached a new 1 year high
and Average Volume(10) is above 500000
and close is greater than 6.00
and market is not otcbb
and sort column 5 descending
add column VaRatio
add column average volume(10)
add column average volume(20)
add column rsi(10)



General Discussion · Rounded bottom
deodevelop
msg #48404
12/5/2006 7:33:12 PM

roycentanni,
Any luck finding that BOWL FILTER TRO mentioned? I've tried every search I can think of but not finding anything at all.


General Discussion · Rounded bottom
deodevelop
msg #48426
12/6/2006 5:22:21 PM

Thanks TRO - you da man - really appreciate all the help you extend to those of us doing the learning. Sure is a breath of fresh air. Thanks again:)


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