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Filter Exchange · TRO'S CROCK POT 2.0
msg #116014
10/17/2013 2:24:16 PM

I'm not following. (Surprise, surprise.)

If you average 8 trades per week, then you're roughly investing $40K (in the $5K trade column). You made $2,106 during that timeframe on the 1% stop? How does that correlate to 156%? And why aren't the $10K/trade gains = 2X the $5K/trade gains?


1. Yes, 8 trades per week at $5,000 per trade is $40,000 average per week.
2. Yes, $2,106 total for the 40 week period. This includes $8.95x2=$17.90 trading cost per trade.
3. 156% is simply the addition of all wins and losses (not including the trading cost). 8 trades triggering the 1% stop would be a total of 8%. So, 318 trades at a total of 156% equals about 0.5% per trade. This metric may not be that useful as stated.
4. Increasing to $10K defrays the cost of the trade. It shows the difficulty of overcoming trading costs when you don't have a lot of capital to invest.

Filter Exchange · TRO'S CROCK POT 2.0
msg #115989
10/16/2013 10:54:23 PM

Edited to clean up table format............
Certainly exiting at the close on Friday matches TRO's original filter. No argument there. However, the comment about exit strategy is meant for those carrying a stock beyond the first week.
Using the frsrblch filter, I backtested from 1/4/13 to 10/4/13. I removed all 2X and 3X ETFs - personal preference but you can leave them if you wish.

I set the following parameters:
1. Enter all positions from the filter @ $5,000/trade or $10,000/trade (see below)
2. Cost per trade is $8.95 each side
3. Target win % is variable - see below.
4. Close out trade @Friday's close if target win% not triggered

                                                                     $5K/Trade $10K/Trade
Target% Entries Wins Win% TotGain% TotGain$ Tot Gain $
1                    318   290 91.2% 156.0%    $2,106     $9,905
2                    318   264 83.0% 286.2%    $8,616     $22,924
3                    318   235 73.9% 334.2%    $11,016   $27,723
4                    318   214 67.3% 457.0%    $17,158   $40,008
5                    318   192 60.4% 524.3%    $20,523   $46,739
6                    318   174 54.7% 594.4%    $24,028   $53,748
7                    318   151 47.5% 598.5%    $24,235   $54,161
8                    318   135 42.5% 646.1%    $26,611   $58,913
9                    318   119 37.4% 670.6%    $27,839   $61,371
10                  318   105 33.0% 683.6%    $28,490   $62,672
15                  318   49     15.4% 670.5%   $27,832   $61,356
20                  318   31     9.7% 685.4%     $28,578   $62,848
10000           318     0      0.0% 638.2%    $26,217   $58,126

Total Gain % does not include trade costs
Win % is does not include trade costs
40 weeks of trading - averages about 8 trades per week.
Average gain per trade ranges from about 0.5% to 2%.

It will be interesting to see the longer term results in down markets like late 2008 - early 2009. Note the correlation between target %, win %, and total gain.

Filter Exchange · TRO'S CROCK POT 2.0
msg #115949
10/15/2013 6:22:55 PM

Oldsmar52: Again, congratulations on your success. Your input is very much appreciated but I'm sure you understand wanting to verify through backtesting. Nobody can deny the win percentages - even at a quick glance, it is apparent. However, when somebody says they've been using this system for 5 years without a loss with multiple entries per week - of course it is hard to believe - and certainly appropriate to verify.

frsrblch: I used your filter because it typically provides 5-10 selections per week and it's easier to download the weekly CSV file and analyze. It's a tweak of TRO's original filter but not different enough for my backtest.

frsrblch: From my simple backtest, I cannot tell the day the 2% profit stop was triggered. As I said, 171 of 195 were triggered the same week. Twenty were triggered within a few weeks (as Frank suggested). However, 4 remain open.

novacane32000: I can't derive the drawdown easily from my simple backtest - looking at weekly open, high, low, close.

So, don't think I'm disrespecting the TRO filter (or any variation thereof). I think this is probably one of the best filters I've seen; however, in my opinion, an exit strategy should be considered for the scenario when a stock drops and looks like it will never recover. You should know what you're going to do before hand. Is the strategy to simply hold the stock believing it will trigger at some point. My backtest (so far) says you'd be right 20 out of 24 times right now. But you have to ask yourself what you would do if you were holding a couple stocks that were 20%, 30%, the hole.

Certainly, the total win percentages in my brief analysis (342%) seems robust enough to handle some fairly heavy losses. Nonetheless, it's prudent to consider exit strategies.

Filter Exchange · TRO'S CROCK POT 2.0
msg #115920
10/15/2013 4:33:29 AM

Backtesting the frsrblch version from 10/14 (June 14, 2013 - October 4, 2013):

1. Buy everything on the list
2. 2% profit stop
3. No stop loss. Hold stock until 2%profit triggered

195 entries
191 wins @2% gain each
4 currently holding
.....7/16 EVC @ 10% current loss
.....8/9 EVC @ 10% current loss
.....8/9 MTG @ 5% current loss
.....9/27 OWW @12% current loss

171 of the 191 wins were triggered the week entering the trade.
If you simply closed out all trades at the end of the week, 24 stocks would have been closed without a 2% gain. The cumulative loss of these 24 stocks would be 140% (5.8% average). This is offset by 171 wins @2% (342% total).

Will continue to backtest and post results......

Filter Exchange · TRO'S CROCK POT 2.0
msg #115868
10/14/2013 2:05:54 AM

Thanks, Kevin for the v2.0. Always good work.

As TRO always said, it's not what you trade but how you trade it.

Undoubtedly, the win percentages are high. I am most interested in the occasion when the 2% is not triggered. In the old TRO post, Frank (Oldsmar52) suggested that he just waits it out - I guess implying that he always wins. My simple backtesting shows otherwise.

So, the big question is exit strategy. Kevin spoke about this in some detail at the end of the old TRO post.

It might also be interesting to see the win% if you (decide to) hold for 2, 3, or 4 weeks.

msg #115761
10/8/2013 11:03:07 PM

olathegolf: oldsmar52, congratulations on your success. Please explain your exit strategy if you did not make 2% on a trade. Did you simply set a sell order at 2% and then close the trade at the end of the week if the sell order did not trigger?

oldsmar52: For OLATHEGOLF: I just put in a good till canceled order at a 2% profit.
oldsmar52, makes sense that you set a GTC @2%. However, there have been times when a stock does not recover and trigger the 2% gain. While you have enjoyed exceptional success, I'm guessing your win percentage is not 100%. So, what is your exit strategy if a stock drops and does not recover? At what point do you take a loss and live another day? Thanks again for sharing.

msg #115714
10/6/2013 10:18:11 PM

oldsmar52, congratulations on your success. Please explain your exit strategy if you did not make 2% on a trade. Did you simply set a sell order at 2% and then close the trade at the end of the week if the sell order did not trigger?

General Discussion · RSI Predictor
msg #112699
4/8/2013 9:00:01 PM

set{ExpPer_tmp,2 * WildPer}
set{ExpPer,ExpPer_tmp - 1}
/* AUC */
set{auc_ref_close,close one day ago}
set{auc_max_close_tmp,close - auc_ref_close}
/* ADC */
set{adc_ref_close,close one day ago}
set{adc_max_close_tmp,adc_ref_close - close}
/* x */
set{WildPerMinusOne,WildPer - 1}
set{oneHundredMinusValue, 100 - Value}
set{adcTimesValue, adc * Value}
set{adcTimesValueDivide, adcTimesValue / oneHundredMinusValue}
set{minusAUC, adcTimesValueDivide - AUC}
set{xVariable, WildPerMinusOne * minusAUC}

/* if x is >= 0 */
set{RevEngRSI1, close + xVariable}

/* if x is <= 0 */
set{xTimesOneHundredMinusValue, xVariable * oneHundredMinusValue}
set{xTimesOneHundredMinusValueDivde, xTimesOneHundredMinusValue * Value}
set{RevEngRSI2, close + xTimesOneHundredMinusValueDivde}

price above 5
average volume(30) above 500000
add column xVariable
add column RevEngRSI1
add column RevEngRSI2

Filter Exchange · what i gave my group yesterday
msg #108937
11/20/2012 9:52:46 PM

That's interesting, I made the same trade. I waited for my Hindsight Indicator to form a negative divergence with my Gordorectal Indicator. I've combined these two custom indicators into a single indicator that I call HGI. I sell it for 500 bucks and as a bonus, I throw in pixie dust and a slightly used crystal ball.

Filter Exchange · my nflx weekly 65 call went 0.01 to 5.55 in 5 hours today>55000%
msg #108676
11/3/2012 3:48:55 PM

H stands for hindsight.

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