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msg #69140
11/10/2008 12:01:43 PM

As for me, I would like an intraday backtest ability. Realtime isnt so much an issue for me.

General Discussion · change default settings for backtests
msg #67482
9/19/2008 3:42:05 AM

Does anyone out there know how to change the default settings for backtests? When I start a new backtest I would like for the default to be have specific dates, stop loss, number of days held, etc. every time I create a new backtest. As of now I have to manually change these things and it would be easier to just have them saved. I have changed these settings before but I dont remember how I did it.

General Discussion · Usefulness of backtesting debate
msg #64795
7/9/2008 12:02:11 AM

I just wanted to open up the debate on the usefulness of backtesting. Im curious how many people put their faith in strategy backtest results, and how close actual trading compares to the results found within a backtest. Another question for backtesters is what criteria do you use to measure whether a strategy is worth pursuing or dumping; profit factor, max drawdown, etc. Another good question for people who believe in backtesting; to what lengths do you go to prove your strategy is valid? By this Im asking about the methods you use. Examples: Do you take a 6 month backtest as confirmation your strategy is valid? Does your strategy have to have a PF of 3 or greater in SFs backtester since 2002 in order to keep using a strategy? Do you run your backtest results through another program such as Excel to verify results? Do you use a battery of statistics tests to ensure the distribution of profits has a fat right tail with an otherwise small standard deviation?

For those who dont believe backtesting is useful, how and when do you decide to use a particular strategy when trading? Along these same lines, in what way do you determine a strategy is working for you and how long does it take to make such a determination? I assume the only way to find this out is with live trades which can get expensive if its a bad strategy.

I guess a debate such as this can be narrowed down to two main ideas:
* Do you believe that the past performance of stocks is indicative of future performance?
* Are you a mostly a mechanical trader or a discretionary trader?

General Discussion · Wyckoff Spring Setup from Active Trader Magazine
msg #64567
7/1/2008 6:21:55 AM

To be honest, I'm not interested in actually using something like this to filter stocks. Im just wondering if its possible to translate the ideas presented above into something stockfetcher can understand and work with. Seemed like a pretty tough challenge to get coded.

General Discussion · Wyckoff Spring Setup from Active Trader Magazine
msg #64317
6/25/2008 8:52:05 AM

Is it possible to code a filter for the Wyckoff Spring Setup as detailed in the July issue of Active Trader Magazine? Seems like a complicated setup and I'm wondering if StockFetcher can handle something like this. Here are the trade rules:

1 Setup:
a) The market establishes a first swing low by dropping 3 percent or more below the trading range's support level.

b) The market rallies 3 percent or more off the first swing low.

c) The market makes a second swing low by dropping 3 percent or more from the rally's high to a low that is lower than the first swing low.

d) The two swing lows must occur within 30 days of each other.

e) The second swing low should break down through a support level, in this case defined as the lowest low of the last 30 days.

2) Enter long with a stop order at the high of the bar that made the second swing low.

3) Exit long position after 30 days.

Some of the above obviously belongs in a backtest but the rest might be able to be filtered for. Anyone want to take on the challenge?

General Discussion · RSI with Bollinger Bands
msg #61224
4/8/2008 10:59:04 AM

Thanks, I'll give this a try

General Discussion · RSI with Bollinger Bands
msg #61217
4/8/2008 6:19:37 AM

I was reading about wrapping Bollinger Bands around RSI or other indicators and was wondering if there is a way to do this with StockFetcher. Anyone have any ideas?

General Discussion · How to make StockFetcher better?
msg #60709
3/23/2008 5:15:19 AM

Im sure this has been done before, but Im wondering what you all believe could make StockFetcher better for its users out there. Please feel free to post your ideas so that we have them all in one thread. Here are a few ideas that Ive seen here on the forums already:

Fix the back-testing when it comes to short trades
Include the ability to search for stocks that contain a keyword
Ability to count the number of times n has happened over a period of time; set{ndays, count(volume > 1000000, 50)}
Be able to store back-tests in folders and be able to save more of them
Be able to download the results of the Back-tests, not just the trades.
Include intraday data for back-tests
Have the ability to flag favorite thread topics in the Forums
The ability to get graphs / charts on Sectors and Industries
Enable the Count function to go back further than 100 days

Backtesting Support · High ROI with win/loss under 50%?
msg #59727
2/16/2008 7:16:45 PM

I'll takre a few guesses on your questions based on what i've seen with SF:

I can not see how my filters can test ROI 90% and even 162% with less than 50% winners and 99% of trades completed
using the default entry and exit stops of 10%. I don't see how this is possible. Help anyone?

----is it possible a few very good trades are making the returns top heavy, and that if you traded this way all the time you would get this kind of ROI over the course of a year?

Also, what exactly is "average maximum return?" Wouldn't there be only one maximum?

---I would say that there is 3 levels that stockfetcher keeps track of; the "high" of your profit per trade on average, the average profit, and the average "low" or drawdown for all your trades. These figures dont tell you the single most profitable trade nor the worst trade, but the best and worst on average for all your trades. I think this is the best way to do it. It is especially helpful to see how efficient your trades are performing; is your average profit per trade closer to the max profit per trade or closer to the average drawdown. With this in mind it is usefl to know your single largest dawdown for all your trades, becuase this could really be costly especillaly in overnight trading where a stop loss might not protect you.

Also, a filter tests 14% "average maximum return." How is this possible
with the 10% profit stop?

--- I believe what happens with this is that you may have a 10% profit stop, but if a trade goes overnight and then rockets up, it will close it out at the open the next day above that due to the gap. This is closer to real life trading but ti works in reverse also.

msg #57776
12/8/2007 3:53:06 PM

What about mechanical trading?
Some would say you wouldn't need to know about price at all for mechanical trade as long as you make your filters with the right criteria. For a statistics based filter, if the results tell you that these stocks typically have a 66% chance to go up, with an average gain of 1% would price even matter? Of course you would take something like this with a grain of salt unless you could statistically prove results like this are consistent with an acceptable standard deviation. A filter that for the last 5 years and 3100+ backtested trades (and live trades) picked stocks with price points between $6 and $400 with volume over one million. A TROs Gap statistics filter (with the listed modifications).

Using a filter like this you could input the symbols into TradeStation and tell it to buy on the open and sell on the open the next day remaining totally mechanical. Unless something changes I would imagine that you have that 66% on average of making your 1% without ever having to deal with price. Price would only come into play for money management purpose i.e. how much of your funds will go to each symbol. Even then you would only need to know the previous close and from there on its all percentages.

In this example people might think that holding overnight and bad fills etc. would be an issue. In reality with trading like this all that stuff averages itself out. Many times I have seen that bit of randomness work in my favor as much as it works against me. One thing I can say about discretionary trading vs. mechanical is that discretionary appears to be a lot more efficient. Certainly more efficient than the example listed above.

I'm not saying anyones opinion or advice is wrong or anything like that, but that there are many different methods out there that work and to each their own. Im really big into the statistics method and I have to say that TRO and his filters have really helped. But his approach is just different than mine. Anyone else out there use something similar to what I described above? Or something else entirely?

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