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Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #96701
10/3/2010 4:07:48 AM

Kevin - do you continue to follow the system ? Any new conclusions?

Backtesting Support · stop entry
saratur
msg #95927
9/1/2010 5:10:27 AM

How can I (reliably) backtest a strategy with stop entries?
e.g. buy only if the price is 1% higher than yesterday's close.

Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95880
8/29/2010 4:15:35 PM

It seems StrataSearch is pretty powerful. I never had the bandwidth to try it, your work encourages me to try make the time.

"Good" optimization fitness function(s) and parameter robustness checks are very important. My experience in optimization is that systems with parameters tuned to maximum net profit in a backtest quite frequently crumble, or perform significantly worse, in forward testing.

Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95861
8/27/2010 2:44:23 AM

Kevin - great work, thank you for sharing. Very encouraging results.

Questions regarding parameter optimization with StrataSearch (I am not familiar with it):
- does it allow user defined target/fitness function, and/or 'canned' system oriented measures (e.g. Van Tharp's Health, linear correlation etc.) - or net profit only?
- any robustness tests via parameter sensitivity, and/or walk forward optimizations?
... and if yes, did you get to do such tests with these filters?





Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95716
8/18/2010 12:28:59 AM

Kevin - I have done some backtesting on the long-short system with your composite filters, at one month granularity

So far I completed one year back. The simulated returns are significantly lower than the long term returns you received for the individual filters, or from what one may extrapolate from the real time test on this thread. It might be due to variation in exits or other parameters, market unfavorable to the system during this year – or errors in my backtest. To some extent I hope for the latter…

Kevin – and/or anyone else following this thread – could you please check my results (all, or just a spot-check). If more details on the backtest will be useful, please post or email me at saratur2@gmail.com

I could not figure out a way to test with StockFetcher stops and targets based on the ATR of each stock, or something similar. If anyone knows how to do this, please yell  .
In the test below I used fixed 3% stoploss 6% target. I did get somewhat better results using Connors’ standard 5 DMA exit and/or limited trade length.

Test:
Kevin’s composite filters, select by Composite score, top 5 (each long and short).
Exits: Stoploss 3%, Profit target 6%, maximum 5 days .
Price > $1 . I have relaxed volume to 200k shares (sinced I have noticed that some stocks in Kevin’s real time test are at lower volume than the original 500k ).
Return is calculated for each month, using SF daily backtest estimated equity. A backtest of 4 months was used to derive the results for each quarter so as to minimize effects of discontinuity in stock selection.
Results do not include commissions nor short borrow fees.

Month end Long Short Long-Short Equity
7/30/2010 1.77% 2.52% 2.14% 1.002782472
6/30/2010 -7.43% -2.28% -4.86% 0.981754416
5/28/2010 -5.76% -14.12% -9.94% 1.031857827
4/30/2010 0.82% 4.00% 2.41% 1.145775539
3/31/2010 12.54% 13.47% 13.01% 1.118824742
2/26/2010 6.54% -5.31% 0.62% 0.990050484
1/29/2010 -5.95% -0.14% -3.05% 0.983998808
12/31/2009 5.13% -1.22% 1.96% 1.014912788
11/30/2009 3.03% 4.35% 3.69% 0.995433964
10/30/2009 -9.29% -0.11% -4.70% 0.960003596
9/30/2009 6.13% 0.45% 3.29% 1.007346035
8/31/2009 -5.47% 0.52% -2.48% 0.975236619

average: 0.17% 0.18% 0.17%

The average monthly return is 0.17%, total gain after one year 0.28% .
After commissions this would be a loss - which could vary widely, depending on the brokerage. Each position turns over appx 80 times a year. If commissions are $4/trade, at $5000 per positions those will be 12.8% / year .


Backtesting Support · Exit price upon exit test trigger
saratur
msg #95487
8/6/2010 2:19:01 PM

Wantonellis - thank you.
I take it there is no way to set the exit price to be the close on the exit trigger day...

Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95364
8/4/2010 3:45:45 AM

Cross-posting from backtest support forum - maybe someone here knows the answers:

===
The default setting of the backtester uses for exit upon Exit Tests the open price following the date of the exit trigger.
How do I set the exit price to be the close on the same day of the exit trigger?

If I set Exit Price (in "Advanced") to "close" - I am not sure if it will use the close of the trigger day, or the following day...

====

How do I define for a backtest an exit criteria dependent on the entry price - beyond simple percentage?
In other words, exit dependent on an indicator calculated at the entry trigger date.
For example, how would I set a stop for entry price less 2 * ATR (10) which are calculated at the time of entry.

Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95363
8/4/2010 3:41:04 AM

Kevin - same here, I have a strong preference to automated systems. It is possible to automate your original approach as well, with some effort and/or expense. So a key question in my mind is whether one approach will yield significantly better risk-adjusted returns than the other: (A) buy at open, wide stops, or (B) limit buys on some pullback, tight stops, or (C) something else.

In general mean reversion systems work better with wide stops. It might be though that in the context of a long-short system the tight stops with higher targets work well - especially when there are daily moves that trigger both the stops and profit targets.
The answer might be different under different market conditions, and I would like to backtest . Still trying to figure out if I could automate the backtest , or will have to do that manually.

Backtesting Support · Exit criteria dependent on entry price
saratur
msg #95336
modified
8/3/2010 4:11:50 AM

How do I define for a backtest an exit criteria dependent on the entry price - beyond simple percentage?
In other words, exit dependent on an indicator calculated at the entry trigger date.
For example, how would I set a stop for entry price less 2 * ATR (10) which are calculated at the time of entry.

Backtesting Support · Exit price upon exit test trigger
saratur
msg #95335
8/3/2010 4:08:11 AM

The default setting of the backtester uses for exit upon Exit Tests the open price following the date of the exit trigger.
How do I set the exit price to be the close on the same day of the exit trigger?

If I set Exit Price (in "Advanced") to "close" - I am not sure if it will use the close of the trigger day, or the following day...


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