lvaduva
5 posts
msg #55476
- Ignore lvaduva |
10/2/2007 6:56:28 PM
Show stocks where RSI(2) is less than 20 and
the low is less than 1% above the lower Bollinger(20,2) band over the last 4 days and
the low is less than 4% below the lower Bollinger(20,2) band over the last 4 days
and stock is optionable
And price is above 15 and
average volume (100) above 200000 and
volume above 50000
set{wm%, weekly atr(8)/weekly ema(8)} and
wm% above 0.05 and
CLOSE ABOVE MA(200)
add column wm%
sort column 5 descending
draw rsi(2)
draw ma(200)
draw bollinger(20,2)
draw median Bollinger Line(20,2)
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dccolt
19 posts
msg #55483
- Ignore dccolt
modified |
10/3/2007 1:52:30 AM
Clickable:
To Backtest (I hope this is your question):
Double-click on filter above, a new window will then open, click on "Backtest this filter";
Then, manipulate different choices on the "Summary - Filter - Basic - Exit - Indicators - Advanced" line to get the most from your filter. Then click and then .
I backtested it as a long filter, for the back dates of 123106 to present, with an exit stop loss of 1% (I know it is low) and a profit stop of 8%, with a max 25 day hold. Below are the results:
Approach Name: Show stocks where RSI(2) is less than 20 and th...
Test started on 12/29/2006 ended on 10/02/2007, covering 189 days
Filter used:
Show stocks where RSI(2) is less than 20 and
the low is less than 1% above the lower Bollinger(20,2) band over the last 4 days and
the low is less than 4% below the lower Bollinger(20,2) band over the last 4 days
and stock is optionable
And price is above 15 and
average volume (100) above 200000 and
volume above 50000
set{wm%, weekly atr(8)/weekly ema(8)} and
wm% above 0.05 and
CLOSE ABOVE MA(200)
add column wm%
sort column 5 descending
draw rsi(2)
draw ma(200)
draw bollinger(20,2)
draw median Bollinger Line(20,2)
Trade Statistics
There were 3653 total stocks entered. Of those, 3600 or 98.55% were complete and 53 or 1.45% were open.
Of the 3600 completed trades, 502 trades or 13.94%resulted in a net gain.
Your average net change for completed trades was: 0.22%.
The average draw down of your approach was: -2.26%.
The average max profit of your approach was: 2.85%
The Reward/Risk ratio for this approach is: 1.24
Annualized Return on Investment (ROI): 26.33%, the ROI of ^SPX was: 11.22%.
Exit Statistics
Stop Loss was triggered 3098 times or 86.06% of the time.
Stop Profit was triggered 477 times or 13.25% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 25 times or 0.69% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 502 1930 1968 1958 1805 1571
Losers: 3098 1693 1610 1576 1534 1497
Win/Loss Ratio: 0.16:1 1.14:1 1.22:1 1.24:1 1.18:1 1.05:1
Net Change: 0.22% 0.19% 0.50% 0.77% 1.42% 1.06%
Statistics By Variable: Match Price
<100 <200 <300 <400 <500 <600 <700 <800 <900 <1000
Completed 485:3011 15:80 - - 1:3 1:4 - - - -
2 day chg 1875:1645 53:41 - - 1:3 1:4 - - - -
5 day chg 1910:1565 52:42 - - 4:0 2:3 - - - -
10 day chg 1905:1525 47:48 - - 3:1 3:2 - - - -
25 day chg 1753:1486 47:44 - - 3:1 2:3 - - - -
40 day chg 1530:1450 34:45 - - 4:0 3:2 - - - -
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
Completed 481:2926 12:127 6:25 1:11 1:2 1:1 0:4 0:2 - -
2 day chg 1826:1605 71:67 20:12 8:4 1:2 1:1 1:2 2:0 - -
5 day chg 1861:1525 69:70 19:11 10:2 1:2 2:0 4:0 2:0 - -
10 day chg 1837:1503 76:63 25:7 10:2 3:0 2:0 3:1 2:0 - -
25 day chg 1664:1486 94:42 25:6 12:0 2:0 2:0 4:0 2:0 - -
40 day chg 1483:1454 63:37 17:6 3:0 - 2:0 3:0 - - -
If you decide that you want to keep this as a filter, you need to copy and paste it from the backtesting section to a new filter.
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