corsino
259 posts
msg #36810
- Ignore corsino |
7/9/2005 7:55:25 PM
| Approach Information | | Approach Name: ERSI/ RSI/ COG | | Test started on 12/31/2004 ended on 07/08/2005, covering 130 days | | Filter used: | | ERSI/ RSI/ COG (saved filter) |
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| Trade Statistics | | There were 369 total stocks entered. Of those, 364 or 98.64% were complete and 5 or 1.36% were open. | | Of the 364 completed trades, 218 trades or 59.89%resulted in a net gain. | | Your average net change for completed trades was: 5.69%. | | The average draw down of your approach was: -6.80%. | | The average max profit of your approach was: 13.71% | | The Reward/Risk ratio for this approach is: 3.19 | | Annualized Return on Investment (ROI): 466.94%, the ROI of ^IXIC was: -5.76%. |
| 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 (3 days) 364 times or 100.00% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 1 day chg | 2 day chg | 3 day chg | 4 day chg | 5 day chg | | Winners: | 218 | 213 | 226 | 230 | 229 | 218 | | Losers: | 125 | 120 | 123 | 117 | 117 | 132 | | Win/Loss Ratio: | 1.74:1 | 1.77:1 | 1.84:1 | 1.97:1 | 1.96:1 | 1.65:1 | | Net Change: | 5.69% | 3.09% | 4.74% | 5.94% | 5.57% | 5.63% |
| Statistics By Variable: Match Price | | | <0.6 | <0.8 | <1 | <1.2 | <1.4 | <1.6 | <1.8 | <2 | <2.2 | <2.4 | | Completed | 37:20 | 40:20 | 36:18 | 30:11 | 20:19 | 22:11 | 20:14 | 13:12 | - | - | | 1 day chg | 34:17 | 49:12 | 39:15 | 22:18 | 18:17 | 18:14 | 22:13 | 11:14 | - | - | | 2 day chg | 43:13 | 45:18 | 36:19 | 27:16 | 19:20 | 21:11 | 21:14 | 14:12 | - | - | | 3 day chg | 42:14 | 44:19 | 36:21 | 31:11 | 21:18 | 21:10 | 21:12 | 14:12 | - | - | | 4 day chg | 40:16 | 42:19 | 37:19 | 32:11 | 21:18 | 20:11 | 21:13 | 16:10 | - | - | | 5 day chg | 41:15 | 42:21 | 37:18 | 28:15 | 20:19 | 18:15 | 19:16 | 13:13 | - | - |
| Statistics By Variable: Average Volume | | | <2.0M | <4.0M | <6.0M | <8.0M | <10.0M | <12.0M | <14.0M | <16.0M | <18.0M | <20.0M | | Completed | 208:120 | 3:3 | 1:1 | 2:0 | 2:1 | - | 1:0 | 1:0 | - | - | | 1 day chg | 203:116 | 3:3 | 2:0 | 1:1 | 2:0 | - | 1:0 | 1:0 | - | - | | 2 day chg | 215:119 | 4:2 | 1:1 | 2:0 | 2:1 | - | 1:0 | 1:0 | - | - | | 3 day chg | 220:113 | 3:3 | 1:0 | 2:0 | 2:1 | - | 1:0 | 1:0 | - | - | | 4 day chg | 219:111 | 3:4 | 1:1 | 2:0 | 2:1 | - | 1:0 | 1:0 | - | - | | 5 day chg | 208:126 | 3:4 | 2:0 | 1:1 | 2:1 | - | 1:0 | 1:0 | - | - |
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BigOh
23 posts
msg #36817
- Ignore BigOh |
7/10/2005 10:11:32 AM
Just curious, what was your entry, exit and pullback settings at
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corsino
259 posts
msg #36820
- Ignore corsino |
7/10/2005 12:10:10 PM
No stop loss nor stop profit percentages were used. Only a 3-day holding period, although it works well for other periods up to 5 days. Like most TA filters, the results probably deteriorate after that.
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corsino
259 posts
msg #36821
- Ignore corsino |
7/10/2005 12:27:13 PM
Although I haven't done extensive tracking, it seems that the SECOND time a stock appears on the list within a week, may be a better time to buy it. But that may be a short-term anomaly.
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