unbias123
9 posts
msg #104579
- Ignore unbias123 |
1/21/2012 7:35:14 PM
Hi Kevin
This is a nice filter. I just want to be sure that people understand the limitations of SF backtesting, and try to focus on the Equity Summary rather than the annualized ROI% (which to me is meaningless).
________________
Could you please explain me why Annualized ROI% does not reconcile with ending Equity.
Thanks for your time.
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fortyfour
189 posts
msg #104581
- Ignore fortyfour |
1/21/2012 7:59:43 PM
Kevin has done great work along these lines with Zscore16.
Levamit has come up system with great potential.
Others too.
JudgeTrade was a trader/ poster that I have found on these forums...he had experience trading these types of
systems( he was more of a 1-3 dollar range "Rsi(2) guy" ) You can do a search on him if you like.....interesting.
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duke56468
683 posts
msg #104582
- Ignore duke56468 |
1/21/2012 8:27:45 PM
Levamit..Thanks for sharing your filters. Which version of the filter do you feel back tested the best?
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levamit
101 posts
msg #104585
- Ignore levamit |
1/22/2012 2:57:11 AM
Hi Kevin,
You do not have to used with all your capital to make money you can use only at 30% or 40%.
So you're risking less and still gaining profits.
Regards,
L.A
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levamit
101 posts
msg #104587
- Ignore levamit
modified |
1/22/2012 8:18:31 AM
Hi duke56468,
I am work with the last one.
This filter is also very strong in hard times should just stick to it and can work well on any market condition.
I know that sometimes you see a stock that falls so deep and you say that only crazy people buy in this state.
So I like to buy such a strong fallings because in this situation the stocks are also getting up strongly for few days .
You can see it a lot on the stock market.
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 2
Maximum Open Positions: 5
Maximum Selected Stocks: 2
Close all OPEN positions: Yes
L.A
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Billirider321
62 posts
msg #104592
- Ignore Billirider321 |
1/22/2012 10:04:45 PM
couple of things I have done.
1. I have relaxed the volume condition to > 100000 that made it pick more trades.
500 trades from
Approach Name: Buy Stock or call Holding 2 days max filter_levami...
Test started on 12/31/2009 ended on 12/30/2011, covering 504 days
Holding only 2 days. One thing I see is its only picking low values stock mostly less than 10 dollars.
here are the results -
There were 502 total stocks entered. Of those, 501 or 99.80% were complete and 1 or 0.20% were open.
Of the 501 completed trades, 275 trades or 54.89%resulted in a net gain.
Your average net change for completed trades was: 1.30%.
The average draw down of your approach was: -5.88%.
The average max profit of your approach was: 6.77%
The Reward/Risk ratio for this approach is: 1.50
Annualized Return on Investment (ROI): 160.63%, the ROI of ^SPX was: 5.70%.
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 (2 days) 501 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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jsheetz
23 posts
msg #104619
- Ignore jsheetz |
1/24/2012 3:46:47 PM
Looks like DYN is showing up on the 2 day version.
I like the looks of the charts personally as well for a decent bounce... seems like it is making a swing bottom. Trading at 2.09 currently
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tombrown1
61 posts
msg #105167
- Ignore tombrown1
modified |
2/28/2012 1:07:34 AM
Just did a bunch of work on levamit's two strategies. The one in this thread appears to be inferior to the one located in this thread:
http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=104059&qrid=
Percentage gains (from equity summary) from 2-27 to 2-27 each year on this current strategy (hold 2 days)
11-12: 55%
10-11: 101%
9-10: 423%
8-9: 894%
7-8: 34%
6-7: 32%
5-6: 92%
4-5: 93%
3-4: 96%
2-3: 28%
Same dates on the older strategy (I am using the version where you hold for 3 days and don't take the 2% profit):
11-12: 38%
10-11: 185%
9-10: 540%
8-9: 421%
7-8: 59%
6-7: 85%
5-6: 399%
4-5: 177%
3-4: 343%
2-3: 917%
Forty-four added a revision to this thread's method and it performed like this (with a 3-day hold - I know you said to try some different exits - I haven't yet)
11-12:102%
10-11: 12%
9-10: 148%
8-9: 268%
7-8: 61%
6-7: 17%
5-6: 33%
4-5: 43%
3-4: 40%
2-3: 179%
Winners are:
levamit's strategy in this thread: 2008-2009
same strategy altered by forty-four: 2011-2012, and 2007-2008
levamit's old strategy: the other 7 years
Levamit, not sure why you think this strategy is an improvement over your previous one. You mentioned options, which I know very little about - maybe this one trades better with options?
TB
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levamit
101 posts
msg #105170
- Ignore levamit |
2/28/2012 3:46:18 PM
Hello TB,
Actually I prefer to trade in shares than options in this strategy.
Does not always have enough volume in options. And profits from shares are most attractive in this strategy.
Regards,
LA
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dangrzywacz
7 posts
msg #105171
- Ignore dangrzywacz |
2/28/2012 3:48:40 PM
has anyone ever tried to trade this? I would imagine the SF backtest return results are coming back with data based on the stock performance? Has anyone simulated/tested it with the options? I would imagine you would have to purchase in the money call options for this to work properly?
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