| StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO | << 1 ... 18 19 20 21 22 >>Post Follow-up |
| VenturaTrader 44 posts msg #109137 - Ignore VenturaTrader |
12/5/2012 9:58:55 PM Yes, no holy grail and indeed the filter misses; that's the reason a 3% trailing stop is built in. This also reduces the stress of major drawdowns. |
| Kevin_in_GA 4,599 posts msg #109138 - Ignore Kevin_in_GA |
12/6/2012 12:09:59 AM Kevin_in_GA 2,549 posts msg #108696 11/6/2012 12:49:55 PM Please look at the stats I posted for this filter (on the first page of this thread). The win % is only 53% and the average return a little over 1% per trade. I personally am not trading this one, as I have posted previously. This was an interesting system and one that others can use or modfy as needed. I'm trading from my Divergence filters instead since I am happier winning more often with lower drawdowns even at the expense of possibly higher gains at the end. How often does the filter make the right call? 53% of the time. To say that it trades backwards is fine - good luck in that endeavor (not being sarcastic). Higher win rates provides a level of comfort. If that is what you want then I would suggest looking at the divergence filters I posted a while back. That is what I am using. |
| jackmack 334 posts msg #109814 - Ignore jackmack modified |
1/2/2013 6:50:00 PM Kevin Just curious - had you ever run this filter on a set list of stocks to see if any returned greater returns than itself in a buy and hold scenario (example being the DOW30 or the S&P500) - by this I mean there are less volatile stocks that might trade within a range (or channel) and if those stocks were filtered out through back testing it might shed light on other fruit to be picked :-) If those stocks that trade in a range or channel this cross over rule could apply to those that are discovered in back testing. Guess what I am driving at is using this filter on the stocks in the S&P500 or DOW30 are there stocks that exhibit a greater propensity to show up and allow for greater gains than others since they may be less volatile and allow for entry long than short then long again if trading in a range - that is what I meant to ask above Thank you Cheers |
| jackmack 334 posts msg #113261 - Ignore jackmack |
5/10/2013 9:23:06 AM Kevin - good morning I was wondering if you wouldn't mind running this filter set in SS as I do not have and SF only seems to pick up SSO and blows out back test data. Your current set up is (5,1,5) (5,1,10) but I was wanting to see how (5,1,5) (5,1,14) did in comparison on a side by side back test as you have listed on the first page. Very sorry to have to ask for this. Thank you in advance if you complete - if not I also understand. |
| Kevin_in_GA 4,599 posts msg #113274 - Ignore Kevin_in_GA |
5/10/2013 11:23:42 AM You know that this wins only 53% of the time, right? And that the divergence filters (Pangolin D on Collective2) are much more reliable? I'll run the comparison this weekend, but would still advise you to look at consistent win rates like those seen with the divergence filters. |
| jackmack 334 posts msg #113280 - Ignore jackmack |
5/10/2013 12:47:25 PM Kevin I agree COMPLETELY and I am in NO way challenging the win rate - I am merely curious as I cannot test the data here in SF. Thank you for doing this. |
| Kevin_in_GA 4,599 posts msg #113281 - Ignore Kevin_in_GA |
5/10/2013 1:30:54 PM Ok, just making sure! |
| jimmyjazz 102 posts msg #113313 - Ignore jimmyjazz |
5/11/2013 4:43:57 PM Kevin, I'm not sure what the adjective is -- maybe "robustness"? -- but how do you assess the effect of a slight shift in win rate for these methods that are very close to 50/50? Perhaps it's an issue with all systems, but if I go from 53/47 to 52/48, that seems like it could lead to a HUGE drop in returns. |
| fortyfour 189 posts msg #113319 - Ignore fortyfour modified |
5/11/2013 8:25:03 PM Jimmy jazz , Simple... The best thing you can do here is to learn the basics of the stockfetcher backtester and Excel. Download the TRADES from the SF backtester into Excel and learn to do these calculations in Excel. Example is.....if avg win is $60 and avg loss is $40 and system is 50/50% and there are 100 trades totally then you have a gross of $3000 won , gross $2000 lost for a net profit of $1000. Now if 51/49% and all else stays the same the gross profit is $3060 and gross loss is $1960 for a net profit of $1100. If 1000 trades total then net profit would change from $10,000 to $11,000 if system change from 50/50 to 51/49 I asked Kevin something elsewhere but the bottom line is I can do all the work myself too. I agree it's just easier to Ask hen you are watching an NBA double header. Good luck. Gotta love iPads. Ps: barring any simple arithmetic errors I learned something here as I wouldn't give a 50/50 compared to 51/49 system too much thought in my testing but damn a 10% profit difference is indeed significant. The simple assumption of a 50/50 system with a 60/40 avg win/ avg loss is not extreme but maybe 55/45 better. Definitely a lot of value getting dirty with simple data iin Excel. |
| Kevin_in_GA 4,599 posts msg #113320 - Ignore Kevin_in_GA |
5/11/2013 9:10:58 PM From a previous post I did a while back - relevant here: What is important is not win % but the expectancy of the filter, meaning the average profit per trade one can anticipate based on using this approach versus others. An example to help clarify this - We have two systems that we can use, one which results in a winning trade 40% of the time and one which results in a winning trade 80% of the time. If this is all you know about each system, then the obvious choice for people is to go with the system that wins more often. But now we learn that when it wins, the 40% system returns 15% on every winning trade, and loses 3% on every losing trade. In contrast, the 80% system returns 3% on every winning trade but loses 15% on each losing trade. Now which system would you go with? Intuitively, you might still stick with the 80% system, but let's now look at the numbers more closely: $10000 x (0.8*0.03) - $10000 x (0.2*0.15) = 240 - 300 = -$60 per trade on average And let's look at the 40% system as well: $10000 x (0.4*.15) - $10000 x (0.6*.03) = 600 - 180 = +$420 per trade on average Are things becoming a little clearer? At this point it becomes very obvious that you are probably going to lose money on the 80% winning system with every trade you place. I'd usually now talk about frequency of trades as the next key point (obviously with two profitable systems you need to look at how often one has the option to make money and multiply the average profit per trade by the frequency of trades), but since one is negative expectancy there is no real need. Money management is different from the above - that usually is about trade sizing, stops, etc. Expectancy is what one needs to understand before placing ANY trade. |
| StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO | << 1 ... 18 19 20 21 22 >>Post Follow-up |
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