nibor100
1,099 posts
msg #145882
- Ignore nibor100 |
1/6/2019 1:22:29 AM
@ksk8,
1. Here are the results of my SF historical checking filter of the 252 days preceding 12/28/2016:
a. 118 Trades, 76 winnners and 42 losers for a 64% win rate,
b. On 7/14,2016 out of the 5 trades signaled by your corrected filter that day:
OPTT lost -87% (which I believe exceeds your earlier challenge for me to find a loser > -70%),
and
both FTFT and SPU lost -57.29 (I believe there is a corrupt data problem in SF for SPU so I'd throw that one out of the results)
2. I've updated my copy of Amibroker with the TC2000 symbol data and am running the 14 year backtest of your shorting strategy overnight as running just the 2018 year took about 16 minutes. Hopefully, I'll have those results by breakfast time.
Ed S.
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nibor100
1,099 posts
msg #145884
- Ignore nibor100 |
1/6/2019 10:39:57 AM
@ksk8,
1. Results from my Amibroker backtest (which apparently ran in only 12 minutes) are:
a. 661 trades, 456 winners and 105 losers for 69% winners
Max Drawdown -12%,
Compounded Annual Return of 20.7%
Total profit 1,291%
It also found OPTT at -87%, and FTFT at -49% as losing trades on 7/15/2018 but no SPU.
Note that I used 10% portfolio equity for each individual stock short trade.
b. For comparison to my prior posted SF yearly results, this Amibroker backtest found:
2018, 163 trades, 121 winners and 42 losers
2017 142 trades, 102 winners and 40 losers
2016 96 trades, 60 winners and 36 losers
2015 46 trades, 30 winners and 16 losers
2014 33 trades, 25 winners and 8 losers
Clearly the SF stock universe is greater than TC2000's for lower priced stocks.
2. Regarding your last response to Mahkoh, I'm not following the logic of stating that a stock can't have a 100% gain in one day.
Your filter doesn't seem to have any criteria that would limit the potential 1 day gain for a stock and it seems to me that it would be entirely possible for an 11 cent stock to reach 22 cents in one day or even more.
Ed S.
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nibor100
1,099 posts
msg #145885
- Ignore nibor100 |
1/6/2019 11:56:16 AM
@ksk8,
1. Here are the my last results of my SF historical checking filter and they cover the 252 days preceding 12/28/2015:
a. 75 Trades, 53 winnners and 22 losers for a 71% win rate,
b. My SF historical checking filter returns 4 stocks whose trades are past the 999 day limit for looking at specific trade data(not sure why those 4 were allowed to appear)
Probably should subtract 4 from the total trades above, etc.
2. Since Mahkoh and I have backtested using 3 different data sets and are not finding winning percentages any higher than 75% or so:
a. Makes me wonder what stock data universe your 14 year backtest in Portfolio 123 was conducted upon.
and/or
b. Are you certain your corrected SF filter criteria exactly match the backtest stock selecting criteria you used in P123?
Maybe you used > = to .10 and < = to $10 instead of the >.10 and <$10 being used in your SF filter or something else is different because 95% is way different than 75% when you consider that the latest years data in SF should be fairly representative of the possible trades taken.
Thanks,
Ed S.
Ed S.
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KSK8
561 posts
msg #145913
- Ignore KSK8 |
1/8/2019 10:27:56 AM
Nibor,
Even though I don't believe some of those results may be accurate, I do suppose you defeated the mechanical prospect of it. But if only it could backtest and count the other factors I mentioned. Nevertheless, it still outperforms and I still feel it holds a degree of semi-invincibility-when utilizing the other components I mentioned especially when it is properly analyzed fundamentally.
I'll be making a thread soon that tracks the performance of it...After all, the proof is in the pudding!
Once again, I am no expert at utilizing S/R in SF code so I still ask others to contribute a heavy resistance component.
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nibor100
1,099 posts
msg #145914
- Ignore nibor100 |
1/8/2019 10:46:25 AM
This is a test,
I've uploaded a spreadsheet of backtest results for the period of Jan thru end of May 2018 to Flickr with link below:
https://flic.kr/p/2e1Ub47
Someone let me know if they can access it. If you can in most browsers if you hit CTRL + it will keep making the image larger.
Thanks,
Ed S.
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johnpaulca
12,036 posts
msg #145916
- Ignore johnpaulca |
1/8/2019 10:58:13 AM
no problem seeing it.
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KSK8
561 posts
msg #145917
- Ignore KSK8
modified |
1/8/2019 11:01:53 AM
INNT- reverse split
CPHI- didn't even happen?
HTBX- another reverse split
MARA- reverse split (even though it won)
DCAR- reverse split (even though it won)
NCTY- reverse split (even though it won)
---
Factoring in my additional rules I stated earlier in this thread;
No losses exceeded 20%, hmmmmmm.....
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nibor100
1,099 posts
msg #145920
- Ignore nibor100 |
1/8/2019 11:34:52 AM
@ksk8,
I'm unclear about your reverse split rule.
a. is it only not taken if the reverse split is the day before? week before?
or
b. Once a stock has had a reverse split you never take a trade in it again?
Thanks,
Ed S.
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nibor100
1,099 posts
msg #145921
- Ignore nibor100 |
1/8/2019 11:43:34 AM
@ johnpaulca,
Thanks for letting me know you could access the spreadsheet image file.
1. Apparently with a free Yahoo email account we get a free Flicker account for storing up to 1,000 images which after uploaded to Flickr will have a URL that will allow anyone to access the image.
2. The file I tested with was from an Edgerater Pro backtest of the KSK8 corrected shorting filter pasted into Excel and then copied with the Windows Snipping Tool and uploaded to my Public page in Flickr.
Please note that my data universe in Edgerater Pro has stocks that are adjusted for both splits and Dividends. Probably not a big effect on the prices for most of the stocks selected by his filter.
I'll have to work on what size spreadsheet pages to upload for immediate easy readability.
Ed S.
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KSK8
561 posts
msg #145922
- Ignore KSK8 |
1/8/2019 11:54:00 AM
Reverse stock splits that were announced within 8-9 months. Keep in mind, dilution on the stock never starts immediately. Regardless of how high it shoots up, it'll come down eventually but the crowd hype initiated from it is brutal on short sellers, hence why I avoid it....
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