push5280
201 posts
msg #82021
- Ignore push5280 |
10/29/2009 12:14:59 PM
crunk,
I appreciate your input, I am looking at all of the hits from 1/1/09 to today, I just haven't made it that far back yet. I will post updates as I make progress.
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push5280
201 posts
msg #82078
- Ignore push5280 |
10/29/2009 10:51:48 PM
ok so I have now manually checked ALL 911 hits that this screen had between 1/1/09 and 10/14/09. here are the results
@trendscanner....
overall 911 hits
14 losing trades ...avg loss of -1.68% per trade, average of 2 days held, losing trades were 1.54% of total
17 trades were a wash..... wash trades were 1.87% of total
880 trades were winning trades....avg return of 30.66% per trade, avg. of 7 days held, winning trades were 96.6%
@crunkle
from 1/1/09 - 2/28/09
371 hits
11 losing trades....avg loss of 1.31% per trade, avg of 3 days held, losing trades were 2.97% of total for period
8 trades were a wash.....wash trades were 2.16 of total for period
352 were winning trades. avg return of 19.50%, and an avg of 5 days held
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crunkle
54 posts
msg #82089
- Ignore crunkle |
10/30/2009 12:05:12 AM
push,
Copied and pasted your filter so I could backtest from 1/01 - 2/28. Here are the results using the same default settings that you also used (10% profit & loss stops, 25 day holding, etc.). Something isn't jiving.
Approach Name: TEST 4
Test started on 01/02/2009 ended on 02/27/2009, covering 38 days
Filter used:
TEST 4 (saved filter)
Trade Statistics
There were 262 total stocks entered. Of those, 210 or 80.15% were complete and 52 or 19.85% were open.
Of the 210 completed trades, 81 trades or 38.57%resulted in a net gain.
Your average net change for completed trades was: -1.87%.
The average draw down of your approach was: -10.92%.
The average max profit of your approach was: 10.44%
The Reward/Risk ratio for this approach is: 0.70
Annualized Return on Investment (ROI): -305.08%, the ROI of ^SPX was: -120.86%.
Exit Statistics
Stop Loss was triggered 129 times or 61.43% of the time.
Stop Profit was triggered 81 times or 38.57% 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) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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crunkle
54 posts
msg #82091
- Ignore crunkle |
10/30/2009 12:09:28 AM
Ran it again but as a short filter. Did much better. Although almost any short filter would have performed well during that period.
Approach Name: TEST 4
Test started on 01/02/2009 ended on 02/27/2009, covering 38 days
Filter used:
TEST 4 (saved filter)
Trade Statistics
There were 262 total stocks entered. Of those, 210 or 80.15% were complete and 52 or 19.85% were open.
Of the 210 completed trades, 119 trades or 56.67%resulted in a net gain.
Your average net change for completed trades was: 0.92%.
The average draw down of your approach was: -10.44%.
The average max profit of your approach was: 10.92%
The Reward/Risk ratio for this approach is: 1.19
Annualized Return on Investment (ROI): 149.74%, the ROI of ^SPX was: -120.86%.
Exit Statistics
Stop Loss was triggered 91 times or 43.33% of the time.
Stop Profit was triggered 119 times or 56.67% 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) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
gain as a short. Did much better (although almost any short filter would have had success during that period)
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