| StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER) | << 1 ... 3 4 5 6 7 ... 43 >>Post Follow-up |
| shainadir 25 posts msg #101218 - Ignore shainadir |
6/12/2011 3:24:28 PM FortyFour Even with a lower ROI, I would expect that Kevin's orignal filter would have a better bottom line cash result due to the fact that his filter produced more trades. |
| duke56468 683 posts msg #101220 - Ignore duke56468 |
6/12/2011 4:00:15 PM In the backtest if I leave the "selection method" blank will SF choose the stocks in the order of the filter selection or do I have to write in a selection method?? |
| fortyfour 189 posts msg #101221 - Ignore fortyfour modified |
6/12/2011 4:31:25 PM Shainadir, Thanks for pointing that out to me. The 15% width is extreme and I shouldnt have posted it as such. A better method (eliminate about 160 SP500 stocks... everyone of those Electric Utilities etc..) , yet, include the likes of APPL...... change the 99 day average bb width to 7% . It now yeilds equity of $200,526 with 342 trades (approx 160 low volatility SP500 stocks eliminated) The "original" master ( and I do mean that ! ) yeilds $183,700 with 515 trades This would be a much more reasonable "look" in StrataSearch than the 15% bb filter. Thanks. Kevins exit of Zscore above -1 is used as well. PS. The display regarding BB's (width etc..) on the SP500 is posted below if anyone is interested... PS. #2 Side by side comparisons within stockfetchers backtesting feature( never used this much) show that cash(equity) was increased in method #2 mostly by changing(unintentionally) the max open positions to 6f(from 10) and max daily entries to 3(from 5) Setting to 10 and 5 as it is in study #1... the volatility exclusion reduced trades from 505 to 480 (not much) and cash was nearly the same... I should leave this type of analysis to others... *************************************************************************************** Statistics · Performance Chart · Trades · Equity Summary new! · System Summary · Edit Backtests · Backtest Forum · Help Approach Information Approach Name: kevin_wide_bb_width Test started on 06/10/2009 ended on 06/10/2011, covering 505 days Filter used: Market is sp500 /*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/ SET{PRICERATIO, CLOSE / IND(^SPX,CLOSE)} SET{RATIOMA16, CMA(PRICERATIO,16)} SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)} SET{DIFF16, PRICERATIO - RATIOMA16} SET{ZSCORE16, DIFF16 / RATIOSTD16} ZSCORE16 BELOW -2 WILLIAMS %R(16) BELOW -94 CLOSE BELOW LOWER BOLLINGER BAND(16,2) CLOSE ABOVE MA(200) ADD COLUMN WILLIAMS %R(16) /* 99 DAY AVERAGE BOLLINGER WIDTH */ set{hh, bollinger width(16,2)} set{width_per, hh * 100} set{wsum, sum(width_per,99) } set{99_width_avg%, wsum/99} add column 99_width_avg% 99_width_avg% > 7 sort column 6 descending Trade Statistics There were 342 total stocks entered. Of those, 336 or 98.25% were complete and 6 or 1.75% were open. Of the 336 completed trades, 233 trades or 69.35%resulted in a net gain. Your average net change for completed trades was: 1.33%. The average draw down of your approach was: -3.50%. The average max profit of your approach was: 3.30% The Reward/Risk ratio for this approach is: 2.51 Annualized Return on Investment (ROI): 60.00%, the ROI of ^SPX was: 17.03%. 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 (20 days) 0 times or 0.00% of the time. An exit trigger was executed 336 times or 100.00% of the time. *************************************************************************************** |
| 03bsbme 20 posts msg #101226 - Ignore 03bsbme |
6/12/2011 7:41:21 PM What would you use for a stop loss or exit if it goes against you? Some of these have drawdowns of more than 20%. Perhaps if the zscore falls more (ie from -2 to -3)? |
| novacane32000 331 posts msg #101228 - Ignore novacane32000 |
6/12/2011 9:57:37 PM 03 The best exit is a cross above -1 Zscore. I backtested with a 5%,7% and 10% stop. Also tried exits after 5 days and 10 days . Only during a few isolated time periods were these exits better. At this point ,I am only using the Zscore exit. |
| Kevin_in_GA 4,599 posts msg #101229 - Ignore Kevin_in_GA |
6/12/2011 10:24:00 PM What would you use for a stop loss or exit if it goes against you? Some of these have drawdowns of more than 20%. Perhaps if the zscore falls more (ie from -2 to -3)? +++++ Two options - double down and increase your positions on both sides, recognizing that now the attractiveness of this pair is even higher, or cut your loss and move to another pair trade. No system can avoid the occasional bad trade. One of the reasons I built in a maximum holding period was to mitigate these types of situations, since nothing prevents them entirely. I looked at adding a second exit criteria of "zscore(16) < -3" and allowed the maximum days held to vary. The stats are essentially unchanged, but you get a very slight improvement when you reduce the max holding period to 16 days from 20. This argues that if you were to "double down" when the zscore(16) went south of -3, you would basically make more money than cutting your losses. Kevin |
| novacane32000 331 posts msg #101235 - Ignore novacane32000 modified |
6/13/2011 5:31:56 PM Here is a strategy that may help with slippage without hurting performance results. Buy with a limit order (use your discretion here .25%, .50%, 1%) at the open the day after a signal. I am using a max portfolio of 7 since my acct is not so big but this should work fine with 10 also. There are enough signals generated daily that if your order does not get filled one day you can enter a limit order the next day on another signal. I will need to review trades on previous backtest to determine how often you would get filled and more importantly how often you will miss on a pick that takes off . For now, here are my current holdings with the % limit below the open I could have used and still got a fill. GT 1% THC .25% LO 1% ANF 1% WM (Probably would not have been filled .20%) KIM 1% ALTR 1% 5 OF 7 would have been filled at a better price using a limit order 1% below the open. THC did not drop much from the opening price. WM –tough fill, only dropped .03 from the open I’m sure many of you do this as common practice. I have always entered w/ a market order. |
| Kevin_in_GA 4,599 posts msg #101237 - Ignore Kevin_in_GA |
6/13/2011 6:36:29 PM Follow up - 2 exits triggered today: LO - entry at 97.00, closed trade today at 101.57 (+4.71%) R - entry at 50.71, closed trade today at 50.90 (+0.37%) Replace these two with CHK and IP at the open price tomorrow. |
| duke56468 683 posts msg #101239 - Ignore duke56468 |
6/13/2011 8:39:42 PM four or anyone....do you know this answer? In the backtest if I leave the "selection method" blank will SF choose the stocks in the order of the filter selection or do I have to write in a selection method?? |
| Kevin_in_GA 4,599 posts msg #101240 - Ignore Kevin_in_GA |
6/13/2011 9:16:47 PM I use the following: SET{PRICERATIO, CLOSE / IND(^spx,CLOSE)} SET{RATIOMA16, CMA(PRICERATIO,16)} SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)} SET{DIFF16, PRICERATIO - RATIOMA16} SET{ZSCORE16, DIFF16 / RATIOSTD16} SET{THRESHOLD16, RATIOSTD16 * 2} select by zscore16 ascending This insures that the stocks with the lowest z-score are chosen ahead of any others. |
| StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER) | << 1 ... 3 4 5 6 7 ... 43 >>Post Follow-up |
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