fortyfour
189 posts
msg #101243
- Ignore fortyfour
modified |
6/14/2011 2:51:54 AM
Tradeoff........ Maybe this (or any other ?) "market weakness" test wouldnt kill the performace
by too much.......reduce drawdowns......maintain a decent sharpe ratio and allow
more individuals (with lower risk tolerances) to trade the system at all times.
There is an area where the market is weak (walking lower bb's) yet leaders have a long way to fall to ma(200)..
that may produce many consecutive losses? or ... Maybe not. I know it hurts equity but I dont know how well
it reduces drawdown...
PS: Try this::: user Stockfetchers backtester for Kevins filter from 5/15/2008 - 7/15/2008 ( Downtrend where SP500 lost
about 4%) . The system made about $3000 on an initial 100K during that 2 month period. That is indeeed surprising !
Make a filter of just "symlist(spy)" and use HISTORICAL to look at that period before the meltdown.
I
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shainadir
25 posts
msg #101246
- Ignore shainadir |
6/14/2011 1:48:10 PM
Kevin,
Great work by the way.
Not sure if this is considered curve fitting, but using the highest correlation instead of lowest z-score in my backtests on stockfetcher have been producing slightly better equity results. I use the statement, select by corr(^spx,10,Close) descending" for the selection method. Can anyone test this on Stratasearch? Thanks.
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Kevin_in_GA
4,599 posts
msg #101247
- Ignore Kevin_in_GA |
6/14/2011 4:24:25 PM
shainadir:
I can check this tonight. Odds are that the differences will be small over the 10 year period tested.
I cannot use StrataSearch to put together a pair trade for these stocks (with SH as the other half). It's not really set up to do that type of analysis. Obviously that strategy would be useful, but would probably result in a lower overall profit since much of the time the market went up (slowly) versus down (rapidly).
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novacane32000
331 posts
msg #101260
- Ignore novacane32000 |
6/15/2011 7:27:09 PM
Does anyone know what the time delay is on the SF filters?
At 4:40 pm the Zscore filter showed 6 or 7 stocks. Now at 7:20pm it only shows 3 ??
Same with the exit filter. None at 4:40pm ,at 7:20 pm it shows one.
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duke56468
683 posts
msg #101261
- Ignore duke56468 |
6/15/2011 8:17:29 PM
- Ignore novacane32000 6/15/2011 7:27:09 PM
Does anyone know what the time delay is on the SF filters?
++++++++++++++++++++++++++++++++++++++++
SF offers 2 e-mail times 6PM and 9PM(to allow for corrections and final data)
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saico
59 posts
msg #101300
- Ignore saico |
6/20/2011 3:00:39 PM
Hi Kevin,
first of all thanks for the great work! I wonder if its possible to imply to the exit filter a code that gives an exit signal after the 20 days maximum holding time passed by?
saico
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Kevin_in_GA
4,599 posts
msg #101302
- Ignore Kevin_in_GA |
6/20/2011 7:47:18 PM
Saico:
Unfortunately this cannot be done in SF. You would have to track this manually.
Kevin
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lvainik
52 posts
msg #101304
- Ignore lvainik |
6/21/2011 11:02:03 AM
Kevin:
I had a question
could you email me at TWEETss (at)dashover.com
Thanks!
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duke56468
683 posts
msg #101305
- Ignore duke56468
modified |
6/21/2011 5:04:07 PM
Backtesting seemed to show less success in an up trending market than in a down trending one, for Kevins original filter so I tried this SHORT version. It seems to work for SHORTs with some modification (removed w%r). Any thoughts?
(edit AFTER FURTHER BACKTESTING IT DIDN'T WORK AS WELL)
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Kevin_in_GA
4,599 posts
msg #101333
- Ignore Kevin_in_GA |
6/23/2011 9:42:36 PM
Update on this filter performance - I backtested from 2/23/11 through today's close. All positions closed at the end of the backtest.
Here is this week's performance:
06/20/11
06/20/11 sold (Trigger #) 474.73 shares ($11312.81) of CBG at 23.83 for a loss of $47.47
06/20/11 bought 152.54 shares ($11266.63) of CTXS at 73.86, remaining cash: $67599.78
06/20/11 bought 46.58 shares ($11266.63) of NFLX at 241.86, remaining cash: $56333.15
Transaction Summary
Daily Losses : $47.47
Running Gain/(Loss) : $13027.06
# Stocks held at end of day : 5
Summary
Invested In Stock: $56693.91
Market Value of Stock: $56310.76
Market Value - Invested: - $383.16
Available Cash: $56333.15
Total (Cash + Market): $112643.91
--------------------------------------------------------------------------------
06/21/11
No Transactions
Transaction Summary
Running Gain/(Loss) : $13027.06
# Stocks held at end of day : 5
Summary
Invested In Stock: $56693.91
Market Value of Stock: $58147.13
Market Value - Invested: $1453.22
Available Cash: $56333.15
Total (Cash + Market): $114480.28
--------------------------------------------------------------------------------
06/22/11
06/22/11 sold (Trigger #) 260.89 shares ($11450.53) of ALTR at 43.89 for a gain of $10.44
06/22/11 sold (Trigger #) 406.01 shares ($11632.31) of IP at 28.65 for a gain of $272.03
Transaction Summary
Daily Gains : $282.47
Running Gain/(Loss) : $13309.53
# Stocks held at end of day : 3
Summary
Invested In Stock: $33893.54
Market Value of Stock: $34662.79
Market Value - Invested: $769.25
Available Cash: $79415.99
Total (Cash + Market): $114078.78
--------------------------------------------------------------------------------
06/23/11
06/23/11 bought 159.41 shares ($11345.14) of BA at 71.17, remaining cash: $68070.85
06/23/11 sold (Trigger #) 395.69 shares ($11312.80) of CHK at 28.59 for a loss of $47.48
06/23/11 sold 152.54 shares ($11768.49) of CTXS at 77.15 for a gain of $501.86
06/23/11 sold 46.58 shares ($11912.27) of NFLX at 255.72 for a gain of $645.64
06/23/11 sold 159.41 shares ($11357.89) of BA at 71.25 for a gain of $12.75
Transaction Summary
Daily Gains : $1160.25
Daily Losses : $47.48
Running Gain/(Loss) : $14422.30
# Stocks held at end of day : 0
Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $114422.30
Total (Cash + Market): $114422.30
Net gain over the last 4 months was +14.4% (unfortunately SF does not take out commission costs - at $8.95 per trade the commission costs were $2183.80, so the actual gain was more like 12.2%).
There were 122 total stocks entered. Of those, 122 or 100.00% were complete and or 0.00% were open.
Of the 122 completed trades, 78 trades or 63.93% resulted in a net gain.
Your average net change for completed trades was: 1.12%.
The average draw down of your approach was: -2.76%.
The average max profit of your approach was: 2.82%
The Reward/Risk ratio for this approach is: 2.65
Annualized Return on Investment (ROI): 55.97%, the ROI of ^SPX was: -7.14%.
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