psheridan050
52 posts
msg #46902
- Ignore psheridan050 |
9/13/2006 9:54:16 AM
Im working on a filter that has a Stop Loss of 9.49% and a Profit Stop of 14%. I havent gotten around to a trailing stop yet. Maximum Trades Per Day is 5
and Maximum Open Positions is 5. the filter trades stocks with a close between
$5.50 and $24.00 with Average Volume(30) above 1000000. Looking at the the results displayed to go, does it appear i have developed a worthy filter? Im a bit worried about the high stop loss of 9.49%. And average net change is only 1.54%. Any and all comments would be appreciated.
| Approach Information | | Approach Name: AAAA | | Test started on 09/10/2004 ended on 09/11/2006, covering 504 days | | Filter used: | | End of the Trend (down) (saved filter) |
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| Trade Statistics | | There were 223 total stocks entered. Of those, 223 or 100.00% were complete and or 0.00% were open. | | Of the 223 completed trades, 145 trades or 65.02%resulted in a net gain. | | Your average net change for completed trades was: 1.54%. | | The average draw down of your approach was: -1.78%. | | The average max profit of your approach was: 3.44% | | The Reward/Risk ratio for this approach is: 3.29 | | Annualized Return on Investment (ROI): 346.62%, the ROI of ^SPX was: 7.94%. |
| Exit Statistics | | Stop Loss was triggered 3 times or 1.35% of the time. | | Stop Profit was triggered 8 times or 3.59% of the time. | | Trailing Stop Loss was triggered 0 times or 0.00% of the time. | | You held for the maximum period of time ( days) 0 times or 0.00% of the time. | | An exit trigger was executed 212 times or 95.07% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 3 day chg | 4 day chg | 5 day chg | 10 day chg | | Winners: | 145 | 77 | 82 | 87 | 98 | 100 | | Losers: | 73 | 142 | 139 | 134 | 124 | 121 | | Win/Loss Ratio: | 1.99:1 | 0.54:1 | 0.59:1 | 0.65:1 | 0.79:1 | 0.83:1 | | Net Change: | 1.54% | -1.62% | -1.27% | -1.08% | -0.95% | -0.69% |
| Statistics By Variable: Match Price | | | <6 | <8 | <10 | <12 | <14 | <16 | <18 | <20 | <22 | <24 | | Completed | 5:1 | 9:1 | 9:3 | 14:2 | 11:6 | 12:9 | 19:11 | 21:18 | 24:10 | 21:12 | | 2 day chg | 0:6 | 1:10 | 4:8 | 3:13 | 6:11 | 11:9 | 10:20 | 18:22 | 10:24 | 14:19 | | 3 day chg | 1:5 | 2:9 | 4:8 | 2:14 | 10:8 | 12:9 | 10:21 | 15:24 | 9:25 | 17:16 | | 4 day chg | 2:4 | 2:9 | 5:7 | 2:14 | 9:9 | 9:12 | 12:20 | 19:20 | 12:21 | 15:18 | | 5 day chg | 2:4 | 3:8 | 7:5 | 4:12 | 10:8 | 8:13 | 13:19 | 23:17 | 11:22 | 17:16 | | 10 day chg | 1:5 | 3:8 | 4:7 | 3:12 | 12:6 | 8:13 | 13:19 | 23:17 | 14:20 | 19:14 |
| Statistics By Variable: Average Volume | | | <15.0M | <30.0M | <45.0M | <60.0M | <75.0M | <90.0M | <105.0M | <120.0M | <135.0M | <150.0M | | Completed | 140:71 | 3:2 | - | - | - | - | 1:0 | - | 1:0 | - | | 2 day chg | 74:138 | 3:2 | - | - | - | - | 0:1 | - | 0:1 | - | | 3 day chg | 78:136 | 3:2 | - | - | - | - | 1:0 | - | 0:1 | - | | 4 day chg | 82:132 | 3:2 | - | - | - | - | 1:0 | - | 1:0 | - | | 5 day chg | 93:122 | 3:2 | - | - | - | - | 1:0 | - | 1:0 | - | | 10 day chg | 96:118 | 3:2 | - | - | - | - | 1:0 | - | 0:1 | - |
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traderblues
195 posts
msg #46903
- Ignore traderblues
modified |
9/13/2006 10:40:51 AM
2 comments:
1. Your stop loss and profit stop are really a non-factor. Between the two, they only accounted for less than 5% of total trades. Maybe try lowering your profit stop a little bit.
2. You only have 223 trades in two years, that averaged 1.54% per trade. That is about 2 trades per week. If you are trading 200k, and splitting your money into 5 parts, each trade would make you $616, so you'd make about $1,232 per week. If you look at the first graph, you rarely get up to 5 positions. Most of the time you have 2 or less positions at any one time. Try making your filter a little less restrictive to let in a few more stocks.
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