jnafach
74 posts
msg #77927
- Ignore jnafach |
8/25/2009 8:12:33 AM
Well the difference maybe because the exit seems to be the next day at open , after it moves above the lines, and not at the close of the same day
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Kevin_in_GA
4,599 posts
msg #77936
- Ignore Kevin_in_GA |
8/25/2009 9:36:25 AM
The only "non-standard" setting I am using is that I am keeping the maximum number of open positions at 100, rather than 250. Still keeping it at 25 max trades per day. Given that I look at trading costs as well, a $400 investment (the usual amount when the max open positions setting is 250) means that I have to make a minimum of 5% to cover trading costs. At $1000, it's only 2%.
Still selecting by volume descending - this may also affect which stocks are selected.
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chetron
2,817 posts
msg #77961
- Ignore chetron |
8/25/2009 6:22:00 PM
OK, USING ONE OF YOUR DATES....
AND THE 100 OPEN MAX....
Name Created Start Date End Date Win(%) Lose(%) W/L Ratio Reward/Risk ROI(%)
kevin ga 8/25/2009 12/1/2008 4/1/2009 28% 72% 0.38:1 0.31 -190.77%
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Eman93
4,750 posts
msg #77965
- Ignore Eman93 |
8/25/2009 8:58:07 PM
Nice work........
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Kevin_in_GA
4,599 posts
msg #77973
- Ignore Kevin_in_GA |
8/25/2009 10:46:25 PM
Chet:
I'm not questioning you - but here's what I get doing the same time period:
12/1/2008 4/1/2009 73% 27% 2.67:1 2.40 32.18%
WHAT IS GOING ON HERE?
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Kevin_in_GA
4,599 posts
msg #77974
- Ignore Kevin_in_GA |
8/25/2009 10:48:12 PM
Here's all the data:
Approach Name: BOLLINGER BAND(16,2.5) STRATEGY
Test started on 12/01/2008 ended on 04/01/2009, covering 83 days
Filter used:
CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5)
and close is above open
and close is above 1
and average volume(50) is greater than 100000
Trade Statistics
There were 87 total stocks entered. Of those, 11 or 12.64% were complete and 76 or 87.36% were open.
Of the 11 completed trades, 8 trades or 72.73%resulted in a net gain.
Your average net change for completed trades was: 3.94%.
The average draw down of your approach was: -22.31%.
The average max profit of your approach was: 12.92%
The Reward/Risk ratio for this approach is: 2.40
Annualized Return on Investment (ROI): 32.18%, the ROI of ^SPX was: -25.96%.
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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 11 times or 100.00% of the time.
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Kevin_in_GA
4,599 posts
msg #77975
- Ignore Kevin_in_GA |
8/25/2009 10:50:26 PM
Here's all the specs - are we trading on the same system?
Entry Filter
CLOSE IS BELOW LOWER BOLLINGER BANDS(16,2.5)
and close is above open
and close is above 1
and average volume(50) is greater than 100000
Basic Setup
Name: BOLLINGER BAND(16,2.5) STRATEGY
Approach Type: Long
Start Date: 12/01/2008
End Date: 04/01/2009
Benchmark Symbol: ^SPX
Exit Setup
Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 3
Maximum holding days: N/A
Exit Trigger #1: CLOSE IS ABOVE UPPER BOLLINGER BANDS(16,2.5)
Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 5 days
after 10 days
after 25 days
after 40 days
Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 25
Maximum Open Positions: 100
Maximum Selected Stocks: All
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chetron
2,817 posts
msg #78024
- Ignore chetron |
8/26/2009 6:50:10 PM
OK, NOW I UNDERSTAND. YOU AREN'T USING ANY STOPS, WHICH IS FINE, BUT YOU HAVE 76 OPEN TRADES IN LIMBO. IN REAL LIFE, HOW DO YOU RESOLVE THESE?
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chetron
2,817 posts
msg #78025
- Ignore chetron |
8/26/2009 6:55:08 PM
kevin ga 8/26/2009 8/24/2007 8/24/2009 49% 50% 0.98:1 0.69 -12.21%
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chetron
2,817 posts
msg #78026
- Ignore chetron |
8/26/2009 6:57:29 PM
Trade Statistics
There were 484 total stocks entered. Of those, 412 or 85.12% were complete and 72 or 14.88% were open.
Of the 412 completed trades, 203 trades or 49.27%resulted in a net gain.
Your average net change for completed trades was: -4.44%.
The average draw down of your approach was: -31.76%.
The average max profit of your approach was: 16.68%
The Reward/Risk ratio for this approach is: 0.69
Annualized Return on Investment (ROI): -12.21%, the ROI of ^SPX was: -14.67%.
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