__fetcheruser123
msg #47099
- Ignore __fetcheruser123 |
9/21/2006 4:35:20 PM
Thought this might interest some of you... I'd be interested if anyone can tweak it to make it perform better.
| Approach Information | | Approach Name: unnamed approach | | Test started on 09/21/2004 ended on 09/21/2006, covering 505 days | | Filter used: | close crossed above MA(40)
close one day ago was below MA(40) for the last 40 days
set{natr14, INDPOSITION(atr(14),60) * 100}
natr14 < 10
average volume(90) > 500000
volume > 500000
close is between 1 and 15
|
|
|
| Trade Statistics | | There were 161 total stocks entered. Of those, 161 or 100.00% were complete and or 0.00% were open. | | Of the 161 completed trades, 85 trades or 52.80%resulted in a net gain. | | Your average net change for completed trades was: 1.20%. | | The average draw down of your approach was: -2.16%. | | The average max profit of your approach was: 3.27% | | The Reward/Risk ratio for this approach is: 1.90 | | Annualized Return on Investment (ROI): 297.09%, the ROI of ^SPX was: 0.00%. |
| 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 (1 days) 161 times or 100.00% of the time. | | An exit trigger was executed 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 85 | 85 | 88 | 89 | 81 | 72 | | Losers: | 72 | 72 | 70 | 68 | 53 | 52 | | Win/Loss Ratio: | 1.18:1 | 1.18:1 | 1.26:1 | 1.31:1 | 1.53:1 | 1.39:1 | | Net Change: | 1.20% | 1.20% | 0.99% | 1.58% | 2.95% | 3.15% |
| Statistics By Variable: Match Price | | | <1.5 | <3 | <4.5 | <6 | <7.5 | <9 | <10.5 | <12 | <13.5 | <15 | | Completed | 6:4 | 6:15 | 19:9 | 15:15 | 9:6 | 6:5 | 3:7 | 7:4 | 10:5 | 4:2 | | 2 day chg | 6:4 | 6:15 | 19:9 | 15:15 | 9:6 | 6:5 | 3:7 | 7:4 | 10:5 | 4:2 | | 5 day chg | 6:5 | 9:12 | 21:7 | 14:15 | 9:6 | 6:6 | 4:6 | 6:4 | 8:8 | 5:1 | | 10 day chg | 5:6 | 7:14 | 20:7 | 14:15 | 9:6 | 9:3 | 5:5 | 6:4 | 10:6 | 4:2 | | 25 day chg | 3:6 | 5:9 | 14:9 | 16:12 | 7:6 | 9:1 | 4:3 | 6:3 | 13:2 | 4:2 | | 40 day chg | 3:5 | 4:9 | 15:5 | 18:10 | 7:5 | 6:4 | 4:3 | 4:3 | 10:4 | 1:4 |
| Statistics By Variable: Average Volume | | | <4.0M | <8.0M | <12.0M | <16.0M | <20.0M | <24.0M | <28.0M | <32.0M | <36.0M | <40.0M | | Completed | 74:61 | 5:8 | 2:2 | 0:1 | 1:0 | - | - | - | 1:0 | 2:0 | | 2 day chg | 74:61 | 5:8 | 2:2 | 0:1 | 1:0 | - | - | - | 1:0 | 2:0 | | 5 day chg | 73:63 | 7:6 | 3:1 | 1:0 | 1:0 | - | - | - | 1:0 | 2:0 | | 10 day chg | 75:61 | 8:4 | 3:1 | 0:1 | 1:0 | - | - | - | 1:0 | 1:1 | | 25 day chg | 71:44 | 6:5 | 3:1 | - | 1:0 | - | - | - | 0:1 | 0:2 | | 40 day chg | 60:47 | 8:3 | 2:1 | - | 1:0 | - | - | - | - | 1:1 |
|
|
__fetcheruser123
msg #47100
- Ignore __fetcheruser123 |
9/21/2006 4:56:42 PM
Or, for those that don't like time-based exits...
Stop Loss: 5%
Profit Stop: 20%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: N/A
Exit Trigger #1: set{natr14, INDPOSITION(atr(14),60) * 100}
natr14 > 99
| Approach Information | | Approach Name: unnamed approach | | Test started on 09/21/2004 ended on 09/21/2006, covering 505 days | | Filter used: | close crossed above MA(40)
close one day ago was below MA(40) for the last 40 days
set{natr14, INDPOSITION(atr(14),60) * 100}
natr14 < 10
average volume(90) > 500000
volume > 500000
close is between 1 and 15
|
|
|
| Trade Statistics | | There were 161 total stocks entered. Of those, 152 or 94.41% were complete and 9 or 5.59% were open. | | Of the 152 completed trades, 54 trades or 35.53%resulted in a net gain. | | Your average net change for completed trades was: 3.80%. | | The average draw down of your approach was: -5.30%. | | The average max profit of your approach was: 11.48% | | The Reward/Risk ratio for this approach is: 2.13 | | Annualized Return on Investment (ROI): 94.76%, the ROI of ^SPX was: 0.00%. |
| Exit Statistics | | Stop Loss was triggered 98 times or 64.47% of the time. | | Stop Profit was triggered 54 times or 35.53% 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 0 times or 0.00% of the time. |
| Statistics By Holding Period | | | Completed | 2 day chg | 5 day chg | 10 day chg | 25 day chg | 40 day chg | | Winners: | 54 | 85 | 88 | 89 | 81 | 72 | | Losers: | 98 | 72 | 70 | 68 | 53 | 52 | | Win/Loss Ratio: | 0.55:1 | 1.18:1 | 1.26:1 | 1.31:1 | 1.53:1 | 1.39:1 | | Net Change: | 3.80% | 1.27% | 1.05% | 1.67% | 3.13% | 3.33% |
| Statistics By Variable: Match Price | | | <1.5 | <3 | <4.5 | <6 | <7.5 | <9 | <10.5 | <12 | <13.5 | <15 | | Completed | 1:10 | 3:18 | 14:12 | 9:20 | 5:9 | 6:6 | 3:7 | 7:3 | 5:8 | 1:5 | | 2 day chg | 6:4 | 6:15 | 19:9 | 15:15 | 9:6 | 6:5 | 3:7 | 7:4 | 10:5 | 4:2 | | 5 day chg | 6:5 | 9:12 | 21:7 | 14:15 | 9:6 | 6:6 | 4:6 | 6:4 | 8:8 | 5:1 | | 10 day chg | 5:6 | 7:14 | 20:7 | 14:15 | 9:6 | 9:3 | 5:5 | 6:4 | 10:6 | 4:2 | | 25 day chg | 3:6 | 5:9 | 14:9 | 16:12 | 7:6 | 9:1 | 4:3 | 6:3 | 13:2 | 4:2 | | 40 day chg | 3:5 | 4:9 | 15:5 | 18:10 | 7:5 | 6:4 | 4:3 | 4:3 | 10:4 | 1:4 |
| Statistics By Variable: Average Volume | | | <4.0M | <8.0M | <12.0M | <16.0M | <20.0M | <24.0M | <28.0M | <32.0M | <36.0M | <40.0M | | Completed | 45:86 | 7:5 | 2:2 | 0:1 | 0:1 | - | - | - | 0:1 | 0:2 | | 2 day chg | 74:61 | 5:8 | 2:2 | 0:1 | 1:0 | - | - | - | 1:0 | 2:0 | | 5 day chg | 73:63 | 7:6 | 3:1 | 1:0 | 1:0 | - | - | - | 1:0 | 2:0 | | 10 day chg | 75:61 | 8:4 | 3:1 | 0:1 | 1:0 | - | - | - | 1:0 | 1:1 | | 25 day chg | 71:44 | 6:5 | 3:1 | - | 1:0 | - | - | - | 0:1 | 0:2 | | 40 day chg | 60:47 | 8:3 | 2:1 | - | 1:0 | - | - | - | - | 1:1 |
|
|