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traderblues
195 posts
msg #47756
- Ignore traderblues

10/31/2006 10:42:19 PM

Now that we have a new equity chart for the backtester, we can challenge each other to accumulate the largest balance. Here's a two-year backtest that ends up with over $1,000,000.

Approach Information

Approach Name: RSI(2) Opportunity 9-1-02 to 9-1-04

Test started on 08/30/2002 ended on 09/01/2004, covering 504 days

Filter used:

RSI(2) Opportunity Entry (saved filter)

Trade Statistics

There were 291 total stocks entered. Of those, 288 or 98.97% were complete and 3 or 1.03% were open.

Of the 288 completed trades, 224 trades or 77.78%resulted in a net gain.

Your average net change for completed trades was: 7.58%.

The average draw down of your approach was: -11.97%.

The average max profit of your approach was: 15.82%

The Reward/Risk ratio for this approach is: 3.31

Annualized Return on Investment (ROI): 159.67%, the ROI of ^SPX was: 10.04%.

Exit Statistics

Stop Loss was triggered 0 times or 0.00% of the time.

Stop Profit was triggered 183 times or 63.54% 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 105 times or 36.46% of the time.

Statistics By Holding Period
	Completed	2 day chg	5 day chg	10 day chg	25 day chg	40 day chg
Winners:	224	148	153	169	171	168
Losers:	61	134	128	118	120	121
Win/Loss Ratio:	3.67:1	1.10:1	1.20:1	1.43:1	1.43:1	1.39:1
Net Change:	7.58%	1.04%	1.75%	3.77%	9.75%	17.46%

Statistics By Variable: Match Price
	<10	<20	<30	<40	<50	<60	<70	<80	<90	<100
Completed	192:42	22:16	7:2	2:0	1:0	0:1	-	-	-	-
2 day chg	124:107	17:21	5:4	2:0	0:1	0:1	-	-	-	-
5 day chg	133:99	14:23	4:4	2:0	0:1	0:1	-	-	-	-
10 day chg	149:88	15:22	5:4	0:2	0:1	0:1	-	-	-	-
25 day chg	145:94	21:18	5:4	0:2	0:1	0:1	-	-	-	-
40 day chg	144:94	19:19	3:6	1:1	1:0	0:1	-	-	-	-

Statistics By Variable: Average Volume
	<10.0M	<20.0M	<30.0M	<40.0M	<50.0M	<60.0M	<70.0M	<80.0M	<90.0M	<100.0M
Completed	223:58	1:2	-	-	-	-	-	-	0:1	-
2 day chg	146:131	1:3	-	-	-	-	-	-	1:0	-
5 day chg	153:123	0:4	-	-	-	-	-	-	0:1	-
10 day chg	169:113	0:4	-	-	-	-	-	-	0:1	-
25 day chg	169:117	2:2	-	-	-	-	-	-	0:1	-
40 day chg	164:120	3:1	-	-	-	-	-	-	1:0	-

packraider
10 posts
msg #47777
- Ignore packraider

11/2/2006 10:11:53 PM

I'm going to have to upgrade to do more than 4 months to try to match this. Nice results. Are you willing to share the filter? The new equity line is much more useful than the roi, which seems almost meaningless.

traderblues
195 posts
msg #47992
- Ignore traderblues

11/15/2006 9:45:45 PM

OK, if nobody else wants to play, I guess I'll play with myself. If your skeptical, go here:

http://www.stocktickr.com/BTStrader/closed/

It's all about RSI(2). Thanks Muddy and TRO. I couldn't have done it without all of your previous work.

Approach Information

Approach Name: RSI(2) Opportunity 10-1-04 to 10-1-06

Test started on 10/01/2004 ended on 09/29/2006, covering 503 days

Filter used:

RSI(2) Opportunity Entry (saved filter)

Trade Statistics

There were 176 total stocks entered. Of those, 174 or 98.86% were complete and 2 or 1.14% were open.

Of the 174 completed trades, 109 trades or 62.64%resulted in a net gain.

Your average net change for completed trades was: 6.75%.

The average draw down of your approach was: -10.29%.

The average max profit of your approach was: 14.64%

The Reward/Risk ratio for this approach is: 2.76

Annualized Return on Investment (ROI): 273.80%, the ROI of ^IXIC was: 8.97%.

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 (10 days) 55 times or 31.61% of the time.

An exit trigger was executed 119 times or 68.39% of the time.

Statistics By Holding Period
	Completed	2 day chg	5 day chg	10 day chg	25 day chg	40 day chg
Winners:	109	91	95	93	83	72
Losers:	61	78	75	79	93	100
Win/Loss Ratio:	1.79:1	1.17:1	1.27:1	1.18:1	0.89:1	0.72:1
Net Change:	6.75%	3.44%	3.03%	3.61%	3.38%	4.18%

Statistics By Variable: Match Price
	<5	<10	<15	<20	<25	<30	<35	<40	<45	<50
Completed	82:45	18:9	5:6	0:1	2:0	1:0	-	-	1:0	-
2 day chg	71:54	13:15	4:6	0:1	1:2	1:0	-	-	1:0	-
5 day chg	73:52	15:13	5:6	0:1	1:2	1:0	-	-	0:1	-
10 day chg	71:57	15:12	4:7	0:1	2:1	1:0	-	-	0:1	-
25 day chg	65:66	13:15	4:7	0:1	1:2	0:1	-	-	0:1	-
40 day chg	55:73	12:15	4:7	0:1	1:2	0:1	-	-	0:1	-

Statistics By Variable: Average Volume
	<2.0M	<4.0M	<6.0M	<8.0M	<10.0M	<12.0M	<14.0M	<16.0M	<18.0M	<20.0M
Completed	104:60	4:1	-	-	-	-	-	1:0	-	-
2 day chg	88:75	2:3	-	-	-	-	-	1:0	-	-
5 day chg	90:73	4:2	-	-	-	-	-	1:0	-	-
10 day chg	88:77	5:1	-	-	-	-	-	0:1	-	-
25 day chg	79:90	3:3	-	-	-	-	-	1:0	-	-
40 day chg	69:97	2:3	-	-	-	-	-	1:0	-	-

wallman
299 posts
msg #47993
- Ignore wallman

11/15/2006 10:10:55 PM

Hi Tradeblues
You're welcome for sure!
I'd love to play alone but can't figure out how,I have enough problem turning on my computer each day.
That's why i stick to ONE LINE FILTERS,ha
BTW,I've visted that site before,think it was a link on Top10traders? Is this your site,if so,I was very impressed by it
regards,Muddy

traderblues
195 posts
msg #47997
- Ignore traderblues

11/16/2006 9:06:04 AM

That's not my website, but those are my trades. It has been working very well. When I first learned about RSI(2) I was a non-believer. Obviously, not anymore!

wantonellis
161 posts
msg #48059
- Ignore wantonellis
modified

11/19/2006 5:07:59 PM

wallman
299 posts
msg #48061
- Ignore wallman

11/19/2006 7:06:50 PM

Traderblues,
I went and looked at your closed trades and on second thought ahhhhhhhhhhhh ..
Very glad i don't know how to play against you
Awesome work my friend!
Muddy

__fetcheruser123
msg #48063
- Ignore __fetcheruser123

11/20/2006 12:16:40 AM

traderblues,

good work on your screens, very impressive. i'm curios, what type of risk management do you employ? stops, etc?

-chris

traderblues
195 posts
msg #48069
- Ignore traderblues

11/20/2006 8:29:56 AM

none. no stops, per se. I just look for good exit points.

lvainik
52 posts
msg #48080
- Ignore lvainik

11/20/2006 5:04:41 PM

Wantonellis

What is your approach ; pray tell?

Thanks!

StockFetcher Forums · General Discussion · Backtest challenge

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