msummer2007
129 posts
msg #53343
- Ignore msummer2007 |
7/23/2007 3:00:53 AM
I am offering a challenge to anyone who can come up with a system which is decently profitable during the backtest period of 1-1-02 to 1-1-03. The system is to be traded from the long side. Keep the default settings for the backtesting. So far finding this system has evaded me. I believe if you can construct a system( from the long side) during this period, you have a system which is worth gold. Good Luck
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danglin
37 posts
msg #53345
- Ignore danglin |
7/23/2007 3:05:31 AM
Stay tuned. Here it comes.
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danglin
37 posts
msg #53346
- Ignore danglin |
7/23/2007 3:18:02 AM
SHHH!!!!! Keep this a secret. Let me know what the results show. Use your price and volume creteria.
------------------------------
show stocks where close 1 day ago is below cema(low,5)
and high 1 day ago is below cema(high,5)
set{sm%, weekly atr(8)/weekly ema(8) }
add column sm%
and sm% > 0.07
and macd(12,26,9) fast line is above the macd(12,26,9) slow line
and draw sm% line at 0.08
sort column 5 descending
and close is more than .15 percent above open
add column RSI(2)
Volume(90) > 500000
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msummer2007
129 posts
msg #53350
- Ignore msummer2007 |
7/23/2007 4:36:44 AM
Danglin The ROI was very good, but the win loss was still negative. I should have clarified the parameters better in my earlier post. The stock must be above 50 and must be optionable. The average volume(90) is above 500000. The system must produce a positive win /loss ratio. Once again keep all the backtesting parameters at the default position.
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danglin
37 posts
msg #53351
- Ignore danglin |
7/23/2007 8:22:56 AM
Does this impress you?
My System Backtesting
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nikoschopen
2,824 posts
msg #53359
- Ignore nikoschopen |
7/23/2007 12:21:17 PM
I say screw the filters. You might as well blindly throw the darts on the wall (and still manage to come out with a decent return), considering that we're in a overly, if not erratically, euphoric environment. Well, duh, you knew that already. But who the hell really cares about past performance? We're suppose to be in a new environment making new history (unlike any other "new-ish" times, so I'm told). Whenever the media reports the sell-offs as overkill, while claiming a shot-through-the-moon rallies as, well, just sane and sound, you would be better off without the holy grail altogether.
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msummer2007
129 posts
msg #53364
- Ignore msummer2007 |
7/23/2007 1:11:37 PM
Niko I sympathize with your plight. In this current environment any sell off is viewed as a buying opportunity. Because of those knuckleheads on CNBC. Last week I bought puts on the spy's,(just a hunch). Watched the trade go against me immediately, kept telling myself this euphoria can not last much longer. Watched as the losses mounted. Fortunately for me we had the big down day on Friday, and I covered at a very small profit. Your turn will come, and you will see an exodus en masse. Be ready. Good luck
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nikoschopen
2,824 posts
msg #53368
- Ignore nikoschopen |
7/23/2007 2:47:19 PM
Thanks for ure advice, although it's not so much a plight than a gripe. Only thing I can add is that you should have ure stops in place at all times regardless of what market ure in.
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jrbikes
624 posts
msg #53377
- Ignore jrbikes |
7/23/2007 10:32:25 PM
I hate backtesting!
post some picks for grins, thats the test! if they go up, good filter, if they go down, bad filter! thats the challenge!
but then Im just a penny popper anyway!
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nikoschopen
2,824 posts
msg #53402
- Ignore nikoschopen |
7/24/2007 12:00:06 PM
So, what the hell is the excuse for the selloff this time around? Personally, I think the media pundits (aka morons) are running out of excuses. But then again, I suppose the bargain hunters will swoop in again tomorrow and save the day, perhaps saving faces for some.
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