yoohan
4 posts
msg #69495
- Ignore yoohan |
12/2/2008 2:43:06 PM
Hi
I am relatively new to the technical analysis field.
I would like to know if anyone here would like to post a filter that is good for trend trading with positions lasting for about 5-20 days and that consistently can deliver above 50% win rate.
I would also be very happy to see a short explanation on the trading strategy that should be applied together with the filter.
Many thanks in advance!
Yoohan
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maxreturn
745 posts
msg #69498
- Ignore maxreturn
modified |
12/2/2008 4:34:01 PM
The last part (100%) is my own idea :) Good luck.
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yoohan
4 posts
msg #69514
- Ignore yoohan |
12/3/2008 8:57:41 AM
Here is a very basic filter that consistently seems to deliver 500-1500% ROI and a win rate of about 15-20% in backtesting:
/Up 30 % in a day - short strategy/
Show stocks where Close gained more than 30 percent over the last 1 day
and Average Volume(90) is above 50000
and close is between 1 and 250
In backtesting I have put Short approach with a stop loss at 1% and a profit stop at 17% and max holding of 5 days.
More experienced traders are welcome to challenge this strategy or explain how it can be approved further.
ROI seems very good, but 15-20% is in the low end, its proably a partly a result from the very tight stop loss.
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chetron
2,817 posts
msg #69515
- Ignore chetron |
12/3/2008 9:15:47 AM
CLICKABLE.....
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yoohan
4 posts
msg #69540
- Ignore yoohan |
12/4/2008 5:43:58 AM
Thanks chetron
I have backtested the strategy quarter by quarter from 2002-2006. The worst performing quarter had an annualized ROI of 595% and average return was 1600% and average win rate was 21%.
I would be interested to hear from anyone who has been able to achieve even better results.
Yoohan
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wirechild
11 posts
msg #69545
- Ignore wirechild |
12/4/2008 10:26:43 AM
I think your volume is way too low, at the very least use 100,000. You will have a hard time entering and exiting stocks at ideal prices.
If you are going to use a strict percent for your stops then I would suggest 2-3% especially if your holding period is 5-20 days.
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slotmarket
59 posts
msg #69620
- Ignore slotmarket |
12/6/2008 12:27:57 PM
So, let me get this straight. You want a contest to see who can get the best backtest returns? Something like playing fantasy football? Yup that's correct. Backtest results and fantasy are the same thing. Don't just take my word for it , just ask around the folks here. You see that eye popping roi 1600% and you think you've found the holy grail. We've all been down that road before as many here can again attest to that. Your real life trading results will not match the backtest results as things like slippage, etc. will affect your returns.
There are filters that have backtest horribly but are traded profitably by many here. As TRO likes to say It's not what you trade but how you trade it. You don't need to find a filter that produces the highest backtest roi in the world to make money in the slotmarket. Having said that, the basic premise of your filter, that of fading the big move, is one that is traded profitably by many on a daily basis, so you are on the right track.
Your original post said you were looking for a win % of above 50. I would agree that a higher win% makes for a more tradeable filter as the length of losing streaks will be smaller. I played around with backtesting your filter and the highest win% was 41%, roi 1136% for the test period from 12/31/07 to 12/3/08. 5% stop loss, 17% profit stop, but the caveat is the holding period is only one day (day trade).
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marine2
963 posts
msg #69640
- Ignore marine2 |
12/7/2008 1:03:49 AM
Your backtesting results vary upon when you designate what time frame in the market years you have listed and want to run against. You can designate a time when the market was happy or a time when it was flat or when it was feeling the blues. They all will show different results. I do mine when the market is in a happy mood time frame. It gives me more joy, lol. Some of our forum members do not like backtesting and dont rely on it and they are still successful in finding buy worthy stocks or short worthy stocks.
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