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| esmail78 18 posts msg #81485 - Ignore esmail78 |
10/21/2009 9:09:21 AM Hello ... I have a filter that the Annualized Return on Investment (ROI): 167.76% ... my question is " Is there better than this one ? " ... I can share it with you gentlemen but i need to know if there is better than this one ... |
| Kevin_in_GA 4,599 posts msg #81491 - Ignore Kevin_in_GA |
10/21/2009 10:19:13 AM Welcome to the forums. Have you searched here a bit on the performance of other posted filters? I think the short answer to your question is "yes, other filters can provide better ROI results." It depends greatly on your time frame for the backtest. As a test, let's compare filters against the following time frames: 08/01/08 until 12/01/08 (a VERY ugly downtrend) 05/01/09 until 09/01/09 (a VERY nice uptrend). A good filter should be able to provide results over that of the ^SPX during any time period tested. Here is a simple (long ONLY) filter that I have posted here and commented on many time over the last three months, and the results for the time frames listefd above: Filter used: CLOSE 1 DAY AGO IS BELOW LOWER BOLLINGER BANDS(16,2.5) 1DAY AGO and close is above close 1 day ago and close is above 1 and volume is above 50000 Test started on 08/01/2008 ended on 12/01/2008, covering 84 days Trade Statistics There were 347 total stocks entered. Of those, 97 or 27.95% were complete and 250 or 72.05% were open. Of the 97 completed trades, 97 trades or 100.00% resulted in a net gain. Your average net change for completed trades was: 22.05%. The average draw down of your approach was: -9.75%. The average max profit of your approach was: 33.75% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): 423.35%, the ROI of ^SPX was: -104.98%. Test started on 05/01/2009 ended on 09/01/2009, covering 85 days Trade Statistics There were 447 total stocks entered. Of those, 197 or 44.07% were complete and 250 or 55.93% were open. Of the 197 completed trades, 197 trades or 100.00% resulted in a net gain. Your average net change for completed trades was: 27.41%. The average draw down of your approach was: -9.49%. The average max profit of your approach was: 31.64% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): 242.63%, the ROI of ^SPX was: 41.72%. |
| SFMc01 358 posts msg #81494 - Ignore SFMc01 |
10/21/2009 11:24:00 AM Kevin_in_GA Thank you for your post.. Please help me understand the backtest criteria you used. , What was the profit target you used for a stock to be complete? Other parameters please. Thanks Steve |
| Kevin_in_GA 4,599 posts msg #81499 - Ignore Kevin_in_GA |
10/21/2009 1:26:25 PM You can do this backtest easily. Use the filter posted here. Here are the settings. Default settings on number of open trades and max trades (25 and 250). No stop loss. No trailing stop. 20% profit stop. Exit trigger is when the price closes above the upper Bollinger bands(16,2.5). No max days held (leave blank). All other settings are kept at their default levels. Kevin |
| chetron 2,817 posts msg #81508 - Ignore chetron |
10/21/2009 4:05:48 PM esmail78 - Ignore esmail78 10/21/2009 9:09:21 AM Hello ... I have a filter that the Annualized Return on Investment (ROI): 167.76% ... my question is " Is there better than this one ? " ... I can share it with you gentlemen but i need to know if there is better than this one ... ************************************ NO, THERE IS NOTHING BETTER THAN YOURS, NOW PLEASE SHARE IT. TIA |
| esmail78 18 posts msg #81511 - Ignore esmail78 |
10/21/2009 5:30:32 PM hello again ... Thank you Kevin_in_GA for your post ... i did a what you say that i should test the filter in the very bearesh trend and i found this result ... Test started on 08/01/2008 ended on 12/01/2008, covering 84 days Trade Statistics There were 7 total stocks entered. Of those, 5 or 71.43% were complete and 2 or 28.57% were open. Of the 5 completed trades, trades or 0.00%resulted in a net gain. Your average net change for completed trades was: -6.00%. The average draw down of your approach was: -7.97%. The average max profit of your approach was: 3.03% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): -411.67%, the ROI of ^SPX was: -104.98%. ------------------------------------------------------------------------------------ and I did another test at what you say also when the market in an up trend and i found this results ... Test started on 05/01/2009 ended on 09/01/2009, covering 85 days Trade Statistics There were 11 total stocks entered. Of those, 11 or 100.00% were complete and or 0.00% were open. Of the 11 completed trades, 7 trades or 63.64%resulted in a net gain. Your average net change for completed trades was: 5.48%. The average draw down of your approach was: -4.08%. The average max profit of your approach was: 11.80% The Reward/Risk ratio for this approach is: 3.44 Annualized Return on Investment (ROI): 117.26%, the ROI of ^SPX was: 41.72%. ------------------------------------------------------------------------------------- after this results i guess some one don`t want my filter any more :) ... j/k ok this is my filter and i need to make it better than before ... What should I do ? ... =================================================== Show stocks where ADX(8) is below 17 for the last 12 days and ADX(8) is increasing last 2 days and last day +DI(13) crossed above -DI(13) and close is between 1 and 200 and Average Volume(10) is above 500000 =================================================== Thank you again ... |
| Kevin_in_GA 4,599 posts msg #81513 - Ignore Kevin_in_GA |
10/21/2009 5:56:15 PM I'm glad you did the backtest - now you can get a feel for how important timing is for any trading system. If you can break even or make a profit during hard times, then you probably are on to a decent strategy. ok this is my filter and i need to make it better than before ... What should I do ? ... =================================================== Show stocks where ADX(8) is below 17 for the last 12 days and ADX(8) is increasing last 2 days and last day +DI(13) crossed above -DI(13) and close is between 1 and 200 and Average Volume(10) is above 500000 =================================================== Let me ask another question - what is your goal? Is it to improve THIS filter, or to find a better trading system? Read some more threads in the forums - learn what others are doing and how well they work. THEN come back to your filter (with new knowledge and understanding) and work on it a bit. You may also find that others have developed systems that are superior to the one you are evaluating. Your call. Kevin |
| esmail78 18 posts msg #81514 - Ignore esmail78 |
10/21/2009 6:12:52 PM the answer is to find a better trading system ... i looked for too mutch filters in forms but i don`t think that i found what im looking for ... you will ask me what im looking for and i`ll answer you very quikly 85% from my trades are taking the profit which will be 15% , not the stop loss which will be -6% ... and also i don`t need a filter gives me 100 result per month ! i just need 3 or 5 trades per month ... Thanks Kevin for your help ... I look forword hearing from you and the other gentelmen ... Regards |
| Kevin_in_GA 4,599 posts msg #81518 - Ignore Kevin_in_GA |
10/21/2009 6:49:48 PM you will ask me what im looking for and i`ll answer you very quikly 85% from my trades are taking the profit which will be 15% , not the stop loss which will be -6% ... and also i don`t need a filter gives me 100 result per month ! i just need 3 or 5 trades per month ... +++++++++++++++++++++++ When you find this filter, let me know. |
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