mazotrade1
5 posts
msg #84061
- Ignore mazotrade1 |
12/8/2009 5:43:44 PM
I back tested it for a 5% profit target and and maximum 5 holding days. ROI: -264% (that's a minus)
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Kevin_in_GA
4,599 posts
msg #84062
- Ignore Kevin_in_GA |
12/8/2009 6:05:33 PM
I back tested it for a 5% profit target and and maximum 5 holding days. ROI: -264% (that's a minus)
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Not to put too fine a point on this, but you are incorrect. If you use the offset function and go back 1 year ago last Friday, you will get a list of several stocks. Pick the top score (in case of a tie in the reward score, use the highest performance score to choose). Now advance forward to the next week for those specific stocks and see how they have done. Record performance.
Repeat for each week. Every week needs to be done this way to get accurate data.
If you do this you see that the performance I posted in the first post of this thread is correct. If you don't want to, that's fine as well. Simply do not trade off of the results from this filter.
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Radiomuse
288 posts
msg #84072
- Ignore Radiomuse
modified |
12/8/2009 11:05:30 PM
Kev - here's my ideas to the long version (have the short as well if you're interested). Main thing I wanted to accomplish was to weight the "near term" weeks separately than the "prior term" weeks to avoid putting extra weight on the near term. In this case, the last 5 weeks gets 45%, and the previous 10 weeks gets 55% (totally arbitrary weights).
After some more tweaking - at some point I'll try doing some informal backtesting like you said...a lot of work! Btw, the screening output only works correctly if it's run on weekends, right? How do I do date offsets to go back that far in time, and how can you tell what day the results are from? We want them to always be from previous Friday's closes, correct?
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Kevin_in_GA
4,599 posts
msg #84124
- Ignore Kevin_in_GA |
12/10/2009 8:26:57 AM
PWER and NANO have both hit their 5% target for the week.
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Kevin_in_GA
4,599 posts
msg #84375
- Ignore Kevin_in_GA
modified |
12/13/2009 9:30:19 PM
PWER, YMI and NANO all hit their 5% target for the week.
Only 4 picks for this next week - in descending order, they are:
PWER
performance - perfect hit for the last 8 weeks
reward 3.00
YMI
performance 12.00
reward 3.00
NANO
performance 2.18
reward 3.00
GGWPQ
performance 11.50
reward 2.88
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mazotrade1
5 posts
msg #84403
- Ignore mazotrade1 |
12/14/2009 2:31:30 PM
Kevin-
Your manual back test suggestion requires a lot of work. Are you saying SF's back test feature does not work correctly?
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Kevin_in_GA
4,599 posts
msg #84404
- Ignore Kevin_in_GA |
12/14/2009 3:03:11 PM
Basically, yes, if you are trading off of weekly data or entering only on Monday at the open.
These are small limitations for most people, but they gives you erroneous results if you are trying to backtest a weekly filter.
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Kevin_in_GA
4,599 posts
msg #84553
- Ignore Kevin_in_GA |
12/17/2009 8:35:52 AM
PWER once again hit the 5% target.
over the last 61 weeks (since 10/11/08) this approach (investing in the top ranked stock at the open on Mondays) has generated a return of 138%, averaging just over 2% per week.
Success rate is 45 weeks net positive return, 16 weeks net negative return (Win/Loss ratio of 2.81, 74% success rate)
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gabestogie
79 posts
msg #84648
- Ignore gabestogie |
12/18/2009 12:49:58 PM
Kevin:
Nice thread you have here. I'm a little late but ready to jump into the crock pot. Is the filter on page 1 still the one you are using?
later,
Gabe
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Kevin_in_GA
4,599 posts
msg #84649
- Ignore Kevin_in_GA |
12/18/2009 12:58:53 PM
Gabe:
Glad to see you back in action. Please note that over the past two months this approach has met with modest success - it it still profitable, but only at about 5-6% cumlative since 10/12. This market is range-bound, so it has been a little harder to get real momentum in some of these stocks. Also, stocks that have had strong runs lately are also targets for year-end profit taking, which I think has been part of the challenge over the last 10 weeks or so.
That being said, The obvious top contender will be PWER (again, as this has hit its target every week for the last 10 weeks without a sweat).
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