dashover
229 posts
msg #112598
- Ignore dashover |
4/2/2013 5:15:00 PM
If you consistently bought stocks breaking new highs and held for 60 days vs stocks at lows but still over ma(200) so temporarily weak (not dead), How would you fare over 10 years?
I know the favorite filters around here use RSI(2) , recent weakness of healthy stocks...
but I was curious of your Thoughts?
Thanks!
|
novacane32000
331 posts
msg #112604
- Ignore novacane32000 |
4/2/2013 6:48:48 PM
Here are backtest results on stocks making 52 week highs and holding for 60 days over the past 2 years. Not pretty.
Approach Information
Approach Name: New 52 week high
Test started on 2011-03-15 ended on 2013-03-15, covering 503 days
Filter used:
New 52 week high (saved filter))
Trade Statistics
There were 1350 total stocks entered. Of those, 1101 or 81.56% were complete and 249 or 18.44% were open.
Of the 1101 completed trades, 547 trades or 49.68%resulted in a net gain.
Your average net change for completed trades was: -1.40%.
The average draw down of your approach was: -11.07%.
The average max profit of your approach was: 9.15%
The Reward/Risk ratio for this approach is: 0.75
Annualized Return on Investment (ROI): -5.68%, the ROI of ^SPX was: 10.38%.
Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $0.00
Ending Account Value: $99,905.75. Cash: $-0.05 Market value of holdings at end: $99,905.80 (paid: $93,521.93)
Realized gain/loss: $-6,478.12 ($-5.88 per trade.)
Total Commissions Paid: $0.00
Unrealized gain/loss: $6,383.87.
|
dashover
229 posts
msg #112620
- Ignore dashover |
4/3/2013 11:30:22 AM
Novacane
Might as well run , same time period etc.
>ma (200) , rsi (2) < 20 in last day etc...
Same parameters
Thx!
|
novacane32000
331 posts
msg #112637
- Ignore novacane32000
modified |
4/4/2013 7:46:20 AM
Approach Information
Approach Name: recent 52 week high and rsi2 below 20
Test started on 2011-03-15 ended on 2013-03-15, covering 503 days
Filter used:
recent 52 week high and rsi2 below 20 (saved filter))
Trade Statistics
There were 6 total stocks entered. Of those, 5 or 83.33% were complete and 1 or 16.67% were open.
Of the 5 completed trades, 2 trades or 40.00%resulted in a net gain.
Your average net change for completed trades was: -0.08%.
The average draw down of your approach was: -14.01%.
The average max profit of your approach was: 9.11%
The Reward/Risk ratio for this approach is: 0.99
Annualized Return on Investment (ROI): -0.31%, the ROI of ^SPX was: 10.38%.
Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $0.00
Ending Account Value: $99,986.82. Cash: $98,995.70 Market value of holdings at end: $991.12 (paid: $999.98)
Realized gain/loss: $-4.32 ($-0.86 per trade.)
Total Commissions Paid: $0.00
Unrealized gain/loss: $-8.86.
|
dashover
229 posts
msg #112641
- Ignore dashover |
4/4/2013 10:47:14 AM
rsi(2) < 20
price is above ma (200)
and Average Volume(90) is above 1850000
and close is between 7 and 250
Nova, The last filter was no accurate. I want to compare buying breakouts vs recent weakness of healthy ( > ma(200) stocks).
Please backtest this one
thx
|
novacane32000
331 posts
msg #112642
- Ignore novacane32000
modified |
4/4/2013 11:03:54 AM
exit= rsi(2) > 80
Viewing: rsi2 below 20
Edit
Delete
Approach Information
Approach Name: rsi2 below 20
Test started on 2011-03-15 ended on 2013-03-15, covering 503 days
Filter used:
rsi2 below 20 (saved filter))
Trade Statistics
There were 572 total stocks entered. Of those, 572 or 100.00% were complete and or 0.00% were open.
Of the 572 completed trades, 365 trades or 63.81%resulted in a net gain.
Your average net change for completed trades was: 0.34%.
The average draw down of your approach was: -4.90%.
The average max profit of your approach was: 2.82%
The Reward/Risk ratio for this approach is: 1.20
Annualized Return on Investment (ROI): 10.63%, the ROI of ^SPX was: 10.38%.
Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $0.00
Ending Account Value: $118,759.96. Cash: $105,789.68 Market value of holdings at end: $12,970.28 (paid: $12,834.25)
Realized gain/loss: $18,623.93 ($32.56 per trade.)
Total Commissions Paid: $0.00
Unrealized gain/loss: $136.03.
|