Can someone backtest this plan?

Discussion in 'Strategy Development' started by prox, Sep 9, 2002.

  1. prox

    prox

    I have no access to backtesting software and am not very programmer-worthy to figure out Wealth Lab.

    Logic:

    3 consecutive lower or equal highs in consecutive days (bars) .. trigger a buy stop limit $.01 higher than the 2nd high. If it reaches 4+ consecutive lower/equal highs, then the buy stop gets moved down to the 2nd bar of the lowest 3. Repeat until filled. Once order is open, stop (market) is $.01 lower than the lowest low of the past 2 days. No profit taking, just keep holding til stopped out.

    Would like to test on QQQ or some random high volume sub $10 stocks if possible. Commission $10 round trip , say trade size of $5k, slippage 1%

    Also perhaps test out if there are any differences with a buy stop $.02 higher than the 2nd bar or a stop out $.02 lower than 2 day lows.

    Thanks.
     
  2. ChrisM

    ChrisM

    Prox,

    You would not believe how many logical ideas bring only dissapointments once are put into backtesting.
    But I`ll try to do that, and I`ll let You know what making -a-buck chances are.
     
  3. prox

    prox

    Thank you much.
     
  4. CWU

    CWU

    Hello Prox,

    I've never looked at this forum. Scrolling thru I noticed your post and no response.

    I've backtested a number of methods close to what you describe here. I'm at work, so I'll describe what I think you want, and once you confirm or modify, I'll run it. (Btw, my guess is too many whips and not profitable unless you attempt to place within an established uptrend.)

    Anyway, you said:

    "3 consecutive lower or equal highs in consecutive days (bars) .. trigger a buy stop limit $.01 higher than the 2nd high. If it reaches 4+ consecutive lower/equal highs, then the buy stop gets moved down to the 2nd bar of the lowest 3. Repeat until filled. Once order is open, stop (market) is $.01 lower than the lowest low of the past 2 days. No profit taking, just keep holding til stopped out."

    So, you can help here. H means today's high, H1 means yesterday's high etc. For setup, I think you want:

    This is the 3 consecutive lower or equal highs:

    (H3>=H2ANDH2>=H1ANDH1>=H)

    And this is the 4:

    (H4>=H3ANDH3>=H2ANDH2>=H1ANDH1>=H)

    Combined as:

    (H4>=H3ANDH3>=H2ANDH2>=H1ANDH1>=H)OR(H3>=H2ANDH2>=H1ANDH1>=H)

    Entry is:

    (H2+.01)<H

    Note: This occurs one day after the setup, so H2 here is H1 in the setup.

    And exit:

    ((MINL2.1-.01)>L)

    Note: This looks for the lowest low in the last two days, as of yesterday.

    Chuck
     
  5. TSaimoto

    TSaimoto Guest

    Gann's 3 day trend indicator?
     
  6. i have not backtested yet,
    but it looks like looking for a pullback in a certain stock.
    it even looks a bit like 1-2-3-4 setup, but isnt.
    also looks like watching for asc triangle.

    is that what u are looking for?

    it sounds like u are swing trading. but in swing trading, a .01 stop doesnt mean anything.

    mmhh.
     
  7. I am sure by now you have been on the WL site and tested it over hundret stocks with money managment strategies? If not and you wish me to post a result here please let me know?
     
  8. balda

    balda

    Volker Knapp

    Results would be very interesting.
     
  9. I tested it on the 30 stocks that are in the DAX 30 for 5 years. Starting capital was 100.000 Euros and I invested 10% of the overall capital in each signal. If signals appear while there is no cash available the trade is scipt.

    All Trades Long Trades Short Trades Buy & Hold
    Starting Capital 100.000,00 DM 100.000,00 DM 100.000,00 DM 100.000,00 DM
    Ending Capital 103.303,72 DM 103.303,72 DM 100.000,00 DM 68.826,81 DM
    Net Profit 3.233,76 DM 3.233,76 DM 0,00 DM -31.173,18 DM
    Net Profit % 3,25% 3,25% 0,00% -31,17%
    Exposure 45,38% 45,38% 0,00% 100,02%
    Risk Adj Return 7,13 7,13 0,00 -31,17
    All Trades 1.465 1.465 0 29
    Avg Profit/Loss 2,21 DM 2,21 DM 0,00 DM -1.074,94 DM
    Avg Profit/Loss % 0,05% 0,05% 0,00% -31,17%
    Avg Bars Held 4,05 4,05 0,00 1.349,00
    Winning Trades 534 534 0 6
    Gross Profit 339.853,22 DM 339.853,22 DM 0,00 DM 5.210,08 DM
    Avg Profit 636,43 DM 636,43 DM 0,00 DM 868,35 DM
    Avg Profit % 4,98% 4,98% 0,00% 25,30%
    Avg Bars Held 6,46 6,46 0,00 1.349,00
    Max Consecutive 10 10 0 3
    Losing Trades 931 931 0 23
    Gross Loss -336.620,06 DM -336.620,06 DM 0,00 DM -36.383,26 DM
    Avg Loss -361,57 DM -361,57 DM 0,00 DM -1.581,88 DM
    Avg Loss % -2,78% -2,78% 0,00% -45,90%
    Avg Bars Held 2,67 2,67 0,00 1.349,00
    Max Consecutive 23 23 0 8
    Max Drawdown -42,98% -42,98% 0,00% -66,63%
    Recovery Factor 0,05 0,05 0,00 0,28
    Profit Factor 1,01 1,01 0,00 0,14
    Payoff Ratio 1,79 1,79 0,00 0,55
    Standard Error 16.981,66 DM 16.981,66 DM 0,00 DM 23.529,89 DM
    Risk Reward Ratio 0,060 0,060 0,000 -0,010
    Sharpe Ratio -0,07 -0,07 0,00 -1,54
    WL Score 4,06 4,06 0,00 -51,93

    To get a better format I recommend you to go to this page and look at the code. It is an interactive page so you vcan do your own tsting there. This is the german site but you can copy the code over to the US site. Anyway if it is coded correct the result does NOT look good on stocks.



    Regards.