judgetrade
107 posts
msg #37025
- Ignore judgetrade |
7/23/2005 7:38:12 AM
Backtest Summary: RSI S&P
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Approach Information
Approach Name: RSI S&P
Test started on 04/30/2004 ended on 05/18/2005, covering 264 days
Filter used:
RSI (2) is between 30 and 70
volume reached a new 1 year high
and close is above close one day ago
Trade Statistics
There were 786 total stocks entered. Of those, 773 or 98.35% were complete and 13 or 1.65% were open.
Of the 773 completed trades, 379 trades or 49.03%resulted in a net gain.
Your average net change for completed trades was: 1.83%.
The average draw down of your approach was: -4.88%.
The average max profit of your approach was: 7.83%
The Reward/Risk ratio for this approach is: 1.80
Annualized Return on Investment (ROI): 156.72%, the ROI of ^SPX was: 6.02%.
Exit Statistics
Stop Loss was triggered 201 times or 26.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (3 days) 572 times or 74.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 379 393 412 441 456 439
Losers: 369 340 337 327 319 340
Win/Loss Ratio: 1.03:1 1.16:1 1.22:1 1.35:1 1.43:1 1.29:1
Net Change: 1.83% 0.96% 1.98% 2.11% 3.11% 3.45%
Statistics By Variable: Match Price
<50 <100 <150 <200 <250 <300 <350 <400 <450 <500
Completed 354:344 22:22 2:1 - 1:1 - - - - 0:1
2 day chg 365:318 25:19 2:1 - 1:1 - - - - 0:1
5 day chg 385:314 24:20 2:1 - 1:1 - - - - 0:1
10 day chg 413:304 22:23 3:0 - 2:0 - - - - 1:0
25 day chg 426:298 26:19 3:0 - 0:2 - - - - 1:0
40 day chg 405:323 32:13 2:1 - 0:2 - - - - 0:1
Statistics By Variable: Average Volume
<5.0M <10.0M <15.0M <20.0M <25.0M <30.0M <35.0M <40.0M <45.0M <50.0M
Completed 374:364 2:4 2:0 1:0 - - - - - 0:1
2 day chg 387:336 2:4 2:0 1:0 - - - - - 1:0
5 day chg 406:333 3:3 2:0 1:0 - - - - - 0:1
10 day chg 433:325 4:2 2:0 1:0 - - - - - 1:0
25 day chg 449:316 3:3 2:0 1:0 - - - - - 1:0
40 day chg 434:335 3:3 1:1 0:1 - - - - - 1:0
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