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has less than 260 days data calculate Lowest Close for those many
days.
# Calculate percent change from Lowest Close AND select stocks which
had 100% plus growth
# Find the Highest price in the 100% move AND only take stocks which
are within 25% of that Highest price.
# So this is your trading universe of stock which have made
significant move of 100% OR more AND are as of today within 25% of
the High during the move
# Use a significant one Day move scan on these stocks. e.g. Say a 5%
move ( 100 * (C - C1) / C1) >= 5 AND V >= 1000 AND V > V1)
# Buy next Day with 1% risk AND stop below the Low of previous two
days bar
# Trail with a stop
# if you get stopped Buy again on next breakout
# Enjoy your profits*/
// 100 * ((C + .01) - ( MINC260 + .01)) / (MINC260 + .01)>=100
// Price today >= .75*highest close during the 100% move.
Minprice = 2;
LastBarIndex = LastValue(BarIndex());
DaysConsidered = Min(260, LastBarIndex+1);
LowestCloseWithinDaysConsidered = LLV(C,DaysConsidered);
PercentGain = 100*((C + .01) - ( LowestCloseWithinDaysConsidered
+ .01)) / (LowestCloseWithinDaysConsidered + .01);
PercentGainGE100 = PercentGain >= 100;
Volgreat = V > EMA(V,15);
AvgVol= EMA(V,15);
percentM = 0.03;
LatestLowestClose = LastValue(LowestCloseWithinDaysConsidered);
HighestCloseSinceLatestLowestClose = HighestSince((C ==
LatestLowestClose), C);
CloseWithin25PercentgeHighestClose = (C >=
0.75*HighestCloseSinceLatestLowestClose);
// ( 100 * (C - C1) / C1) >= 5 AND V >= 1000 AND V > V1)
TodaysSignificantMove = ( 100 * (C - Ref(C, -1)) / Ref(C,-1))
>= 3
AND V >= 1000000 AND Volgreat;
SetTradeDelays(1,0,0,0);
ApplyStop(stopTypeTrailing,stopModePercent,2,1);
Filterthis = PercentGainGE100 AND CloseWithin25PercentgeHighestClose
AND TodaysSignificantMove AND C > Minprice;
Filter = Filterthis;
Buysignalclose = C >= 0.99*HighestCloseSinceLatestLowestClose
AND
Filterthis;
Buy = Filterthis;
Sell = C < 0.98*Buysignalclose;
//to plot the equity curve on the same graph
e=Equity();
//Plot(e,"equity",colorRed,styleLine|styleOwnScale);
shape = Buy*shapeUpArrow + Sell*shapeDownArrow;
PlotShapes(shape,IIf(Buy,colorDarkGreen,colorRed),O,IIf
(Buy,Low,High));
numberpositions = 1;
SetOption ("maxopenpositions",numberpositions);
PositionSize= -100/numberpositions;
//PositionScore
Lookback= 14;
PositionScore= ROC(C,Lookback);
Sell = ExRem(Sell,Buy);
//Buy = ExRem(Buy,Sell);
AddColumn( C, "Close", 1.2,IIf(Buy,colorGreen,colorRed) );
AddTextColumn( SectorID(1), "Sector name" );
AddTextColumn( IndustryID(1), "Industry name");
AddColumn (V, "Volume");
AddColumn (PercentGain,"PercentGain");
AddColumn (PositionScore,"PositionScore");
"PercentGain" + " " + WriteVal(PercentGain);
//"NewLo" + " " + WriteVal(NewLo);
_SECTION_END();
Hi Andy!
Two statments look in a future:
1. -> LastBarIndex = LastValue(BarIndex()); ----->>> look
in the future
2. ->LatestLowestClose = LastValue(LowestCloseWithinDaysConsidered);
----->>> look in the future
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
So I modify the code:
Minprice = 2;
//LastBarIndex = LastValue(BarIndex()); ----->>> look in the
future
LastBarIndex = BarCount -1;
DaysConsidered = Min(260, LastBarIndex+1);
LowestCloseWithinDaysConsidered = LLV(C,DaysConsidered);
PercentGain = 100*((C + .01) - ( LowestCloseWithinDaysConsidered +
.01)) / (LowestCloseWithinDaysConsidered + .01);
PercentGainGE100 = PercentGain >= 100;
Volgreat = V > EMA(V,15);
AvgVol= EMA(V,15);
percentM = 0.03;
//LatestLowestClose = LastValue(LowestCloseWithinDaysConsidered);
----->>> look in the future
LatestLowestClose = LowestCloseWithinDaysConsidered;
HighestCloseSinceLatestLowestClose = HighestSince((C ==
LatestLowestClose), C);
CloseWithin25PercentgeHighestClose = (C >=
0.75*HighestCloseSinceLatestLowestClose);
// ( 100 * (C - C1) / C1) >= 5 AND V >= 1000 AND V > V1)
TodaysSignificantMove = ( 100 * (C - Ref(C, -1)) / Ref(C,-1)) >= 3
AND V >= 1000000 AND Volgreat;
SetTradeDelays(1,0,0,0);
ApplyStop(stopTypeTrailing,stopModePercent,2,1);
Filterthis = PercentGainGE100 AND CloseWithin25PercentgeHighestClose
AND TodaysSignificantMove AND C > Minprice;
Filter = Filterthis;
Buysignalclose = C >= 0.99*HighestCloseSinceLatestLowestClose AND
Filterthis;
Buy=Sell=Short=Cover=0;
Buy = Filterthis;
Sell = C < 0.98*Buysignalclose;
//to plot the equity curve on the same graph
e=Equity();
//Plot(e,"equity",colorRed,styleLine|styleOwnScale);
shape = Buy*shapeHollowUpTriangle + Sell*shapeHollowUpTriangle;
PlotShapes(shape,IIf(Buy,colorYellow,colorDarkRed),O,IIf(Buy,Low,High));
numberpositions = 1;
SetOption ("maxopenpositions",numberpositions);
PositionSize= -100/numberpositions;
//PositionScore
Lookback= 14;
PositionScore= ROC(C,Lookback);
Sell = ExRem(Sell,Buy);
//Buy = ExRem(Buy,Sell);
AddColumn( C, "Close", 1.2,IIf(Buy,colorGreen,colorRed) );
AddTextColumn( SectorID(1), "Sector name" );
AddTextColumn( IndustryID(1), "Industry name");
AddColumn (V, "Volume");
AddColumn (PercentGain,"PercentGain");
AddColumn (PositionScore,"PositionScore");
"PercentGain" + " " + WriteVal(PercentGain);
//"NewLo" + " " + WriteVal(NewLo);
_SECTION_END();
I ran backtester for 1/1/2007 & 1/31/2008 for all US Stocks
This is result (not Bad!!!):
| Initial capital |
100000.00 |
100000.00 |
100000.00 |
| Ending capital |
243186.60 |
243186.60 |
100000.00 |
| Net Profit |
143186.60 |
143186.60 |
0.00 |
| Net Profit % |
143.19 % |
143.19 % |
0.00 % |
| Exposure
% |
98.90 % |
98.90 % |
0.00 % |
| Net Risk Adjusted
Return % |
144.78 % |
144.78 % |
N/A |
| Annual Return % |
128.27 % |
128.27 % |
0.00 % |
| Risk Adjusted
Return % |
129.70 % |
129.70 % |
N/A |
|
| All trades |
162 |
162 (100.00 %) |
0 (0.00 %) |
| Avg.
Profit/Loss |
883.87 |
883.87 |
N/A |
| Avg.
Profit/Loss % |
0.64 % |
0.64 % |
N/A |
| Avg. Bars Held |
2.54 |
2.54 |
N/A |
|
| Winners |
86 (53.09 %) |
86 (53.09 %) |
0 (0.00 %) |
| Total Profit |
421476.03 |
421476.03 |
0.00 |
| Avg. Profit |
4900.88 |
4900.88 |
N/A |
| Avg.
Profit % |
2.93 % |
2.93 % |
N/A |
| Avg. Bars Held |
3.09 |
3.09 |
N/A |
| Max. Consecutive |
10 |
10 |
0 |
| Largest win |
44651.72 |
44651.72 |
0.00 |
| # bars in largest win |
1 |
1 |
0 |
|
| Losers |
76 (46.91 %) |
76 (46.91 %) |
0 (0.00 %) |
| Total Loss |
-278289.43 |
-278289.43 |
0.00 |
| Avg. Loss |
-3661.70 |
-3661.70 |
N/A |
| Avg.
Loss % |
-1.95 % |
-1.95 % |
N/A |
| Avg. Bars Held |
1.91 |
1.91 |
N/A |
| Max. Consecutive |
6 |
6 |
0 |
| Largest loss |
-19183.64 |
-19183.64 |
0.00 |
| # bars in largest loss |
1 |
1 |
0 |
|
| Max.
trade drawdown |
-19183.64 |
-19183.64 |
0.00 |
| Max.
trade % drawdown |
-11.41 % |
-11.41 % |
0.00 % |
| Max.
system drawdown |
-33237.74 |
-33237.74 |
0.00 |
| Max.
system % drawdown |
-14.35 % |
-14.35 % |
0.00 % |
| Recovery
Factor |
4.31 |
4.31 |
N/A |
| CAR/MaxDD |
8.94 |
8.94 |
N/A |
| RAR/MaxDD |
9.04 |
9.04 |
N/A |
| Profit
Factor |
1.51 |
1.51 |
N/A |
| Payoff Ratio |
1.34 |
1.34 |
N/A |
| Standard
Error |
23642.86 |
23642.86 |
0.00 |
| Risk-Reward
Ratio |
5.74 |
5.74 |
N/A |
| Ulcer
Index |
6.95 |
6.95 |
0.00 |
| Ulcer
Performance Index |
17.67 |
17.67 |
N/A |
| Sharpe
Ratio of trades |
1.55 |
1.55 |
0.00 |
| K-Ratio |
0.1081 |
0.1081 |
-1.#IND |
Regards,Boris
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