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Sunday, August 23, 2009

Back Testing

I have been a little busy back testing.

Not as fun as you might think because there were a lot of manual hand entries.

I am only allowed 4 months period for testing and that is why you see results for different months beginning. In a way, it is better because what if you did not start trading until Feb or Apr?

ROI% is annualized and the actual result for 4 months starting Jan was 32.87%

More details for Jan results.

Name: C gt O 4-8-21(10,2) 10% 01
Initial portfolio Size: $100000.00
Maximum Open Positions: 25
Initial transaction size: $4000.00
Start Date: 01/05/09
End Date: 05/01/09
# Trading Days: 81

Invested In Stock: $0.00
Market Value of Stock: $0.00
Market Value - Invested: - $0.00
Available Cash: $132872.80
Total (Cash + Market): $132872.80

Here were the screens from the previous day.

Who said buy and hold is dead? Did you see the performance results.


Account size: $100k
Trade size: $4k

Approach Type: Long
Start Date: 01/02/2009
End Date: 05/01/2009

Exit Setup
Profit Stop: 10%
Minimum Holding Days: 4
Maximum holding days: 90
Exit Trigger #1: open below Chandelier Exit(10,2)

Selection Method: select by Day Change ascending
Entry Price: open
Exit Price: open
Maximum Trades Per Day: 5
Maximum Open Positions: 25
Maximum Selected Stocks: All