abelduarte
9 posts
msg #117532
- Ignore abelduarte |
12/26/2013 7:20:15 PM
Backtesting this filter has produced only 100% winning trades over a 2 year period. I haven't tested much over many other time periods nor 2007-2008 but it seems to make money in bull markets.
Buy signal:
Show stocks where close near Bottom Linear Regression Line(45)
And Linear Regression Slope(45) above 0.1
Symlist(spy, dia)
Exit trigger:
Show stocks where close near Top Linear Regression Line(45)
Symlist(spy, dia)
The simple idea is to buy the SPY or DIA ETF when the closing price is near 1 standard deviation from the linear regression line (Oversold) and sell when the SPY or DIA ETF are close to the top 1 standard deviation from the linear regression line (Overbought).
This filter shows a realized gain of 74% over the two year period from jan 2010 - dec 2011
If you want to stick with a buy and hold and receive less signals you can adjust the numbers from 45 days to 200 days and still get a nice 15% annual realized return.
Just add this filter to your filter list and subscribe for email notifications on the daily.
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abelduarte
9 posts
msg #117539
- Ignore abelduarte |
12/27/2013 12:10:57 PM
Modified entry filter:
Show stocks where close near Bottom Linear Regression Line(45)
And Linear Regression Slope(45) above 0.1
And Linear Regression Slope(200) above 0.1
symlist(cpb, gm, mgm, wynn, tw, ebay, agn, pbyi, uthr, cvi, pagp, cog, twtr, cgpn, s, yhoo, fnf, rx, cg, mtw, esl, tex, aks, lxu, oln, uns, pegi, amid)
Same exit as above but it uses the best performing stocks of the year to get higher returns than the overall market. Whats funny about this is that it still managed to make a pretty nice return even from 2006-2008.
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duke56468
683 posts
msg #117543
- Ignore duke56468 |
12/27/2013 5:48:54 PM
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shillllihs
6,047 posts
msg #117546
- Ignore shillllihs |
12/27/2013 11:24:19 PM
So what happens in a bear market?
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abelduarte
9 posts
msg #117562
- Ignore abelduarte |
12/30/2013 10:15:29 AM
Thanks Duke, forgot about the fetcher command
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abelduarte
9 posts
msg #117586
- Ignore abelduarte |
1/1/2014 11:39:13 PM
I've adjusted it to simply not trade and just stay on the sidelines if the 50 day moving average moves below the 100 day moving average on the dia or spy.
Doesn't perform very well during full blown bear markets.
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shillllihs
6,047 posts
msg #117587
- Ignore shillllihs
modified |
1/2/2014 1:05:47 AM
nice.
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shillllihs
6,047 posts
msg #117609
- Ignore shillllihs |
1/5/2014 2:30:58 AM
Well, i was bored and backtested this all the way to 2002 and it only returned 5% a year.
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