Friday, May 04, 2007

Cross Over Re-Test

I ran several re-tests on the cross over filter (Cross Over v6) and here are the results -


This is a 4-month stepped re-test beginning last October and completing yesterday. You can see that the win percentage remains relatively stable regardless of market conditions and the ROI remains fairly high as does the reward/risk factor. This is also a good long term (30 days) filter.

The charts from the stocks output by this filter look like this


The cross over occurred on 5/01 (I currently own shares in this stock).

Here is the code - it is easily replicated in many different systems.
show stocks where close is between 15 and 35
and average volume(90) > 500000
and open < ema(21)
and open < ema(8)
and open < ema(4)
and close > ema(21)
and close > ema(4)
and close > ema(8)
and close > open
and close 3 days ago < ema(21)
and close 5 days ago < close 3 days ago
and close 5 days ago < ema(90)

4 comments:

Anonymous said...

After receiving a list of potential candidates what determines whether you enter and what are your entry parameters?

How do you handle market conditions with respect to entering possible candidates?

Marlyn Trades said...

Candidates are always ranked in volume order - highest to lowest - for testing purposes the highest volume candidate on any given day is selected for the test. When I trade in the real world I always look at the top 3 or 4 (if that many are output) and I choose by several criteria the most important being "have I traded this one successfully in the past and what does my book say about it". After that it is high beta, high momentum, high atr and so on.

Dogwood said...

Marlyn,

I can't come close to matching your win/loss/return numbers with this script or the BOB when using the same time periods.

Can you tell me what settings you use for number of positions each day, total number of positions allowed, stop loss, etc.?

Just trying to figure out why my numbers are dramatically different than yours, for instance, I can't get more winners than losers backtesting the crossover script.

Thanks.

Marlyn Trades said...

See my post - stockfetcher set up