I'm trying to do some backtesting in Metastock on your list of stocks. NSOL is the best so far. 60 minute chart, data from 2/8 to today.
System Report - Moving Average Xover SMA
NSOL Results
Total net profit 50732.36 Open position val 3714.19
Percent gain/loss 507.32 Annual percent ga 1815.42
Initial investmen10000.00 Interest earned 0.00
Current position Short Date position ent/18/2000
2:30:000
Buy/Hold profit 485.21 Days in test 102
Buy/Hold pct gain 4.85 Annual B/H pct ga 17.36
Total closed trad 53 Commissions paid 5350.00
Avg profit per tr 887.14 Avg Win/Avg Loss 3.13
Total long trades 27 Total short trade 26
Winning long trad 14 Winning short tra 14
Total winning tra 28 Total losing trad 25
Amount of winning65742.52 Amount of losing 18724.36
Average win 2347.95 Average loss -748.97
Largest win 8053.48 Largest loss -4799.37
Average length of 14.21 Average length of 5.48
Longest winning t 43 Longest losing tr 13
Most consecutive 6 Most consecutive 5
Total bars out 8 Average length ou 8.00
Longest out perio 8
System close draw-1275.12 Profit/Loss index 73.04
System open drawd-1337.91 Reward/Risk index 97.43
Max open trade dr-4749.37 Buy/Hold index 11121.14
System Report - Moving Average Xover SMA
System Parameters
System notes Buys/sells when a moving average of
periods goes above/below a moving
"OPT2" periods. Select "Optimize"
periods in the moving averages.
Enter long Mov(C,opt1,S) >= Mov(C,opt2,S)
Close long Mov(C,opt1,S) < Mov(C,opt2,S)
Enter short Mov(C,opt1,S) <= Mov(C,opt2,S)
Close short Mov(C,opt1,S) > Mov(C,opt2,S)
OPT1 Shorter-term mov. average
Range: From 5 to 15 by 5
Current value: 5
OPT2 Longer-term mov. average
Range: From 8 to 32 by 4
Current value: 8
Initial equity 10000
Positions Long and short
Entry trade priClose
Entry trade del0
Exit trade pricClose
Exit trade dela0
Entry commissio50 points
Exit commission50 points
Interest rate 0%
Margin req. 100%
System Report - Moving Average Xover SMA
NSOL Trades
Enter Exit Profit MAE Reason For
--- Out 2/8/2000 3:30:000 2/9/2000 3:30:000 0.00 0.00 Enter long si
1 Long 2/9/2000 3:30:000 /11/2000 5:30:000 1154.18 6.56 Enter short s
2 Short /11/2000 5:30:000 /14/2000 2:30:000 -290.70 7.97 Enter long si
3 Long /14/2000 2:30:000 /15/2000 9:30:000 -91.20 3.63 Enter short s
4 Short /15/2000 9:30:000 /16/2000 0:30:000 266.13 0.44 Enter long si
5 Long /16/2000 0:30:000 /16/2000 3:30:000 -249.15 2.69 Enter short s
6 Short /16/2000 3:30:000 /17/2000 0:30:000 -174.46 6.52 Enter long si
7 Long /17/2000 0:30:000 /17/2000 3:30:000 -100.00 1.31 Enter short s
8 Short /17/2000 3:30:000 /18/2000 9:30:000 -303.97 4.44 Enter long si
9 Long /18/2000 9:30:000 /18/2000 5:30:000 -404.06 7.69 Enter short s
10 Short /18/2000 5:30:000 /23/2000 0:30:000 349.38 0.00 Enter long si
11 Long /23/2000 0:30:000 /25/2000 3:30:000 1330.93 0.06 Enter short s
12 Short /25/2000 3:30:000 /29/2000 9:30:000 -213.62 3.27 Enter long si
13 Long /29/2000 9:30:000 3/1/2000 4:30:000 44.28 4.94 Enter short s
14 Short 3/1/2000 4:30:000 3/2/2000 9:30:000 -581.05 8.28 Enter long si
15 Long 3/2/2000 9:30:000 3/2/2000 5:30:000 -695.24 10.88 Enter short s
16 Short 3/2/2000 5:30:000 3/3/2000 1:30:000 -989.86 15.50 Enter long si
17 Long 3/3/2000 1:30:000 3/8/2000 9:30:000 804.03 3.63 Enter short s
18 Short 3/8/2000 9:30:000 3/8/2000 4:30:000 1130.74 22.25 Enter long si
19 Long 3/8/2000 4:30:000 /10/2000 3:30:000 1377.58 4.41 Enter short s
20 Short /10/2000 3:30:000 /13/2000 5:30:000 391.48 7.63 Enter long si
21 Long /13/2000 5:30:000 /14/2000 9:30:000 158.75 0.00 Enter short s
22 Short /14/2000 9:30:000 /16/2000 4:30:000 522.32 1.28 Enter long si
23 Long /16/2000 4:30:000 /17/2000 3:30:000 -460.60 15.78 Enter short s
24 Short /17/2000 3:30:000 /17/2000 5:30:000 -154.50 1.53 Enter long si
25 Long /17/2000 5:30:000 /20/2000 0:30:000 -813.92 16.28 Enter short s
26 Short /20/2000 0:30:000 /21/2000 5:30:000 14.59 10.72 Enter long si
27 Long /21/2000 5:30:000 /22/2000 5:30:000 474.71 0.69 Enter short s
28 Short /22/2000 5:30:000 /24/2000 9:30:000 348.22 0.00 Enter long si
29 Long /24/2000 9:30:000 /27/2000 9:30:000 391.27 5.38 Enter short s
30 Short /27/2000 9:30:000 /27/2000 1:30:000 64.38 1.00 Enter long si
31 Long /27/2000 1:30:000 /27/2000 5:30:000 -293.70 5.25 Enter short s
32 Short /27/2000 5:30:000 4/4/2000 5:30:000 4080.31 7.00 Enter long si
33 Long 4/4/2000 5:30:000 /10/2000 3:30:000 5550.63 5.81 Enter short s
34 Short /10/2000 3:30:000 /11/2000 5:30:000 2007.71 1.00 Enter long si
35 Long /11/2000 5:30:000 /12/2000 0:30:000 -967.17 11.75 Enter short s
36 Short /12/2000 0:30:000 /17/2000 3:30:000 5801.01 3.13 Enter long si
37 Long /17/2000 3:30:000 /19/2000 3:30:000 8053.48 0.25 Enter short s
38 Short /19/2000 3:30:000 /25/2000 0:30:000 5978.51 0.31 Enter long si
39 Long /25/2000 0:30:000 /26/2000 5:30:000 -994.23 3.44 Enter short s
40 Short /26/2000 5:30:000 /27/2000 1:30:000 4799.37 13.75 Enter long si
41 Long /27/2000 1:30:000 5/1/2000 5:30:000 5252.12 4.31 Enter short s
42 Short 5/1/2000 5:30:000 5/4/2000 0:30:000 4537.39 4.44 Enter long si
43 Long 5/4/2000 0:30:000 5/8/2000 1:30:000 4430.32 2.38 Enter short s
44 Short 5/8/2000 1:30:000 /10/2000 9:30:000 5299.74 1.69 Enter long si
45 Long /10/2000 9:30:000 /10/2000 1:30:000 538.67 3.00 Enter short s
46 Short /10/2000 1:30:000 /11/2000 9:30:000 431.27 6.50 Enter long si
47 Long /11/2000 9:30:000 /11/2000 1:30:000 -640.58 2.25 Enter short s
48 Short /11/2000 1:30:000 /12/2000 1:30:000 -450.74 5.38 Enter long si
49 Long /12/2000 1:30:000 /12/2000 5:30:000 1509.34 4.81 Enter short s
50 Short /12/2000 5:30:000 /15/2000 3:30:000 -816.62 4.38 Enter long si
51 Long /15/2000 3:30:000 /17/2000 9:30:000 6089.12 0.00 Enter short s
52 Short /17/2000 9:30:000 /18/2000 9:30:000 -550.52 5.06 Enter long si
53 Long /18/2000 9:30:000 /18/2000 2:30:000 1049.03 2.34 Enter short s
54 Open Short /18/2000 2:30:000 /19/2000 5:30:000 3714.20 1.81
|
