A backtest on the TAZ system

Just would like to share.

I tried to immitate the entry/exit signals as close as possible to the TAZ, and backtested it, just to get a feel of confidence on how the system would work.

Basically, it's pretty close to the TAZ, but not exactly similar in the technical part, but it's close in the fundamental part, as in "Buying the pullback on strong up trending" counters.

I did the backtest on TDAmeritrade's StratergyDesk.

For easier calculation, I made the trading size on each entry to be $5,000/=

Here's the Formula:-

For Entries:-
{GMMA LONG TERM’s}
MovingAverage[MA, Close, 30, 0, D] > MovingAverage[MA, Close, 40, 0, D] AND
MovingAverage[MA, Close, 40, 0, D] > MovingAverage[MA, Close, 50, 0, D] AND
MovingAverage[MA, Close, 50, 0, D] > MovingAverage[MA, Close, 60, 0, D] AND

MovingAverage[MA, Close, 30, 20, D] > MovingAverage[MA, Close, 40, 20, D] AND
MovingAverage[MA, Close, 40, 20, D] > MovingAverage[MA, Close, 50, 20, D] AND
MovingAverage[MA, Close, 50, 20, D] > MovingAverage[MA, Close, 60, 20, D] AND

MovingAverage[MA, Close, 30, 40, D] > MovingAverage[MA, Close, 40, 40, D] AND
MovingAverage[MA, Close, 40, 40, D] > MovingAverage[MA, Close, 50, 40, D] AND
MovingAverage[MA, Close, 50, 40, D] > MovingAverage[MA, Close, 60, 40, D] AND

MovingAverage[MA, Close, 10, 0, D] > MovingAverage[MA, Close, 30, 0, D] AND

{Stochastic}
Stochastic[StocK, 12, 3, 3, D,1] < 20 AND
Stochastic[StocK, 12, 3, 3, D, 9] > 20 AND

{Price > yesterday’s HIGH}
Bar[High, D] > Bar[High, D, 1]

For Exits:-
{Stochastic cross below}
Stochastic[StocK, 12, 3, 3, D, 1] > Stochastic[StocD, 12, 3, 3, D, 1] AND
Stochastic[StocK, 12, 3, 3, D] < Stochastic[StocD, 12, 3, 3, D]

And here's the results. Looks pretty solid to me :)

Just to share :)

Attachments:

a.xls, 46 KB

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Replies to This Discussion

Permalink Reply by Brett Theron on August 19, 2008 at 11:46am: wow, thats awesome!; ▶ Reply to This

Permalink Reply by Daniel on August 19, 2008 at 2:41pm: Just wondering Why you chose the Stochastics to exit?

Thanks; ▶ Reply to This

Permalink Reply by swing2freedom on August 19, 2008 at 9:10pm: that's the easiest thing that came into mind :p
i just counldn't figure out a better way to code it :p; ▶ Reply to This

Permalink Reply by Bullman on August 19, 2008 at 3:19pm: swing2freedom,
Was that for all stocks or a specific watchlist? I get 108 trades over about 3.5 yrs. Is that right?

Where did I go wrong? Entries come out to about 10,000:
8/10/2005 Buy 388 @ $25.72= $9979.36

What was the max trades working at one time? At quick glance I see about 4. If that's all, it's well workable.; ▶ Reply to This

Permalink Reply by swing2freedom on August 19, 2008 at 9:14pm: that's just a list of stocks i filtered out which are $30 and above, and having a daily volume > 2M.

Yeah. I ran it thru 2005 - 2008.

I set it to allocate $10,000 for each trade.

There's no maximum trades whatsoever. I'm just running it thru all the watchlist, and take on all trades that come into the scans, with $10,000 per trade.; ▶ Reply to This

Permalink Reply by Bullman on August 20, 2008 at 8:11am: Max trades - I was just wondering if the test spit out the max # of trades working at one time during the period. For example: if one day there were 100 trades that were triggered and it happens often, then you would need a whole lot of cash. Not too realistic. Of course that is just an exaggeration.

This system looked pretty realistic to implement. I saw maybe 4 trades working at one time once in a while. I didn't look in depth at it.; ▶ Reply to This

Permalink Reply by Bullman on August 20, 2008 at 8:44am: I ran a backtest on Ameritrade that tested a system that I came up with. It was pretty good. It had a 80% win ratio and gave like 400% gains a year. I used a watchlist of the current IBD100.

Here is the problem with backtesting on Ameritrade. You start off with a watchlist of stocks that are currently filling your requirement and not filling your requirement at the the day of your trigger. In my system I was testing stocks that have already increased, so I am naturally going to get good results.

Your requirements of $30> and above and volume > 2 million. Those are the only stocks tested. I am assuming that that is the criteria for each day to see witch stocks that trigger a buy signal.

1) Suppose that a stock that trades at $30 today traded at $5 two years ago. That stock is most likely going to show a gain. But it should not have shown in the scan. Show it shouldn't count

2) Suppose a stock is trading at $5 today and was at $60 2 years ago. You won't be testing it. This would most likely have a negative effect on your results that will not be taken into account.

Not to say that your system isn't taking this into account, just that backtesting a watchlist based on current scans does not properly test all stocks at the time of the trigger.; ▶ Reply to This

Permalink Reply by swing2freedom on August 21, 2008 at 3:41am: actually i was only trying to get a feel on how this strategy is gonna work.
I understand what you mentioned, and i truly agree with you.

Maybe I shall do this on ALL the stocks that are available in the market right now, but that would take too long i bleieve.; ▶ Reply to This