Weekend Trend Trader by Nick Radge Strategy for ThinkorSwim

[Jacque]

Can someone help me with inputting these parameters for the Nick Radge strategy in TOS screener, maybe with a screenshot? ROC >10% over last 20 weeks and for stocks at least 10% above their 200 DMA. Thanks!!

I’m looking for a weekly scan.

 

[cabe1332]

I’m looking for a weekly scan.

@Jacque the 10% above 200EMA is available on stock hacker (screenshot below). Below is the script you need to add as a study filter for the ROC. Give that a shot. Good luck! @cabe1332


# RateOfChange > 10% Weekly AG
# cabe1332

# code start
def price = close(period = AggregationPeriod.week);
def change = round((price - price[5]) / price[5] * 100,0);
def rc = change > 10;

plot scan = rc;
# code end

 

[cabe1332]

Yeah, I'm pretty new to TOS and looking for the same scanner. Can someone point me in the right direction please? Thanks!

See my post below. Just change the ROC from 10 to 30. Good luck! @cabe1332

 

[EvilSurgeon]

Tested with a 20 week trailing ATR 3 stop.

Did not make money with the stops out-lined in the original post using trailing stops of 40% and 10% .

This was tested on the S&P 100 from 1992 using 5% of equity per trade. The totals below do not include dividends received of $131,223.00 for the test period.

	All Trades	Long Trades	Short Trades	Benchmark Buy & Hold (SPX)
Starting Capital	$25,000.00​	$25,000.00​	$25,000.00​	$25,000.00​
Ending Capital	$1,789,306.17​	$1,789,306.17​	$25,000.00​	$194,838.11​
Net Profit	$1,764,306.17​	$1,764,306.17​	$0.00​	$169,838.11​
Net Profit %	7057.22%​	7057.22%​	0.00%​	679.35%​
Annualized Gain %	16.61%​	16.61%​	0.00%​	7.67%​
Exposure	88.50%​	88.50%​	0.00%​	99.57%​
Total Commission	($683.10)​	($683.10)​	$0.00​	($4.95)​
Return on Cash	$0.00​	$0.00​	$0.00​	$0.00​
Margin Interest Paid	$0.00​	$0.00​	$0.00​	$0.00​
Dividends Received	$0.00​	$0.00​	$0.00​	$0.00​
Number of Trades	78​	78​	0​	1​
Average Profit	$22,619.31​	$22,619.31​	$0.00​	$169,838.11​
Average Profit %	420.94%​	420.94%​	0.00%​	689.24%​
Average Bars Held	326.59​	326.59​	0​	1,449.00​
Winning Trades	55​	55​	0​	1​
Win Rate	70.51%​	70.51%​	0.00%​	100.00%​
Gross Profit	$1,904,415.10​	$1,904,415.10​	$0.00​	$169,838.11​
Average Profit	$34,625.73​	$34,625.73​	$0.00​	$169,838.11​
Average Profit %	606.40%​	606.40%​	0.00%​	689.24%​
Average Bars Held	412.58​	412.58​	0​	1,449.00​
Max Consecutive Winners	13​	13​	0​	1​
Losing Trades	23​	23​	0​	0​
Loss Rate	29.49%​	29.49%​	0.00%​	0.00%​
Gross Loss	($140,108.93)​	($140,108.93)​	$0.00​	$0.00​
Average Loss	($6,091.69)​	($6,091.69)​	$0.00​	$0.00​
Average Loss %	-22.57%​	-22.57%​	0.00%​	0.00%​
Average Bars Held	120.96​	120.96​	0​	0​
Max Consecutive Losses	3​	3​	0​	0​
Maximum Drawdown	($489,973.50)​	($489,973.50)​	$0.00​	($57,097.29)​
Maximum Drawdown Date	12/21/2018​	12/21/2018​	12/6/1991​	3/6/2009​
Maximum Drawdown %	-38.54%​	-38.54%​	0.00%​	-56.05%​
Maximum Drawdown % Date	3/6/2009​	3/6/2009​	9/23/2019​	3/6/2009​
Sharpe Ratio	0.99​	0.99​	0​	0.58​
Profit Factor	13.59​	13.59​	0​	∞
Recovery Factor	3.6​	3.6​	0​	2.97​
Payoff Ratio	26.87​	26.87​	0​	0​
Profit / Total Bars	$1,210.09​	$1,210.09​	$0.00​	$116.49​

Period Starting	Return	Return %	Max DD %	Exposure %	Entries	Exits
12/13/1991​	$0.00​	0​	0​	0​	0​	0​
1/3/1992​	$3,434.64​	13.74​	-4.78​	53.92​	21​	3​
1/8/1993​	$7,465.68​	26.26​	-5.69​	95.03​	1​	1​
1/7/1994​	$3,798.14​	10.58​	-8.65​	92.33​	2​	1​
1/6/1995​	$16,123.39​	40.61​	-4.14​	94.42​	2​	1​
1/5/1996​	$17,838.34​	31.96​	-5.77​	95.87​	1​	1​
1/3/1997​	$15,967.41​	21.68​	-11.78​	97.17​	1​	2​
1/2/1998​	$42,293.09​	47.19​	-18.12​	92.93​	3​	1​
1/8/1999​	$28,068.27​	21.28​	-8.96​	94.85​	1​	1​
1/7/2000​	$26,498.23​	16.56​	-9.49​	91.3​	3​	4​
1/5/2001​	($31,168.98)​	-16.71​	-28.61​	93.52​	4​	3​
1/4/2002​	($23,878.59)​	-15.37​	-22.17​	96.57​	1​	1​
1/3/2003​	$50,083.36​	38.1​	-6.58​	96.89​	0​	2​
1/2/2004​	$46,306.44​	25.51​	-6.11​	96.76​	2​	2​
1/7/2005​	$52,127.41​	22.88​	-5.36​	92.56​	3​	2​
1/6/2006​	$34,142.25​	12.2​	-7.25​	98.34​	1​	1​
1/5/2007​	$56,859.43​	18.1​	-5.4​	97.42​	0​	1​
1/4/2008​	($136,865.25)​	-36.9​	-39.68​	83.1​	2​	9​
1/2/2009​	$89,174.85​	38.09​	-12.24​	87.36​	8​	1​
1/8/2010​	$52,330.98​	16.19​	-13.99​	88.07​	6​	4​
1/7/2011​	$31,330.06​	8.34​	-16.38​	98.04​	0​	0​
1/6/2012​	$73,947.13​	18.17​	-10.39​	95.06​	0​	1​
1/4/2013​	$273,622.41​	56.9​	-4.76​	98.11​	2​	1​
1/3/2014​	$172,067.38​	22.81​	-9.28​	95.62​	2​	5​
1/2/2015​	($5,513.04)​	-0.59​	-14.01​	84.28​	4​	8​
1/8/2016​	$28,835.52​	3.13​	-7.03​	88.88​	6​	0​
1/6/2017​	$182,763.00​	19.24​	-2.71​	96.25​	5​	4​
1/5/2018​	($38,928.78)​	-3.44​	-15.46​	81.58​	9​	12​
1/4/2019​	$233,060.22​	21.31​	-5.34​	93.09​	3​	0​

Hi mc01439 and Zachc, I have a similar backtest excel sheet, it may have come from one of you. Is there an automated way of doing this and across many stocks? I had to do one stock at a time and combine the data. A quick search of the forum did not yield anything, so apologies if already asked and answered, but is so, pls provide a like to the thread. Thanks! Awesome work.

 

[charlie2598]

@Zachc you made that in excel file or you have other software for backtesting the strategy or TOS.
how we can link data in excel.as I am not that good with strategy backtest thing.

 

[MerryDay]

@Zachc you made that in excel file or you have other software for backtesting the strategy or TOS.
how we can link data in excel.as I am not that good with strategy backtest thing.

You can download ToS data or manually input it into excel

 

[EvilSurgeon]

Hi @BenTen or @MerryDay or anyone else. I just posted a similar, but slightly different question in the Long Term BB Breakout thread (https://usethinkscript.com/threads/...akout-strategy-for-thinkorswim.451/post-94617).

In post #1 above @gamgoum (not seen in awhile), he states

Ideas for scanning for potential stocks:
I tried to combine 20 weeks high with Rate of change > 30% but the output of such a scan was very limited (perhaps due to current volatility in the markets. A more reliable scanner I found was to scan for ROC >10% over last 20 weeks and for stocks at least 10% above their 200 DMA.
You can use other momentum scanners and let me know if you find something relevant.

Looking at the original weekend trend trader code from post #1 above (https://usethinkscript.com/threads/weekend-trend-trader-by-nick-radge-strategy-for-thinkorswim.669/) we see the following:

input roc = 10;

## Confirmation rate of change
def rate = RateOfChange(roc);

plot buySignal = Twentyweekhigh and rate > roc and marClose > RF;

Similar to the LTBB Breakout, shouldn't the code be:

input roc = 20;

## Confirmation rate of change
def rate = RateOfChange(roc);

plot buySignal = Twentyweekhigh and rate > 10 and marClose > RF;

Assuming roc is time of lookback for RateofChange?

Thanks!

 

[EvilSurgeon]

Hi @BenTen or @MerryDay or anyone else. I just posted a similar, but slightly different question in the Long Term BB Breakout thread.
Looking at the original code in post #1 https://usethinkscript.com/threads/weekend-trend-trader-by-nick-radge-strategy-for-thinkorswim.669/
@gamgoum (not seen in awhile) suggest an ROC of 10% over 20weeks.

Comparing to the LTBBBreakout, the code in post #1 states:

input roc = 10;

, shouldn't this be 20?
Later the code in post #1 states

## Confirmation rate of change
def rate = RateOfChange(roc);

then

plot buySignal = Twentyweekhigh and rate > roc and marClose > RF;

Shouldn't this be rate > 10?

What I am suggesting is more in line with the LTBBreakout code, and I believe roc is the time period for the rate of change.

​

 

[MerryDay]

Hi @BenTen or @MerryDay or anyone else. I just posted a similar, but slightly different question in the Long Term BB Breakout thread.
Looking at the original code in post #1 https://usethinkscript.com/threads/weekend-trend-trader-by-nick-radge-strategy-for-thinkorswim.669/
@gamgoum (not seen in awhile) suggest an ROC of 10% over 20weeks.

Comparing to the LTBBBreakout, the code in post #1 states:

input roc = 10;

, shouldn't this be 20?
Later the code in post #1 states

## Confirmation rate of change
def rate = RateOfChange(roc);

then

plot buySignal = Twentyweekhigh and rate > roc and marClose > RF;

Shouldn't this be rate > 10?

What I am suggesting is more in line with the LTBBreakout code, and I believe roc is the time period for the rate of change.

​

I don't use it. Make the changes, observe, create a spreadsheet of the differences. Come back and teach us what you learn.
Interesting ideas!

 

[TPTrades]

I'm using a trail stop factor of 3. How would I be able to scan for a BuyOrder or SellOrder?

 

[MerryDay]

I'm using a trail stop factor of 3.

You change input settings in the settings window:
1. click on the flask at the top of your chart
2. click on the gear to the right of the indicator
3. change whatever settings you want

How would I be able to scan for a BuyOrder or SellOrder?

To create scan:
1. Remove these lines of code from the script:

AddOrder(condition = buySignal, type = OrderType.BUY_TO_OPEN, price = open[-1], name = "BuyOrder");
AddOrder(condition = sellSignal, type = OrderType.SELL_TO_CLOSE, price = open[-1], name = "SellOrder");
AddOrder(condition = cross, type = OrderType.SELL_TO_CLOSE, price = open[-1], name = "TrailStop");

2. Then copy & paste the code into the study tab
3. The scan filter is:

buysignal is true

If you need assistance in setting up your scan filter:
https://usethinkscript.com/threads/how-to-use-thinkorswim-stock-hacker-scans.284/

 

[antwerks]

I ran the strat through my backtest as well. My parameters were as such
20 Random SP100 stocks
35 Years of data
Roc 20 for the first test (I had completed a test at ROC10 but the file corrupted so I will need to redo it later tonight)


Full Stats of the backtest for ROC20
View attachment 5494

P/L Distribution Graph
View attachment 5496

Equity Return
View attachment 5498

what did you attribute the 50% drawdown to - market dynamics, economy, news, sales...etc...