StockFetcher Forums · Filter Exchange · 2010 SP500 and NYSE stocks for longs and shorts<< >>Post Follow-up
trendscanner
265 posts
msg #85104
Ignore trendscanner
modified
12/29/2009 8:54:55 AM

Going into 2010, Iím expecting that it will be difficult for many companies to show improvement in their financial performance versus 1 year ago, as the poor 2008 performance results fade and 2009 numbers, which are generally much better than 2008, are used for comparison. As the so-called recovery proceeds, I expect it will be especially hard for many small and mid caps to put up good financial results since itís the large cap firms that have been able to use lobbyists to steer much of the stimulus money and new legislation towards their industries. I expect it will be difficult even for many large caps to do well in 2010.

I decided to try to put together a filter that would identify, for swing trades in 2010, large cap or NYSE companies that are doing well financially, have had a small pullback, and appear ready for a short leg back up. I donít plan to trade filter the long version of this is until the market shows some sort of pullback.

After preparing the long version, I decided to reverse the criteria and see what a short version would look like, i.e., a filter that would identify large caps/NYSE companies that are not profitable and have had a swing up and may be ready for a short decline. These would be short or put candidates.

Here are both the long and short versions. Comments or suggestions for improvement are welcome.

LONG VERSION
Fetcher[
* Stocks are either NYSE or SP500*/
Set{N_yes, Count(NYSE, 1)}
Set{SP_yes, Count(SP500, 1)}
Set{sum, N_yes + SP_yes}
sum > 0.5

/* Companies are profitable, optionable, volume is adequate */
pe ratio > 0
optionable
average volume(45) > 700000

/* Pullback criteria*/
Count(Money Flow Index(15) reached new 4 week low, 3) > 0.5
Count(Chande Momentum Oscillator(20,9) reached new 4 week low, 3) > 0.5

/* Swing criteria*/
close above ema(5)
close 1 day ago below ema(5) 1 day ago
close above open
Slow Stochastics Slow %D(10) < 30 within last 3 days
close above ema(100)

draw ma(50)
draw ema(100)
draw ma(200)
add column ind
add column eps
add column roe
add column pe ratio
add column exchange
]




SHORT VERSION
Fetcher[
/* Stocks are either NYSE or SP500*/
Set{N_yes, Count(NYSE, 1)}
Set{SP_yes, Count(SP500, 1)}
Set{sum, N_yes + SP_yes}
sum > 0.5

Set{MFI1, Count(Money Flow Index(15) reached new 4 week high, 3)}
Set{CHande1, Count(Chande Momentum Oscillator(20,9) reached new 4 week high, 3)}
Set{sum2, MFI1 + Chande1}
sum2 > 0

/* Companies are not profitable, are optionable, volume is adequate */
pe ratio < 0.1
optionable
average volume(45) > 700000


/* Swing criteria*/
close below ema(5)
close 1 day ago above ema(5) 1 day ago
close below open

/* Optional Stochastic Criteria*/
Slow Stochastics Slow %D(10) > 65 within last 3 days


draw ma(50)
draw ema(100)
draw ma(200)
draw Slow Stochastics Slow %D(10)
add column ind
add column eps
add column roe
add column pe ratio
add column exchange
]





durgin
60 posts
msg #85189
Ignore durgin
12/29/2009 8:29:37 PM

It looks like accurate PE ratio data are critical for the long and short screens. However, if you check the stocks that are selected you will find that the Stock Fetcher data on the fundamentals (e.g. PE ratio, ROE, etc.) are totally unreliable. I suspect that SF has not updated the fundamental data for years. (Or am I missing something?)

trendscanner
265 posts
msg #85271
Ignore trendscanner
12/30/2009 10:19:52 PM

Durgin, thanks for the heads up on the SF fundamental data. I'll definitely check Yahoo or other sources before making any trades based on this filter.

Having reliable fundamental data, especially going having data that goes back 4 to 6 quatters, would be a really big benefit for this site. Seems like those data are widely available and would be relatively easy to make available here.

dm1518
15 posts
msg #86015
Ignore dm1518
1/12/2010 11:17:33 AM

I also noticed that during some bull markets, especially those where the overall market gains are less, large caps generally outperform small caps. It is for this reason that I am becoming increasingly hesitant to use my successful 2009 filters in 2010.

For example, the bull market of 2009 was clearly different from that of 2005's bull market. Smaller cap'd stocks performed very well overall in 2009, meanwhile larger cap'd stocks performed better overall back in 2005. Even more convincing that every bull market isn't the same, is that when buying on dips defined by Stochastics, VIX, and RSI, smaller cap'd stocks actually had NEGATIVE ROI's

I really like your screen - it'll help identify the large cap stocks to get into based on several factors (including money flow). But I am interested in finding technical indicators and screens that will help us to determine WHEN it will become optimal to begin trading large caps on their dips instead of trading small caps on their dips - essentially, WHEN will it become best to use your screen? How can we identify the point at which we'll begin a bull market similar to 2005's and less like 2009's???

I would imagine that a good indicator that it is time to buy large cap stocks is when the percent increase in 'money flowing into large cap stocks' is GREATER than the percent increase into small cap stocks. But how do we create a screen that compares these % increase differences between the flow of cash into large caps vs. small caps?

Are there other good indicators that can be used in combination or separately??

trendscanner
265 posts
msg #86061
Ignore trendscanner
1/12/2010 7:17:28 PM

dm1518, about your questions, here are a few thoughts.

Regarding when it would be optimal to trade large caps, I think it depends on what the market does. If it continues up, buying pullbacks of strong large cap companies probably makes sense. If it settles into a trading range, which I think is more likely, then using an oscillator, such as stochastics, will probably work for many large caps. If it starts tanking, then best to stay flat or short, obviously.

Personally, I don't think we're going to see the beginning of another true bull market for a long time. That doesn't mean there won't be bull rallys to be played.

A pair of filters that I think are good qualitative indicators of how overbought or oversold the market is are:

Fetcher[
index is SP500
rsi(2) > 95
]



and

Fetcher[
index is SP500
rsi(2) < 5
]



If you run these daily and generally track how many hits you get, it can provide an overall sense of how many SP500 stocks are getting overbought or oversold. I find that this works better for finding bottoms than tops. As a bottom approaches, once you get past the peak in how many stocks have rsi2 < 5, it can be a good qualitative indicator that a bottom is settling in. Then look for confirmation such as the SP500 bullish percent index crossing above its 4 day MA.

Not sure how to track the relative amount of money going into or out of large caps versus small caps. Maybe others on the form can offer some ideas.

StockFetcher Forums · Filter Exchange · 2010 SP500 and NYSE stocks for longs and shorts<< >>Post Follow-up

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