StockFetcher Forums · Filter Exchange · 300% ROI long filter. 150% during the 2008-9 crash<< 1 2 >>Post Follow-up
GoldStandard
7 posts
msg #96391
Ignore GoldStandard
9/19/2010 4:02:34 PM

Here's a filter I patched together from several others. Impulsive buying and pvt trend filter to identify strong stocks, with sudden rsi drop filter to catch them on dips. Also filtered by slope of SPY (thanks Kevin and four).

Using an rsi(2) >70 exit and no SL or TP reduced maximum profit in good times, but seems to reduce drawdown during bad times and improved the overall win %. (Using SL and TP it had over 700% ROI during some periods but lost money during the crash.)

It tests at over 300% ROI during good times and survived the 2008-9 crash ( 7/25/2008 to 4/24/2009) still making 150% ROI

I'm curious what people think about this one. Is it too highly filtered to be reliable? Any criticisms or suggestions for improvement are welcome.

show stocks where count(RSI(2) 2 day ago above 90,60) is above 0
and RSI(2) is below 20
and average volume(10) above 100000
and close one day ago more than 8% below close 2 day ago
and close more than 4% below close 1 day ago
and close above 0.99
and 60 day slope of close is above 0
and 90 day slope of pvt is above 0
and 30 day slope of pvt is above 0



SET{VARA,CLOSE 1 DAY AGO}

SET{VAR1,COUNT(CLOSE ABOVE VARA,4)}
SET{IMPBUYING,COUNT(VAR1 ABOVE 3.5,1)}

SET{VAR11,COUNT(CLOSE BELOW VARA,4)}
SET{IMPSELLING,COUNT(VAR11 ABOVE 3.5,1)}

SET{VAR2,COUNT(IMPBUYING ABOVE .5,100)}
SET{VAR3,COUNT(IMPSELLING ABOVE .5,100)}
SET{IMPBIAS,VAR2 - VAR3}
SET{VAR4,IMPSELLING + IMPBUYING}
VAR4 ABOVE .5

and market is not otcbb

set{spy, ind(spy, close)}
set{SPYMA30, cma(spy, 30)}
set{golong, 5 day slope of SPYMA30}

and golong above 0

CLOSE ABOVE .5
VOLUME ABOVE 10000

wkloss
230 posts
msg #96393
Ignore wkloss
9/19/2010 7:00:02 PM

617 hits from Friday.

Any thoughts on how to narrow these down?

Bill

Mactheriverrat
1,328 posts
msg #96398
Ignore Mactheriverrat
9/20/2010 12:53:07 AM

and close is between 1 and 20



-------------------------
or what ever price range you want look at

four
4,005 posts
msg #96399
Ignore four
9/20/2010 9:41:10 AM

VOLUME ABOVE 10000
---------------------
increase volume and/or average volume

avgvol(22) > 123456
volume > 123456

klynn55
425 posts
msg #96408
Ignore klynn55
9/20/2010 12:54:31 PM

Gold: im copying and pasting your filter, cant get it to run? tried DEBUG ? Help!

olathegolf
64 posts
msg #96420
Ignore olathegolf
9/20/2010 8:47:53 PM

I ran a 2 year backtest from 9/17/08 through 9/17/10.

Trade Statistics:
There were 134 total stocks entered. Of those, 134 or 100.00% were complete and or 0.00% were open.
Of the 134 completed trades, 89 trades or 66.42%resulted in a net gain.
Your average net change for completed trades was: 4.93%.
The average draw down of your approach was: -12.23%.
The average max profit of your approach was: 12.02%
The Reward/Risk ratio for this approach is: 2.42
Annualized Return on Investment (ROI): 189.65%, the ROI of ^SPX was: -3.43%.

2008: No stocks selected.
2009: 124 stocks selected (avg. 5.52% @ 6.4 day avg hold time).
2010: 10 stocks selected (avg. -2.31% @ 6.2 day hold time).
Avg entry price: $4.66 per share
Many trades were bunched together.

Fetcher[
show stocks where count(RSI(2) 2 day ago above 90,60) is above 0
and RSI(2) is below 20
and average volume(10) above 100000
and close one day ago more than 8% below close 2 day ago
and close more than 4% below close 1 day ago
and close above 0.99
and 60 day slope of close is above 0
and 90 day slope of pvt is above 0
and 30 day slope of pvt is above 0



SET{VARA,CLOSE 1 DAY AGO}

SET{VAR1,COUNT(CLOSE ABOVE VARA,4)}
SET{IMPBUYING,COUNT(VAR1 ABOVE 3.5,1)}

SET{VAR11,COUNT(CLOSE BELOW VARA,4)}
SET{IMPSELLING,COUNT(VAR11 ABOVE 3.5,1)}

SET{VAR2,COUNT(IMPBUYING ABOVE .5,100)}
SET{VAR3,COUNT(IMPSELLING ABOVE .5,100)}
SET{IMPBIAS,VAR2 - VAR3}
SET{VAR4,IMPSELLING + IMPBUYING}
VAR4 ABOVE .5

and market is not otcbb

set{spy, ind(spy, close)}
set{SPYMA30, cma(spy, 30)}
set{golong, 5 day slope of SPYMA30}

and golong above 0

CLOSE ABOVE .5
VOLUME ABOVE 10000
]



Tesla
7 posts
msg #97093
Ignore Tesla
10/19/2010 1:19:10 PM

Great filter! did some tweaking and back testing and also got good results.

I mostly trade options so I included: and stocks are optionable

I also included: and where market cap is between 400 and 90000 (to eliminate small companies that are not very liquid)

This reduced the amount of hits significantly so I changed:
and close one day ago more than 5% below close 2 day ago
and close more than 2% below close 1 day ago


It does not get a huge amount of triggers, but when it does trigger I found its better to wait until the stock opens and closes above the closing price on the day of the trigger before buying. If this doesn't happen within 3 days of the trigger then don't take the trade. This helps avoid some of the larger losing trades.

dwiggains
391 posts
msg #97107
Ignore dwiggains
10/20/2010 8:33:04 AM

I cannot get this filter to run.

Anyone else have problems??

See ya
David

Laxmimata
7 posts
msg #97231
Ignore Laxmimata
10/28/2010 5:30:15 PM

I can't get it work either. In debug last line shows 0% result hence filter doe not pick any stocks. Though there is not a singal syntax error

tarun766
50 posts
msg #108519
Ignore tarun766
10/24/2012 5:27:07 PM

Could someone post the best version of this?

StockFetcher Forums · Filter Exchange · 300% ROI long filter. 150% during the 2008-9 crash<< 1 2 >>Post Follow-up

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