StockFetcher Forums · Filter Exchange · 5 day swing trades<< 1 2 3 >>Post Follow-up
lohmeyer1
4 posts
msg #44113
Ignore lohmeyer1
5/23/2006 10:37:13 PM

trader,

Thanks for the info. I will investigate you 10 day swing as well.


traderblues
195 posts
msg #44129
Ignore traderblues
5/24/2006 6:42:42 AM

lohmeyer,

I did another test with a 25 day max holding period, and a 25% profit stop. I left the RSI(5)>75 sell trigger in. Now we're getting somewhere...

BJS



Approach Information
Approach Name: new opportunity 1-1-02 to 1-1-04
Test started on 12/31/2001 ended on 12/31/2003, covering 504 days
Filter used:
set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity reached a new 10 week high
and rsi(5) is below 25
and price is above 0.5
and dailytot is above 150000
and high has been above MA(100) for the last 40 days
and price is above MA(50)
and add column rsi(5)
and sort by column 8 ascending

Trade Statistics
There were 421 total stocks entered. Of those, 391 or 92.87% were complete and 30 or 7.13% were open.
Of the 391 completed trades, 299 trades or 76.47%resulted in a net gain.
Your average net change for completed trades was: 8.98%.
The average draw down of your approach was: -8.54%.
The average max profit of your approach was: 15.35%
The Reward/Risk ratio for this approach is: 5.22
Annualized Return on Investment (ROI): 137.60%, the ROI of ^SPX was: -2.07%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 83 times or 21.23% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 127 times or 32.48% of the time.
An exit trigger was executed 181 times or 46.29% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:299281299295303291
Losers:90136120121118129
Win/Loss Ratio:3.32:12.07:12.49:12.44:12.57:12.26:1
Net Change:8.98%3.11%5.32%7.22%11.93%14.43%

Statistics By Variable: Match Price
 <50<100<150<200<250<300<350<400<450<500
Completed291:876:20:11:0-----1:0
2 day chg272:1337:20:11:0-----1:0
5 day chg292:1155:40:11:0-----1:0
10 day chg287:1177:20:11:0-----0:1
25 day chg295:1146:30:11:0-----1:0
40 day chg281:1278:10:11:0-----1:0

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed279:8711:14:02:0-1:11:01:0-0:1
2 day chg265:1256:83:13:0-2:01:11:0-0:1
5 day chg281:1118:64:03:0-1:11:11:0-0:1
10 day chg275:1149:54:03:0-2:01:11:0-0:1
25 day chg287:1078:64:02:1-1:10:21:0-0:1
40 day chg275:1187:73:13:0-2:00:21:0-0:1



traderblues
195 posts
msg #44135
Ignore traderblues
5/24/2006 1:57:37 PM

I did a test of this last filter from 1-1-04 to 1-1-06, and it didn't do nearly as well (average gain of around 2.5% with a 25 day holding period). I then went back and rechecked the first filter I created (the one I started this thread with), and it still shows an average of around 4% over 5 days, for all periods. So it looks like the original filter is more consistent.

BJS


morteza471
125 posts
msg #44136
Ignore morteza471
5/24/2006 2:24:04 PM

i like this filter all you have to do is buy next low and hold.
thanks


nikoschopen
2,824 posts
msg #44137
Ignore nikoschopen
modified
5/24/2006 3:10:43 PM

traderblues,

Would you mind explaining the rationale behind this filter from the perspective of real-life trading? Are you curretly implementing this strategy in your trading? How have you fared within the last 5 days? Have you made a profit in excess of 4% as you initially postulated?

TIA


Edit: Upon rechecking your original post, I realize the profit target stands at 15% and not the flimsy 4% that you would otherwise have me make in such a short time had I taken ure advice.


traderblues
195 posts
msg #44141
Ignore traderblues
5/24/2006 3:21:30 PM

TIA,

I am not trading this with real money right now. In fact, I am completely out of the long side, and am only trading short right now. When the market stabilizes (it may be awhile), I will paper trade it for awhile, then add real funds if it checks out.

BJS


nikoschopen
2,824 posts
msg #44909
Ignore nikoschopen
6/13/2006 1:35:41 AM

_____________
lohmeyer1 (5/16/2006 9:38:42 PM)

Im not sure how to do it but maybe you could write into the formula support and resistance levels

_____________
clam61 (5/16/2006 9:59:28 PM)

i have done that by using

set {resistance, high x day high}

set {support, low x day low}

basically support and resistance is the high and low in a certain time interval "x".

_______________________________________________________________________________


Use the expression "show stocks where pattern is Darvas Box" instead to find the relevant support/resistance line(s). For more information, refer to:

http://yepher.com/~yepher/stockfetcher/command-cmddoc.html#Darvas Box


__fetcheruser123
msg #45066
Ignore __fetcheruser123
6/17/2006 10:42:20 PM

With general market direction in your favor...

Name: 5 day swing
Approach Type: Long
Start Date: 06/07/2004
End Date: 06/07/2006
Benchmark Symbol: ^SPX

Stop Loss: N/A
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 1

Selection Method: select by RSI(5) ascending
Entry Price: open
Conditional Entry: No
Exit Price: close
Maximum Trades Per Day: 25
Maximum Open Positions: 250



Approach Information
Approach Name: 5 day swing
Test started on 06/07/2004 ended on 06/07/2006, covering 504 days
Filter used:
set{QQQQtest, count(ind(QQQQ,close) above ind(QQQQ,MA(40)),1) }
set{DIAtest, count(ind(DIA,close) above ind(DIA,MA(40)),1) }
set{SPYtest, count(ind(SPY,close) above ind(SPY,MA(40)),1) }

QQQQtest > 0
DIAtest + SPYtest > 0

set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity is above .15
and rsi(5) is below 22
and price is above 0.5
and dailytot is above 150000
and price has been above ema(100) for the last 40 days
and price is above MA(50)

/* and PE Ratio is above 80 */

add column RSI(5)
sort column 4 Ascending

Trade Statistics
There were 166 total stocks entered. Of those, 166 or 100.00% were complete and or 0.00% were open.
Of the 166 completed trades, 96 trades or 57.83%resulted in a net gain.
Your average net change for completed trades was: 2.26%.
The average draw down of your approach was: -3.86%.
The average max profit of your approach was: 5.35%
The Reward/Risk ratio for this approach is: 1.92
Annualized Return on Investment (ROI): 557.71%, the ROI of ^SPX was: 5.84%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 166 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:96961001059281
Losers:696960597268
Win/Loss Ratio:1.39:11.39:11.67:11.78:11.28:11.19:1
Net Change:2.26%2.26%3.67%5.25%6.16%10.64%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed77:4310:195:62:0-1:1-1:0--
2 day chg77:4310:195:62:0-1:1-1:0--
5 day chg78:3711:186:52:0-2:0-1:0--
10 day chg80:4015:135:62:0-2:0-1:0--
25 day chg70:4914:154:71:1-2:0-1:0--
40 day chg57:5515:95:42:0-2:0----

Statistics By Variable: Average Volume
 <1.5M<3.0M<4.5M<6.0M<7.5M<9.0M<10.5M<12.0M<13.5M<15.0M
Completed83:628:31:10:21:0-1:1-2:0-
2 day chg83:628:31:10:21:0-1:1-2:0-
5 day chg84:5710:12:00:21:0-2:0-1:0-
10 day chg90:5410:12:01:11:0-1:1-0:2-
25 day chg77:679:22:02:00:1-2:0-0:2-
40 day chg71:584:72:02:00:1-2:0-0:2-



__fetcheruser123
msg #45072
Ignore __fetcheruser123
6/18/2006 12:03:09 AM

With a little more tweaking of the filter...

Not many trades, but a steady ROI trend.

Approach Information
Approach Name: 5 day swing
Test started on 06/07/2004 ended on 06/07/2006, covering 504 days
Filter used:
set{QQQQtest, count(ind(QQQQ,close) above ind(QQQQ,MA(40)),1) }
set{DIAtest, count(ind(DIA,close) above ind(DIA,MA(40)),1) }
set{SPYtest, count(ind(SPY,close) above ind(SPY,MA(40)),1) }

QQQQtest > 0
DIAtest + SPYtest > 0

set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity is above .25
and rsi(5) is below 22
and price is above 0.5
and dailytot is above 150000
and price has been above ema(100) for the last 40 days
and price is above MA(50)

/* and PE Ratio is above 80 */

add column RSI(5)
sort column 4 Ascending

Trade Statistics
There were 40 total stocks entered. Of those, 40 or 100.00% were complete and or 0.00% were open.
Of the 40 completed trades, 26 trades or 65.00%resulted in a net gain.
Your average net change for completed trades was: 4.50%.
The average draw down of your approach was: -4.26%.
The average max profit of your approach was: 7.38%
The Reward/Risk ratio for this approach is: 2.76
Annualized Return on Investment (ROI): 1111.87%, the ROI of ^SPX was: 5.84%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 40 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:262623241714
Losers:141413162323
Win/Loss Ratio:1.86:11.86:11.77:11.50:10.74:10.61:1
Net Change:4.50%4.50%3.02%3.82%2.36%6.71%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed23:81:40:11:0-1:1----
2 day chg23:81:40:11:0-1:1----
5 day chg18:91:41:01:0-2:0----
10 day chg16:154:11:01:0-2:0----
25 day chg13:181:41:00:1-2:0----
40 day chg9:191:41:01:0-2:0----

Statistics By Variable: Average Volume
 <1.5M<3.0M<4.5M<6.0M<7.5M<9.0M<10.5M<12.0M<13.5M<15.0M
Completed20:122:11:1-1:0---2:0-
2 day chg20:122:11:1-1:0---2:0-
5 day chg16:133:02:0-1:0---1:0-
10 day chg18:143:02:0-1:0---0:2-
25 day chg12:203:02:0-0:1---0:2-
40 day chg12:170:32:0-0:1---0:2-



__fetcheruser123
msg #45073
Ignore __fetcheruser123
6/18/2006 12:29:38 AM

Maybe a little bit better tweak...

Factoring in trade costs, it returned a little over 600% in the last 2 years.

Approach Information
Approach Name: 5 day swing
Test started on 06/07/2004 ended on 06/07/2006, covering 504 days
Filter used:
set{QQQQtest, count(ind(QQQQ,close) above ind(QQQQ,MA(40)),1) }
set{DIAtest, count(ind(DIA,close) above ind(DIA,MA(40)),1) }
set{SPYtest, count(ind(SPY,close) above ind(SPY,MA(40)),1) }

QQQQtest > 0
DIAtest + SPYtest > 0

set{dailytot,average volume(20) * Price}
set{watr4, weekly atr(4)}
set{opportunity, watr4/price}
opportunity is above .20
/* and rsi(5) is below 22 */
rsi(2) < 2
and price is above 0.5
and dailytot is above 150000
and price has been above ema(100) for the last 40 days
and price is above MA(50)

/* and PE Ratio is above 80 */

add column RSI(5)
sort column 4 Ascending

Trade Statistics
There were 51 total stocks entered. Of those, 51 or 100.00% were complete and or 0.00% were open.
Of the 51 completed trades, 33 trades or 64.71%resulted in a net gain.
Your average net change for completed trades was: 4.11%.
The average draw down of your approach was: -4.20%.
The average max profit of your approach was: 6.64%
The Reward/Risk ratio for this approach is: 2.73
Annualized Return on Investment (ROI): 1014.25%, the ROI of ^SPX was: 5.84%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 51 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:333333333327
Losers:181814171719
Win/Loss Ratio:1.83:11.83:12.36:11.94:11.94:11.42:1
Net Change:4.11%4.11%5.43%6.23%10.01%16.66%

Statistics By Variable: Match Price
 <10<20<30<40<50<60<70<80<90<100
Completed31:101:31:4--0:1----
2 day chg31:101:31:4--0:1----
5 day chg26:112:24:1--1:0----
10 day chg25:154:03:2--1:0----
25 day chg25:152:25:0--1:0----
40 day chg18:183:15:0--1:0----

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed28:152:1--1:1-2:00:1--
2 day chg28:152:1--1:1-2:00:1--
5 day chg26:143:0--2:0-1:01:0--
10 day chg28:143:0--1:1-0:21:0--
25 day chg27:153:0--2:0-0:21:0--
40 day chg23:151:2--2:0-0:21:0--



StockFetcher Forums · Filter Exchange · 5 day swing trades<< 1 2 3 >>Post Follow-up

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