StockFetcher Forums · Filter Exchange · 90% chance to make 1%<< 1 2 3 >>Post Follow-up
moqual
38 posts
msg #59587
Ignore moqual
modified
2/10/2008 5:06:33 PM

LONG FILTER

Fetcher[
set{Xgapup, count(gap > 0, 1)}
set{Xgapdn, count(gap < 0, 1)}

set{cl1lo, close 1 day ago - low}
set{hicl1, high - close 1 day ago }

set{fillsgu, count(cl1lo > 0, 25)}
set{fillsgd, count(hicl1 > 0, 25)}
add column gap
set{GU25, count(Xgapup > 0, 25)}
set{GD25, count(Xgapdn > 0, 25)}
and add column GU25
and add column GD25
add column fillsgd
add column fillsgu
and add column separator

set{LProfit%, percent high greater than open}
set{SProfit%, percent open greater than low}
set{lp1,lprofit% 1 day ago}
set{lp2,lprofit% 2 days ago}
set{lp3,lprofit% 3 days ago}
set{lp4,lprofit% 4 days ago}
set{sp1,sprofit% 1 day ago}
set{sp2,sprofit% 2 days ago}
set{sp3,sprofit% 3 days ago}
set{sp4,sprofit% 4 days ago}
add column LProfit%
add column lp1
add column lp2
add column lp3
add column lp4
and add column separator
add column SProfit%
add column sp1
add column sp2
add column sp3
add column sp4

/* Long Profit Statistics Display */

set{z1, count(SProfit% > 1.0 , 25)}
set{z2, count(SProfit% > 2.0 , 25)}
set{l1, count(LProfit% > 1.0 , 25)}
set{l2, count(LProfit% > 2.0 , 25)}
Set{rr,l1/z1}


and add column separator
and add column L1{L>1%}
and add column L2{L>2%}
and add column Z1{S>1%}
and add column Z2{S>2%}
Add column rr
add column average day range(5)

close above 10
L1 above 22
rr above 1
average volume (60) above 500000
and stock is optionable
sort column 27 descending
]



shows gaps, gap fills, last 5 days long profit, last 5 days short profit, 25 day short above 1%, long above 1%, etc

last column RR is risk/reward of going long

moqual
38 posts
msg #59588
Ignore moqual
modified
2/10/2008 5:10:23 PM

SHORT

Fetcher[
set{Xgapup, count(gap > 0, 1)}
set{Xgapdn, count(gap < 0, 1)}

set{cl1lo, close 1 day ago - low}
set{hicl1, high - close 1 day ago }

set{fillsgu, count(cl1lo > 0, 25)}
set{fillsgd, count(hicl1 > 0, 25)}
add column gap
set{GU25, count(Xgapup > 0, 25)}
set{GD25, count(Xgapdn > 0, 25)}
and add column GU25
and add column GD25
add column fillsgd
add column fillsgu
and add column separator

set{LProfit%, percent high greater than open}
set{SProfit%, percent open greater than low}
set{lp1,lprofit% 1 day ago}
set{lp2,lprofit% 2 days ago}
set{lp3,lprofit% 3 days ago}
set{lp4,lprofit% 4 days ago}
set{sp1,sprofit% 1 day ago}
set{sp2,sprofit% 2 days ago}
set{sp3,sprofit% 3 days ago}
set{sp4,sprofit% 4 days ago}
add column LProfit%
add column lp1
add column lp2
add column lp3
add column lp4
and add column separator
add column SProfit%
add column sp1
add column sp2
add column sp3
add column sp4

/* Long Profit Statistics Display */

set{z1, count(SProfit% > 1.0 , 25)}
set{z2, count(SProfit% > 2.0 , 25)}
set{l1, count(LProfit% > 1.0 , 25)}
set{l2, count(LProfit% > 2.0 , 25)}
Set{rr,Z1/L1}


and add column separator
and add column L1{L>1%}
and add column L2{L>2%}
and add column Z1{S>1%}
and add column Z2{S>2%}
Add column rr
add column average day range(5)

close above 10
Z1 above 22
rr above 0
average volume (60) above 500000
and stock is optionable

sort column 27 descending
]



At the top of the list is KMX:
out of the last 25 days, 23 days produced 1% short, but only 12 days produced 1% long, so your RR is 1.92

Short at the open the last 5 days produced: 4.1%, 4.2%, 5.2%, 10.4%, 3.9%
Long at the open the last 5 days produced: 0.6%, 2.5%, 0%, 0%, 0%

welliott111
98 posts
msg #59589
Ignore welliott111
2/10/2008 6:43:54 PM

Kudos for the filter dude! I'm "evolving" into a stats guy myself and this is very helpful. Any more ideas or info, keep it coming

ham1198
172 posts
msg #59645
Ignore ham1198
2/12/2008 12:17:02 PM

...please find some intderesting stats here:

http://blog.afraidtotrade.com/gap-fade-stats-for-january/

lawdawguw
25 posts
msg #59706
Ignore lawdawguw
2/14/2008 10:38:37 PM

Great filter, but it needs a bit of explanation. Could we talk? contact me at michaelbutler(at)tradewithoutemotion.com

Great stuff

moqual
38 posts
msg #59708
Ignore moqual
modified
2/15/2008 2:17:39 PM

Sure I will email you

Hey folks take a look at KMX since I created this thread 5 days ago

Sell short at the open for the last 5 days:

10.9%, 3%, 2.4%, 5.4%, 4.7%

RR is now 2.09

bkhurana43
103 posts
msg #59721
Ignore bkhurana43
2/16/2008 8:38:43 AM

Hi Moqual
Option Investors will find your filters quite amazing. However, supporting documentation will help a great deal lot.
How do you go about selecting the right underlying from the list produced for Short or Long trading? Please describe some selection criteria.

I would prefer an email from you. bkk@eicat.ca

Regards
Bob


moqual
38 posts
msg #59728
Ignore moqual
modified
2/16/2008 9:40:39 PM

Look for the highest RR or the highest 1% column.

Using the short filter:
There are three stocks (WM, SPWR, FED) showing 25 in the s>1% column , meaning these stocks have produced over 1% short profit every single day for the last 5 weeks. There are 10 stocks that produced over 2% 22 out of 25 days

I'll email you as well in case you have more questions

traderrmr
7 posts
msg #59774
Ignore traderrmr
2/19/2008 7:02:28 AM

Congrats on this filter. I would like to here more on how you select your trades. I wonder how the general market direction effects the results. The general market weighs on the outcome of daily stock movements. Do you monitor the general market direction before you take longs or short gaps? Thanks and look forward to seeing more of your work


TheRumpledOne
6,362 posts
msg #59788
Ignore TheRumpledOne
2/19/2008 12:54:51 PM

It's nice to see people are finally "getting it" when it comes to stats.



StockFetcher Forums · Filter Exchange · 90% chance to make 1%<< 1 2 3 >>Post Follow-up

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