StockFetcher Forums · Filter Exchange · ANOTHER VOLUME FILTER.....<< 1 2 3 4 >>Post Follow-up
trendscanner
265 posts
msg #80979
Ignore trendscanner
10/12/2009 10:50:31 AM

Chetron, are you looking for a bottom reversal with your last posted filter? If so, I do have some ideas. Can't guarantee they're bright though.

chetron
2,817 posts
msg #80980
Ignore chetron
10/12/2009 10:56:18 AM

LOL, YES, THAT IS WHAT I WAS SHOOTING FOR, BUT AS FOR THE REMARK, I WAS JUST MUTTERING TO MYSELF, I WOULD APPRECIATE ANY AND ALL INPUT.

TIA =D

trendscanner
265 posts
msg #80984
Ignore trendscanner
10/12/2009 4:59:44 PM

I'm not sure whether you're looking for a high volume or low volume reversal situation. Low vol reversals seem to work better for me so adding a line (PVO) to look for set ups with declining volume activity:

Fetcher[
SET{VAR1,DAYS(volume gained more than 50 percent over the last 1 day,100)}
SET{VAR2,DAYS(HIGH REACHED NEW 21 DAY HIGH,100)}

VAR2 BELOW VAR1
VAR1 BELOW 34
LOW REACHED NEW 13 DAY LOW
Average Volume(90) is above 50000
Percent Volume Oscillator(15,60) reached new 21 day low
close is ABOVE .15
]



A quick backtest (standard exit criteria) shows the following results for 4/1/09 through today (your basic, non-stop bull market)

There were 578 total stocks entered. Of those, 532 or 92.04% were complete and 46 or 7.96% were open.
Of the 532 completed trades, 381 trades or 71.62%resulted in a net gain.
Your average net change for completed trades was: 4.35%.
The average draw down of your approach was: -5.38%.
The average max profit of your approach was: 9.52%
The Reward/Risk ratio for this approach is: 2.87
Annualized Return on Investment (ROI): 95.96%, the ROI of ^SPX was: 65.64%.

Stop Loss was triggered 114 times or 21.43% of the time.
Stop Profit was triggered 321 times or 60.34% 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) 97 times or 18.23% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Not too bad for a filter with 578 trades. Some additional discerning criteria could probably be added to weed out the worst candidates and improve results. Adding a few more days to allow volume to dissipate and price to stabilize might also help.

Might also be interesting to look at high vol situations such as RVI(14,10) making new 21 day high or something similar.




chetron
2,817 posts
msg #80986
Ignore chetron
10/12/2009 6:34:26 PM

THANX, trendscanner

trendscanner
265 posts
msg #80987
Ignore trendscanner
10/12/2009 7:42:33 PM

Chetron, is there a rationale for selecting VAR1 < 34 and a new 21 day high, as opposed to, say, VAR1 < 28 day and a new 26 day high? Are the numbers you used based on some sort of trading cycle, best fit to data, or something else?

chetron
2,817 posts
msg #80989
Ignore chetron
modified
10/12/2009 8:37:04 PM

Chetron, is there a rationale for selecting VAR1 < 34 and a new 21 day high, as opposed to, say, VAR1 < 28 day and a new 26 day high? Are the numbers you used based on some sort of trading cycle, best fit to data, or something else?
******************

I WAS WATCHING ANOTHER TRADEGUIDER.COM FLICK.

WHAT I REMEMBER OF THE SETUP WAS.

A VOLUME SPIKE THAT HAPPENED WITHIN ABOUT A MONTH, THAT WAS A NEW LOW.
FOLLOWED BY A NEW HIGH
FOLLOWED BY A LOW NEAR THE LOW OF THE AFOREMENTIONED VOLUME SPIKE.

I USE FIB NUMBERS, 1,2,3,5,8,13,21,34 EXCLUSIVELY WHEN I DO FILTERS
I USE 21 QUITE OFTEN FOR A MONTH.

OF COURSE, WHAT DOES THIS SETUP SPELL????????

DOUBLE BOTTOM.

chetron
2,817 posts
msg #83313
Ignore chetron
modified
11/21/2009 11:33:02 AM

CHETRON'S A/D CYCLOTRON.....

Fetcher[


/* TACHIKAWA */
/* A/D CYCLOTRON */

SET{VAR1,VOLUME}
SET{VAR2,SUM(VAR1,2)}
SET{VAR3,SUM(VAR1,3)}
SET{VAR4,SUM(VAR1,4)}
SET{VAR5,SUM(VAR1,5)}
SET{VAR6,SUM(VAR1,6)}
SET{VAR7,SUM(VAR1,7)}
SET{VAR8,SUM(VAR1,8)}
SET{VAR9,SUM(VAR1,9)}
SET{VAR10,SUM(VAR1,10)}
SET{VAR11,SUM(VAR1,11)}
SET{VAR12,SUM(VAR1,12)}
SET{VAR13,SUM(VAR1,13)}

SET{VAR20,VOLUME 13 DAY HIGH}
SET{VAR22,COUNT(VAR20 BELOW VAR2,1)}
SET{VAR23,COUNT(VAR20 BELOW VAR3,1)}
SET{VAR24,COUNT(VAR20 BELOW VAR4,1)}
SET{VAR25,COUNT(VAR20 BELOW VAR5,1)}
SET{VAR26,COUNT(VAR20 BELOW VAR6,1)}
SET{VAR27,COUNT(VAR20 BELOW VAR7,1)}
SET{VAR28,COUNT(VAR20 BELOW VAR8,1)}
SET{VAR29,COUNT(VAR20 BELOW VAR9,1)}
SET{VAR30,COUNT(VAR20 BELOW VAR10,1)}
SET{VAR31,COUNT(VAR20 BELOW VAR11,1)}
SET{VAR32,COUNT(VAR20 BELOW VAR12,1)}
SET{VAR33,COUNT(VAR20 BELOW VAR13,1)}

SET{VAR40,COUNT(VAR22 BELOW .5,2)}

SET{VAR41,VAR23 + VAR24}
SET{VAR42,VAR41 + VAR25}
SET{VAR43,VAR42 + VAR26}
SET{VAR44,VAR43 + VAR27}
SET{VAR45,VAR44 + VAR28}
SET{VAR46,VAR45 + VAR29}
SET{VAR47,VAR46 + VAR30}
SET{VAR48,VAR47 + VAR31}
SET{VAR49,VAR48 + VAR32}
SET{VAR50,VAR49 + VAR33}

SET{VAR60,VAR50 * VAR40}

DRAW VAR30 ON PLOT VAR22
DRAW VAR29 ON PLOT VAR22
DRAW VAR28 ON PLOT VAR22
DRAW VAR27 ON PLOT VAR22
DRAW VAR26 ON PLOT VAR22
DRAW VAR25 ON PLOT VAR22
DRAW VAR24 ON PLOT VAR22
DRAW VAR23 ON PLOT VAR22

DRAW VOLUME 13 DAY HIGH

DRAW VAR2 ON PLOT VAR20
DRAW VAR3 ON PLOT VAR20
DRAW VAR4 ON PLOT VAR20
DRAW VAR5 ON PLOT VAR20

ADD COLUMN VAR60

VAR60 ABOVE 8.5
CLOSE ABOVE .1
VOLUME ABOVE 100000

SORT COLUMN 5 DESCENDING

]



chetron
2,817 posts
msg #85243
Ignore chetron
12/30/2009 2:14:15 PM

HAPPY NEW YEAR ALL, ENJOY......


Fetcher[
SET{V1226,CEMA(VOLUME,12) - CEMA(VOLUME,26)}
SET{V12269,CEMA(V1226,9)}
SET{V12269H,V1226 - V12269}

DRAW MACD
DRAW V12269H ON PLOT V1226
DRAW V12269 ON PLOT V1226
DRAW V1226 LINE AT 0

CLOSE ABOVE .1
VOLUME ABOVE 1000000

]



StockFetcher Forums · Filter Exchange · ANOTHER VOLUME FILTER.....<< 1 2 3 4 >>Post Follow-up

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