StockFetcher Forums · Filter Exchange · Another weekly trade filter<< 1 2 >>Post Follow-up
compound_gains
135 posts
msg #131253
Ignore compound_gains
modified
9/18/2016 9:19:09 AM

Weekly trade filter in the same vein as the work done by TRO and Kevin_in_GA. Run the filter on the weekend. Trade the top three, equal $$ investment. Set a GTC stop buy at the entry price before the open on Monday and leave it for the week. If the trade triggers, then use your own profit/loss trade management preferences. If the trade doesn't trigger, cancel at the end of the week. I've been trading this live in one of my accounts for the past six months...easy to manage.

Fetcher[
close above 3
count(volume above 250000, 21) equals 21
volume dropped more than 25% over the last 1 day
set{chk, high * 1.005}
draw price line at chk on plot price
add column historical volatility(100) {hv100}
sort column 5 descending
add column chk {entry}
historical volatility(100) below 100
]



pthomas215
454 posts
msg #131257
Ignore pthomas215
9/18/2016 11:51:00 AM

Very cool. couple questions.

1) have you seen any margin of error increases in performance with ETF's, considering some are dependent on macro issues of whether that sector's news is positive...ie.are stocks better performers.

2) when you say top 3, you mean the first 3 from the left on the top row (because you have sorted it)?

compound_gains
135 posts
msg #131269
Ignore compound_gains
9/18/2016 9:01:31 PM

pthomas215
1) have you seen any margin of error increases in performance with ETF's, considering some are dependent on macro issues of whether that sector's news is positive...ie.are stocks better performers.

I haven't worked out the stats, but the backtesting I did and general sense of performance since makes me keep ETFs in the mix. It's not unusual that an ETF...since they're higher volatility...will gap up over the entry point sometime during the week and won't touch the entry. If that happens I won't chase them and it becomes a dead trade for the week.

2) when you say top 3, you mean the first 3 from the left on the top row (because you have sorted it)?

The screens are sorted highest to lowest by historical volatility(100). I set buy stop trades for the first three on the list


tugga82
12 posts
msg #132459
Ignore tugga82
11/10/2016 10:33:54 PM

Hi compound gains,
Am fairly new to trading and SF. I applied this filter over the weekend to short-list 3 stocks as per your note to trade this week and I've been monitoring those 3 stocks and they have been going up. I am yet to make any trade but will most likely do so next week after applying this filter again. Before I jump the gun, I was hoping if you can help answer my questions:
a.) Can you explain the logic of the code/filter step by step if you don't mind?
b.) Are we trading the stocks with high volatility? Is that defined by the average daily range that they make here?
b.) Does this strategy have to be applied at the beginning of the week only? What are the variations there to enter the trade and will that change the hold time?
c.) Do you recommend holding the stock the entire week and what rules do you typically use to identify selling point?
d.) would it be okay to shortlist or even show stocks that have a price less than $10?

Anything you can do to answer my questions will be appreciated. Thanks in advance.

Tugga

compound_gains
135 posts
msg #132487
Ignore compound_gains
11/13/2016 2:39:08 PM

Tugga82
a.) Can you explain the logic of the code/filter step by step if you don't mind?
I don't remember where, or I'd give credit, but I read a screen from somewhere that high volatility stocks that experience a sharp 1-day drop in volume can also experience a sharp volume reversal and price spike within a couple of days. Could be several reasons for that kind of volume pull-back. I just took the idea and worked with it.
b.) Are we trading the stocks with high volatility? Is that defined by the average daily range that they make here?
Yes, but I'm using historical volatility(100) as my volatility metric.
b.) Does this strategy have to be applied at the beginning of the week only? What are the variations there to enter the trade and will that change the hold time?
This system is designed as a 1-week, Monday to Friday window because that's the way I want to trade. You set the entry as a stop-limit order before Monday's open and it either hits or it doesn't. If it hits, then you use your trade management, but the trade is closed by the end of the week. I have no idea what the implications are for trading any other kind of time frame.
c.) Do you recommend holding the stock the entire week and what rules do you typically use to identify selling point?
Everyone needs to have their own trade management plan. My stops will change depending on how the trade is playing out, as will my exits. My plan is an initial stop loss of 6% if a trade hits and then adjust from there (up, never down). If a gain crosses 3% I'll often move to a breakeven stop to protect my capital. If a gain crosses 8% I'll often put in a 5% trailing stop and leave it. Any gain over 10% and I'll be seriously thinking about exiting. Again, any open trade is closed at some point on Friday.
d.) would it be okay to shortlist or even show stocks that have a price less than $10?
Don't know...you'd have to test it.

This is a set up that's easy to paper trade and I would suggest you do that for awhile before you put money on the line.

compound_gains
135 posts
msg #132488
Ignore compound_gains
11/13/2016 3:49:32 PM

By the by, last week was picture perfect.

tugga82
12 posts
msg #132562
Ignore tugga82
11/15/2016 9:31:06 PM

Thank you so much for your prompt explanation compound gains. I really appreciate it. I am monitoring this filter again this week via paper trades and will jump in with real money next week. I will post my progress with this filter soon.
Cheers,
Tugga

tugga82
12 posts
msg #132604
Ignore tugga82
11/17/2016 7:24:12 PM

Hello again, Compound gains,
I want to identify stocks in the tsx to try this strategy and stockfetcher does not list stocks from TSX. I'd like to carry this approach over to whatever filter my trading broker (questrade) has and see if I can find stocks from there. It will be great if you can help and correct my understanding of the code line by line so I can find an equivalent filtering criteria with my trading software provider to identify canadian stocks.

close above 3 - self explanatory
count(volume above 250000, 21) equals 21 - we are counting the stocks that had volume over 250K in the last 21 days
volume dropped more than 25% over the last 1 day - self explanatory
set{chk, high * 1.005} - entry price is the high price today times 1.005?
draw price line at chk on plot price - self explanatory
add column historical volatility(100) {hv100}
and the rest of the code is fine.
Anything you can do to help will be appreciated.
Thanks,
Tugga

compound_gains
135 posts
msg #132614
Ignore compound_gains
11/18/2016 1:57:22 PM

close above 3 - self explanatory
count(volume above 250000, 21) equals 21 - we are counting the stocks that had volume over 250K in the last 21 days
Volume has to be above 250000 each day of the past 21 days,
volume dropped more than 25% over the last 1 day - self explanatory
set{chk, high * 1.005} - entry price is the high price today times 1.005?
Yes
draw price line at chk on plot price - self explanatory
add column historical volatility(100) {hv100}

Questrade is the platform I use and I'm not aware of any screening functionality that would match this SF code.

snappyfrog
7 posts
msg #132631
Ignore snappyfrog
11/18/2016 11:25:35 PM

You said you have been trading this the last 6 months. Just curious as to what win % you are getting as I have been trading TRO/Kevin_in_GA 5% weekly swings since Jan 1st this year with about 86% hitting 1-5%. I have made a ton of money on it.

StockFetcher Forums · Filter Exchange · Another weekly trade filter<< 1 2 >>Post Follow-up

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