StockFetcher Forums · Filter Exchange · Bearish - ADX based filter<< >>Post Follow-up
hsibilia
13 posts
msg #86468
Ignore hsibilia
1/17/2010 8:27:44 PM

Fetcher[
set{oBOT, 90}
set{oSLD, 10}
set{o50, 50}
optionable
close > 20
draw RSI(2) on plot ADX(5)
draw oBOT on plot ADX(5)
draw oSLD on plot ADX(5)
draw o50 on plot ADX(5)
ATR(3) > 0.80
Average Volume(30) > 250000
ema(2) < MA(3)
ADX(5) > 45 within the last 2 days
ADX(5) 2 day ago <= ADX(5) 1 day ago
ADX(5) 1 day ago > ADX(5)
-DI(5) 1 day ago < +DI(5) 1 day ago
]



Please review this BEARISH filter: my Backtest results as follow:
Profit exit set at 6% => 389 wins of 646 trades (60%), avg ROI 5.47%
Profit exit set at 5% => 432 wins of 662 trades (65%), avg ROI 5.06%
Profit exit set at 4% => 496 wins of 689 trades (72%), avg ROI 4.80%
Profit exit set at 3% => 568 wins of 719 trades (79%), avg ROI 3.80%
Profit exit set at 2% => 659 wins of 773 trades (85%), avg ROI 3.00%

Proven that being greedy is dangereous.... Please advise what could be done to improve this filter?

hsibilia
13 posts
msg #86469
Ignore hsibilia
1/17/2010 8:47:19 PM

Bullish Version.. .not backtested yet

Fetcher [
/* BULLISH */
set{oBOT, 90}
set{oSLD, 10}
set{o50, 50}
optionable
close > 20
draw RSI(2) on plot ADX(5)
draw oBOT on plot ADX(5)
draw oSLD on plot ADX(5)
draw o50 on plot ADX(5)
ATR(3) > 0.80
Average Volume(30) > 250000
ema(2) > MA(3)
ADX(5) > 45 within the last 2 days
ADX(5) 2 day ago <= ADX(5) 1 day ago
ADX(5) 1 day ago > ADX(5)
-DI(5) 1 day ago > +DI(5) 1 day ago]

trendscanner
265 posts
msg #86471
Ignore trendscanner
1/17/2010 9:12:48 PM

Looks like a nice filter for a short-term short.

You might consider adding a general indicator of short-term money flow into or out of the stock. Perhaps something like:

5 day slope of OBV < 0
20 day slope of OBV < 0

Or substitute other time frames or use the slope of a short period accumulation distribution < 0 rather than OBV

In any case, maybe at least visually inspecting the OBV or A-D lines to see how they look. If you can find stocks in which the recent uptick in price isn't supported by volume or can find some other indication that the stock is under distribution, if might improve the percentage chances for finding the decliners.

hsibilia
13 posts
msg #86472
Ignore hsibilia
1/17/2010 9:31:15 PM

Thanks Tradescanner... this "slope of OBV" hint is great... i researched and found this article to back up your advice

http://www.submityourarticle.com/articles/Steve-Warshaw-6816/on-balance-volume-77521.php


BACKTEST results of the bullish version.. Even better than bearish version... make sense since the test period ( 9/15/2009 to 1/15/2010) was mainly bullish market.

Profit exit set at 6% => 275 wins of 340 trades (81%), avg ROI 6.53%
Profit exit set at 5% => 292 wins of 349 trades (84%), avg ROI 5.81%
Profit exit set at 4% => 312 wins of 356 trades (82%), avg ROI 5.13%
Profit exit set at 3% => 332 wins of 367 trades (90%), avg ROI 4.28%
Profit exit set at 2% => 360 wins of 384 trades (94%), avg ROI 3.38%


chetron
2,817 posts
msg #86473
Ignore chetron
1/17/2010 9:43:37 PM


tried using crossed above with within....

Fetcher[
set{oBOT, 90}
set{oSLD, 10}
set{o50, 50}
optionable
close > 20
draw RSI(2) on plot ADX(5)
draw oBOT on plot ADX(5)
draw oSLD on plot ADX(5)
draw o50 on plot ADX(5)
ATR(3) > 0.80
Average Volume(30) > 250000
ema(2) < MA(3)
ADX(5) crossed above 45 within the last 2 days
ADX(5) 2 day ago <= ADX(5) 1 day ago
ADX(5) 1 day ago > ADX(5)
-DI(5) 1 day ago < +DI(5) 1 day ago
]



StockFetcher Forums · Filter Exchange · Bearish - ADX based filter<< >>Post Follow-up

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