StockFetcher Forums · Filter Exchange · Buying stocks that have dropped 5 or more days in a row<< >>Post Follow-up
scott111552
148 posts
msg #83374
Ignore scott111552
11/23/2009 1:05:00 PM

I was doing some reading at TradingMarkets.com recently and saw where they have found a significant statistical edge to buying stocks that have fallen 5 or more days in a row....
Stocks that have closed down 3 consecutive days, on average, have outperformed the benchmark 1 week later(+.36%)

Stocks that have closed down 4 consecutive days, on average, have outperformed the benchmark 1 week later(+.54%)

Stocks that have closed down 5 consecutive days, on average, have outperformed the benchmark 1 week later(+.63%)

Stocks that have closed down 6 consecutive days, on average, have outperformed the benchmark 1 week later(+.82%)

Stocks that have closed down 7 consecutive days, on average, have outperformed the benchmark 1 week later(+1.06%)

All stocks were trading above their 200-Day Simple Moving Average, with RSI(2) lower than 2..

Can anyone create a filter for this? If one exists already, please accept my sincerest apologies....

Kevin_in_GA
4,553 posts
msg #83377
Ignore Kevin_in_GA
11/23/2009 1:47:34 PM

Fetcher[

set{d3,count(close below close 1 day ago,3)}
set{d4,count(close below close 1 day ago,4)}
set{d5,count(close below close 1 day ago,5)}
set{d6,count(close below close 1 day ago,6)}
set{d7,count(close below close 1 day ago,7)}

set{down3,count(d3>2.5,1)}
set{down4,count(d4>3.5,1)}
set{down5,count(d5>4.5,1)}
set{down6,count(d6>5.5,1)}
set{down7,count(d7>6.5,1)}

show stocks where RSI(2) is below 3
price is above 1
price is above MA(200)
down7 is above 0.5

]





mktmole
325 posts
msg #83378
Ignore mktmole
11/23/2009 2:01:02 PM

and maybe..

Ftecher[set{d3,count(close below close 1 day ago,7)}
AND D3 ABOVE 4
AND ADD COLUMN d3
AND ADD COLUMN AVERAGE VOLUME(45)
show stocks where RSI(2) is below 3
price is above 1
price is above MA(200)
SORT BY COLUMN 5 DESCENDING]

chetron
2,817 posts
msg #83379
Ignore chetron
11/23/2009 2:03:12 PM

MKTMOLE, HOW DO YOU SPELL FECTCHER?????


KEV SPACES HELP....

Fetcher[

set{d3,count(close below close 1 day ago,3)}
set{d4,count(close below close 1 day ago,4)}
set{d5,count(close below close 1 day ago,5)}
set{d6,count(close below close 1 day ago,6)}
set{d7,count(close below close 1 day ago,7)}

set{down3,count(d3 > 2.5,1)}
set{down4,count(d4 > 3.5,1)}
set{down5,count(d5 > 4.5,1)}
set{down6,count(d6 > 5.5,1)}
set{down7,count(d7 > 6.5,1)}

show stocks where RSI(2) is below 3
price is above 1
price is above MA(200)
down7 is above 0.5



]



mktmole
325 posts
msg #83380
Ignore mktmole
11/23/2009 2:03:56 PM

oops, clickable

Fetcher[set{d3,count(close below close 1 day ago,7)}
AND D3 ABOVE 4
AND ADD COLUMN d3
AND ADD COLUMN AVERAGE VOLUME(45)
show stocks where RSI(2) is below 3
close is above 1
close is above MA(200)
SORT BY COLUMN 5 DESCENDING
]



sync
15 posts
msg #83381
Ignore sync
11/23/2009 2:17:58 PM

>>All stocks were trading above their 200-Day Simple Moving Average

It seems to me that something like a 50 day SMA would be more appropriate if you are looking at a one week move.

Kevin_in_GA
4,553 posts
msg #83382
Ignore Kevin_in_GA
11/23/2009 2:20:12 PM

You're right, Chet. I had corrected this in my preview of the code, but didn't make the changes before posting. Sorry.

Not a lot of hits using these criteria .. especially today.

fortyfour
185 posts
msg #83384
Ignore fortyfour
11/23/2009 3:57:38 PM

Verify for yourself by click/sorting downX columns to see if performance of dowX is better/worse.
Try differnt market caps etc....
Substitute your preference, Rsi(2) etc.... for Williams %r(10), ma(100)....
Good Luck.




set{money, close * avg vol(30)}
set{million, money/1000000}


set{d3,count(close below close 1 day ago,3)}
set{d4,count(close below close 1 day ago,4)}
set{d5,count(close below close 1 day ago,5)}
set{d6,count(close below close 1 day ago,6)}
set{d7,count(close below close 1 day ago,7)}

set{down3,count(d3 > 2.5,1)}
set{down4,count(d4 > 3.5,1)}
set{down5,count(d5 > 4.5,1)}
set{down6,count(d6 > 5.5,1)}
set{down7,count(d7 > 6.5,1)}

set{setup,count( williams %r(10) < -95,1)}


million > 50
/*million between 1 and 10*/

add column million
price is above MA(100)

set{or1, down3 + down4}
set{or2, or1 + down5}
set{or3, or2 + down6}
set{or4, or3 + down7}

or4 > 0
and setup > .5

add column down3
add column down4
add column down5
add column down6
add column down7
add column industry

offset 18

chetron
2,817 posts
msg #83385
Ignore chetron
11/23/2009 4:48:15 PM

clickable...............


Fetcher[
set{money, close * avg vol(30)}
set{million, money/1000000}


set{d3,count(close below close 1 day ago,3)}
set{d4,count(close below close 1 day ago,4)}
set{d5,count(close below close 1 day ago,5)}
set{d6,count(close below close 1 day ago,6)}
set{d7,count(close below close 1 day ago,7)}

set{down3,count(d3 > 2.5,1)}
set{down4,count(d4 > 3.5,1)}
set{down5,count(d5 > 4.5,1)}
set{down6,count(d6 > 5.5,1)}
set{down7,count(d7 > 6.5,1)}

set{setup,count( williams %r(10) < -95,1)}


million > 50
/*million between 1 and 10*/

add column million
price is above MA(100)

set{or1, down3 + down4}
set{or2, or1 + down5}
set{or3, or2 + down6}
set{or4, or3 + down7}

or4 > 0
and setup > .5

add column down3
add column down4
add column down5
add column down6
add column down7
add column industry

offset 18

]



medowz
59 posts
msg #83501
Ignore medowz
11/25/2009 5:18:40 PM

I like Scott's concept regarding the closing prices 1, 2,...7 days ago, but let's say you wanted to study the concept of closing indicator values. How does that plugin? For instance, instead of a price study how does one plug in an indicator value to study such as CMO(5,9) or MFI(20) 1, 2, 3,....7 days ago into the program. Is that possible?

StockFetcher Forums · Filter Exchange · Buying stocks that have dropped 5 or more days in a row<< >>Post Follow-up

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