StockFetcher Forums · Filter Exchange · Can someone make this clickable<< >>Post Follow-up
shillllihs
3,532 posts
msg #105594
Ignore shillllihs
3/22/2012 1:34:04 AM




/*KEVIN'S TRADE THE WEEKLY OPEN GAP DOWN STRATEGY*/

/*FIRST, SET KEY VARIABLES - LAST WEEK'S CLOSE AND THIS WEEK'S OPEN*/
set{horizontal1, weekly close 1 week ago}
set{open1, weekly open}

/*SECOND, DETERMINE IF A GAP DOWN OCCURS, AND IF IT WAS THEN FILLED*/
set{gapdown, count(open1 below horizontal1,1)}
set{stats, count(weekly high above horizontal1, 1)}
set{gapfill, gapdown * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS DOWN THAT WERE FILLED OVER THE LAST 100 WEEKS*/
set{gapdown100, count(gapdown above 0.5,100)}
set{gapfill100, count(gapfill above 0.5,100)}
set{pct_gapfill, gapfill100 / gapdown100}

/*FINALLY, DETERMINE THE POTENTIAL GAIN FROM THIS WEEK'S GAP DOWN*/
set{gapsize, horizontal1 - open1}
set{gain2, gapsize / open1}
set{gain, gain2 * 100}

/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column pct_gapfill {percent gap filled}
add column gapdown100
add column gapfill100
add column horizontal1 {last week's close}
add column open1 {weekly open}
add column gain {gain(%)}
add column ATR(50)
sort on column 5 descending

/*SET SCREENING CRITERIA FOR USE AT MONDAY'S OPEN. SINCE BIG GAPS DOWN ARE LESS LIKELY
TO BE FILLED, SCREEN OUT ANY GAPS DOWN THAT OPEN BELOW LAST WEEK'S LOW*/
weekly open below weekly close 1 week ago
weekly open above weekly low 1 week ago

/*ADDED CHECK - THE GAP TO BE FILLED SHOULD BE LESS THAN THE ATR(50). THIS WILL ALSO HELP TO SCREEN OUT BIG GAPS DOWN THAT ARE UNLIKELY TO BE FILLED THIS WEEK*/
gapsize below ATR(50)

/*SET A MINIMUM FREQUENCY FOR GAPS DOWN - THE HIGHER THIS IS, THE STRONGER THE STATISTICAL RELEVANCE - I CHOSE 30 HERE BUT YOU CAN SET IT TO ANYTHING YOU WANT (HIGHER WILL GIVE FEWER
HITS). I ALSO WANT THE RETURN TO BE AT LEAST 2%*/
gapdown100 above 30
gain above 2

/*STANDARD LIQUIDITY REQUIREMENTS*/
close above 1
average volume(30) above 100000
show only etf

chart-display is weekly
draw gapfill
draw gapdown


levamit
101 posts
msg #105597
Ignore levamit
3/22/2012 3:50:44 AM

Fetcher[
/*KEVIN'S TRADE THE WEEKLY OPEN GAP DOWN STRATEGY*/

/*FIRST, SET KEY VARIABLES - LAST WEEK'S CLOSE AND THIS WEEK'S OPEN*/
set{horizontal1, weekly close 1 week ago}
set{open1, weekly open}

/*SECOND, DETERMINE IF A GAP DOWN OCCURS, AND IF IT WAS THEN FILLED*/
set{gapdown, count(open1 below horizontal1,1)}
set{stats, count(weekly high above horizontal1, 1)}
set{gapfill, gapdown * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS DOWN THAT WERE FILLED OVER THE LAST 100 WEEKS*/
set{gapdown100, count(gapdown above 0.5,100)}
set{gapfill100, count(gapfill above 0.5,100)}
set{pct_gapfill, gapfill100 / gapdown100}

/*FINALLY, DETERMINE THE POTENTIAL GAIN FROM THIS WEEK'S GAP DOWN*/
set{gapsize, horizontal1 - open1}
set{gain2, gapsize / open1}
set{gain, gain2 * 100}

/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column pct_gapfill {percent gap filled}
add column gapdown100
add column gapfill100
add column horizontal1 {last week's close}
add column open1 {weekly open}
add column gain {gain(%)}
add column ATR(50)
sort on column 5 descending

/*SET SCREENING CRITERIA FOR USE AT MONDAY'S OPEN. SINCE BIG GAPS DOWN ARE LESS LIKELY
TO BE FILLED, SCREEN OUT ANY GAPS DOWN THAT OPEN BELOW LAST WEEK'S LOW*/
weekly open below weekly close 1 week ago
weekly open above weekly low 1 week ago

/*ADDED CHECK - THE GAP TO BE FILLED SHOULD BE LESS THAN THE ATR(50). THIS WILL ALSO HELP TO SCREEN OUT BIG GAPS DOWN THAT ARE UNLIKELY TO BE FILLED THIS WEEK*/
gapsize below ATR(50)

/*SET A MINIMUM FREQUENCY FOR GAPS DOWN - THE HIGHER THIS IS, THE STRONGER THE STATISTICAL RELEVANCE - I CHOSE 30 HERE BUT YOU CAN SET IT TO ANYTHING YOU WANT (HIGHER WILL GIVE FEWER
HITS). I ALSO WANT THE RETURN TO BE AT LEAST 2%*/
gapdown100 above 30
gain above 2

/*STANDARD LIQUIDITY REQUIREMENTS*/
close above 1
average volume(30) above 100000
show only etf

chart-display is weekly
draw gapfill
draw gapdown

]



Kevin_in_GA
4,546 posts
msg #105888
Ignore Kevin_in_GA
4/11/2012 6:24:57 PM

Limiting this to only ETFs will not give you a lot of trades, and will probably only pull up the double and triple leveraged ones.

I think there is more profit to be had looking at a larger set of instruments - I would look for liquidity of at least $2,000,000 per day so your order does not represent more than a few percent of the dollar volume. There is also no reason to limit this to only Monday ... One could just as easily use a "open below close 1 day ago" approach here and trade it daily to get more trades per week.

Kevin

Cacher
121 posts
msg #105891
Ignore Cacher
modified
4/12/2012 7:41:41 AM

to make things "clickable" .... just typing the following (get rid of the spaces between each letter):

f e t c h e r [

(put you filter here)

]

...it won't appear "clickable" until after you post it.

Fetcher[
symlist(HIMX)
show stocks that will go ballistic
and now it is clickable .... yeah
]





StockFetcher Forums · Filter Exchange · Can someone make this clickable<< >>Post Follow-up

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