StockFetcher Forums · Filter Exchange · EMA Crossover scan<< 1 2 3 >>Post Follow-up
irishpitbull
46 posts
msg #97957
Ignore irishpitbull
modified
12/11/2010 12:45:20 PM

I'm sure some one has done this before but just wanted to share an simple winning scan.

Fetcher[ show stocks where close is between 10 and 50
and average volume(90) > 500000
and open < ema(21)
and open < ema(8)
and open < ema(4)
and close > ema(21)
and close > ema(4)
and close > ema(8)
and close > open
and close 3 days ago < ema(21)
and close 5 days ago < close 3 days ago
and close 5 days ago < ema(90)
and add column atr(10)
and sort on column 5 ascending
and MACD Fast Line(12,26,9) is above the MACD Slow Line(12,26,9)
draw resistance(45,15,2)
draw resistance(65,10)
draw support(65,10,1)
draw support(45,15,2)
add column slope of EMA(90)
add column slope of weekly MA(9)
and Slow Stochastic(10) Fast %K is below 75
and beta above 1
and add column Beta {Beta}
]


Buy it before close as long as the price is still above the upper moving average. I set my stops below the buy days low.


Name Created Start
Date End
Date Win(%) Lose(%) W/L
Ratio Reward/
Risk ROI(%) Options
Cross daily 12/8/2010 10/1/2010 12/8/2010 84% 16% 5.40:1 7.01 209.58%

heypa
283 posts
msg #97959
Ignore heypa
12/11/2010 12:59:24 PM

See you have been reading Filtering Wall Street a good blog

irishpitbull
46 posts
msg #98014
Ignore irishpitbull
12/15/2010 6:21:24 PM

Yes that blog is amazing, I took her idea and improved it a tiny bit.

During the same time frame I was able to acquire a 84% win rate with max draw down of under 1.5%.

Marlyn's filter had 67% win rate with max draw down of 2.5%.

Either way you look at it both filter are pretty amazing.


campbellb75
101 posts
msg #98015
Ignore campbellb75
12/15/2010 6:50:38 PM

What's your exit criteria for this filter? Have you tested during other time periods? October through today has been a nice bull market, so plenty of scans have done well during that period.

duke56468
683 posts
msg #98016
Ignore duke56468
12/15/2010 7:50:08 PM

@irishpitbull
Is this your "improved it a tiny bit" filter, or is it a different one?

irishpitbull
46 posts
msg #98017
Ignore irishpitbull
12/15/2010 10:55:59 PM

I took a "sideways" period from 12/29/06 thru 3/30/2007. The SPY's ROI was -1% this scan was + 23% ROI

Win percent was 51% but 28% trades were left open. Meaning there weren't stopped for profit or loss. Reviewing the open positions, I noticed most were low beta. So you would want to be higher beta stocks during sideways action.

max drawdown avg was -2.63
Max profit 3.02

I have been using the 5%KD3 %D5 stochastic for short term trades. For longer you could use MACD histogram.

But this is not the scan I would use during a flat period, I would use more of swing trading scan. This one I used the same flat period as above. The Spy ROI was -1 this was +70%. Max drawdown -2.45% Mas avg profit was 4.13%. Win 58%. For trading this scan, I would use 3% stop and buying the stock at the end of the day. Exiting the trade, I would use the 5%KD3 %D5 cross as my exit or % profit with a trailing stop. Here is the scan.

Fetcher[Williams %R(14) is below -80 and Williams %R is rising the last 1 day
and daily volume is above 1000000 and price is above 4
and RSI(14) is below 40
and MFI(14) is rising the last 1 day
and RSI(14) is rising the last 1 day
and add column Beta {Beta}
volume < volume 1 day ago

]



louie6digits
34 posts
msg #98026
Ignore louie6digits
12/16/2010 8:46:59 AM

This filter is pretty good! When I used my enhanced exit filter, "Linear Regression Slope(10) above 0.15", it did even better.
Here are the results.

Trade Statistics
There were 441 total stocks entered. Of those, 352 or 79.82% were complete and 89 or 20.18% were open.
Of the 352 completed trades, 277 trades or 78.69%resulted in a net gain.
Your average net change for completed trades was: 3.31%.
The average draw down of your approach was: -7.79%.
The average max profit of your approach was: 6.91%
The Reward/Risk ratio for this approach is: 3.06
Annualized Return on Investment (ROI): 45.66%, the ROI of ^SPX was: 4.81%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 352 times or 100.00% of the time.


irishpitbull
46 posts
msg #98027
Ignore irishpitbull
modified
12/16/2010 9:04:49 AM

Lou that is awesome. Did you use it on the crossover scan or swing scan?

Could explain how to use the regression exit?

louie6digits
34 posts
msg #98092
Ignore louie6digits
12/18/2010 5:11:04 PM

Below I am posting the ENTRY Filter I used. I used no Trailing Stop Loss, but used only the EXIT Filter Linear Regression Slope(10) above 0.15. Trading Days position held I used 0. To make this filter work better, you need to enhance both the Entry Filter
and the Exit Filter. Unfortunately, you cannot achieve 100% Win Trades cause the BackTesting Platform produces too many
trades outside the Trading Parameters. If you tell the BackTest Entry Filter to fetch stocks where Weekly RSI(2) is above Weekly
RSI(2) 1 day ago, The Trading Platform will return some stocks that are also below Weekly RSI(2). Thus, your Backtesting Filters
will experience Noise Redundancy Error of 10% or greater. Don't know the exact redundancy error rate, but I think I am close.


Fetcher[Williams %R(14) is below -80 and Williams %R is rising the last 1 day
and daily volume is above 1000000 and price is above 4
and RSI(14) is below 40
and MFI(14) is rising the last 1 day
and RSI(14) is rising the last 1 day
and add column Beta {Beta}
volume < volume 1 day ago
]





irishpitbull
46 posts
msg #98116
Ignore irishpitbull
12/19/2010 4:20:16 PM

I don't see anything different with this filter? It's the same as the one I posted.

StockFetcher Forums · Filter Exchange · EMA Crossover scan<< 1 2 3 >>Post Follow-up

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