StockFetcher Forums · Filter Exchange · ETF Cumulative Strength filter help<< >>Post Follow-up
dune
4 posts
msg #98896
Ignore dune
2/3/2011 10:24:25 PM

Newbie to SF and have tried to set this up without success. I'm sure it will be easy for one of you pro's?

I'm looking for a filter that sorts out cumulative % returns over periods of time. Specifically:

cumulative rate of return over 1 day + 5 days + 10 days

Any help would be appreciated. Thanks!

dwiggains
391 posts
msg #98900
Ignore dwiggains
2/4/2011 5:10:27 AM

Is this what you mean??

Fetcher[
close > 1 and average volume (30) > 200,000
set {up1, close / close 1 day ago} add column up1
set {up5, close / close 5 days ago} add column up5
set {up10, close / close 10 days ago} add column up10 and sort column 7 descending
]



Good luck
See ya
David

dune
4 posts
msg #98902
Ignore dune
modified
2/4/2011 6:35:40 AM

Thanks David but not exactly what I'm looking for.

What I'm trying to do is search the ETF universe to rank ETF's according to their cumulative % rate of return over 3 distinct periods as follows:

% return over 1 day + % return over 5 days + % return over 10 days

The % rates of return over these periods would be added together to get a sum total. These ETF's would then be ranked from the top 1+5+10% returning ETF to the bottom 1+5+10% returning ETF.

Ideally the scan would result in identifying ETF's that are rotating into strength over the near term (as the scan would tend to be front end loaded due to the 1 day % return also being reflected in the 5 day/10 day % returns).

Thanks

dwiggains
391 posts
msg #98903
Ignore dwiggains
2/4/2011 8:52:37 AM

Hi
I think this will help.

Market is ETF --- you play with volume.
This one will give you the dollar up.

Fetcher[
market is ETF
close > 1 and average volume (30) > 100,000
set {up1, close minus close 1 day ago} add column up1
set {a, close minus close 4 days ago} add column a
set {up5, up1 + a} add column up5
set {b, close minus close 9 days ago} add column b
set {up10, up5 + b} add column up10
set {up10percent, up10 / close} add column up10percent and sort column 9 descending
]



This one will give the the Percentage up.

Fetcher[
market is ETF
close > 1 and average volume (30) > 100,000
set {up1, close minus close 1 day ago} add column up1
set {a, close minus close 4 days ago} add column a
set {up5, up1 + a} add column up5
set {b, close minus close 9 days ago} add column b
set {up10, up5 + b} add column up10
set {up10percent, up10 / close} add column up10percent and sort column 10 descending
]



Percentage up and removed the a and b columns. No real need.

Fetcher[
market is ETF
close > 1 and average volume (30) > 100,000
set {up1, close minus close 1 day ago} add column up1
set {a, close minus close 4 days ago}
set {up5, up1 + a} add column up5
set {b, close minus close 9 days ago}
set {up10, up5 + b} add column up10
set {up10percent, up10 / close} add column up10percent and sort column 8 descending
]



Good luck
See ya
David

welliott111
98 posts
msg #98911
Ignore welliott111
2/4/2011 1:02:33 PM

etf


set{v1,close minus close 1 day ago}
set{1day,v1/close 1 day ago}
add column 1day

set{v5,close minus close 5 days ago}
set{5day,v5/close 5 day ago}
add column 5day

set{v10,close minus close 10 day ago}
set{10day,v10/close 10 day ago}
add column 10day

set{v15,1day plus 5day}
set{total,v15 plus 10day}
set{total%,total * 100}
add column total%


sort column 8 descending


Kevin_in_GA
4,544 posts
msg #98914
Ignore Kevin_in_GA
2/4/2011 3:51:08 PM

http://www.etfreplay.com/screener.aspx

StockFetcher Forums · Filter Exchange · ETF Cumulative Strength filter help<< >>Post Follow-up

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