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26 posts
msg #47573
Ignore elroz
10/21/2006 1:16:07 AM

My ETF filter is promising. (It's a simple divergance filter, and to those of you who have posted divergance filters share the credit for this one.)The theory behind this is not to trade the actual ETF, but the top 10 stocks associated with the ETF.

For example, if IXJ shows up on the filter, I would purchase 200 - 500 shares of ABT, AMGN, AZN, GSX, JNJ, MRK, NVT, PFE, RHHBY, and SNY at the open. These are the top 10 holdings of the ETF. Yahoo provides the holding information of all the ETF's. Like all of my posts, this is a great system for day traders who have access to over 500,000 in capital. As for an actual sell stop, I would always unload 1/2 of my position for a small profit (0.5% of my capital invested) and pretty much ride out the rest until the next day (T+1). (If the market was going my way, I may only unload 25% or maybe the whole thing if I saw disaster.) If my capital fell 1%, I would unload the position. (I would always use my Capital as a stop loss and gain, so If I had a total of $100,000 in all 10 positions, My stop loss would be when my P&L was -1,000) Unlike the 1-2 day filter, this one requires a little more work. Lets say of the 10 stocks above, only ABT and JNJ are moving up, I would sell all but 100 shares of the other 8, and load up on the two green ones. For you relative strength traders, things may be different, but you will have to experiment with this. I do suggest you never put more than 500 shares on any one position until your truly comfortable with this method. I'm sure others will find a better way to trade this. When I have MANY ETF's on any given day, I will take the four most volatile, or the sectors which I am most comfortable with trading (Semis, Homebuilders, etc). There were also times I would include and extra stock or two which may have not been in the top 10, but was included in the sector.

STOP LOSS = 1% of Capital

Good luck using this. Below is the filter and results YTD.

Approach Information
Approach Name: ETF A
Test started on 12/30/2005 ended on 10/18/2006, covering 201 days
Filter used:
rsi(2) is below 25 2 days ago

and rsi(2) is greater than rsi(2) 2 days ago
and rsi(2) is less than rsi(2) 1 day ago

and close 2 days ago is above open 2 days ago
and close is below close 2 days ago

Show stocks where stock type is ETF

Trade Statistics
There were 98 total stocks entered. Of those, 98 or 100.00% were complete and or 0.00% were open.
Of the 98 completed trades, 68 trades or 69.39%resulted in a net gain.
Your average net change for completed trades was: 0.45%.
The average draw down of your approach was: -0.60%.
The average max profit of your approach was: 0.69%
The Reward/Risk ratio for this approach is: 2.99
Annualized Return on Investment (ROI): 132.45%, the ROI of ^SPX was: 10.93%.

Exit Statistics
Stop Loss was triggered 16 times or 16.33% 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) 82 times or 83.67% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Win/Loss Ratio:2.35:11.33:12.73:11.74:12.35:13.08:1
Net Change:0.45%0.10%0.63%0.51%0.71%1.16%

Statistics By Variable: Match Price
1 day chg2:47:104:69:611:76:68:13:25:01:0
2 day chg4:111:68:214:19:98:48:13:25:01:0
3 day chg4:29:67:311:48:106:67:23:25:01:0
4 day chg4:112:58:212:311:77:56:32:35:01:0
5 day chg5:112:58:214:111:77:58:13:25:01:0

Statistics By Variable: Average Volume
1 day chg54:40---0:11:01:0-0:1-
2 day chg68:25---0:11:01:0-1:0-
3 day chg59:33---0:11:01:0-0:1-
4 day chg65:28---0:11:01:0-1:0-
5 day chg71:23---0:11:01:0-1:0-

Statistics By Variable: RSI(2) + +DI(14) - (-DI(14))
1 day chg3:32:119:816:711:913:42:0---
2 day chg5:15:814:318:413:714:32:0---
3 day chg3:32:1113:417:610:914:22:0---
4 day chg4:23:1011:618:415:515:22:0---
5 day chg6:02:1112:521:217:315:21:1---

805 posts
msg #47581
Ignore marine2
10/22/2006 7:26:56 PM

Nice filter. I ran the ETF scenario up against one of my favorite filters and came up with a nice performance as well (77% wins vs 23% losses). I realize how popular the RSI(2) tool is so I won't argue with that popularity. Thanks for your input. You gave me a nice isolated filter (useing my own) to utilize against the ETF world.

26 posts
msg #47584
Ignore elroz
10/22/2006 10:32:45 PM


I'm glad you were able to make it work for you. I wish you the best of luck trading with it.

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