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jimhbutton
104 posts
msg #58553
Ignore jimhbutton
12/27/2007 8:21:30 AM

"Just made one change: set{P-up, count(P-1 > .50, 1)} Compare that to the original :)"

Nice change. That makes it more self-explanatory.

Again, kudos for getting the ball rolling (and offshoots growing) with the awesome gap-up filters.

rmenghani
9 posts
msg #58602
Ignore rmenghani
modified
12/29/2007 6:26:12 AM

TRO-

Your work is legendary. I had a question in regards to your "buy close, sell next day open filter" - if you first filter out for stocks that are trending MACD higher or maybe have a bullish MACD crossover, do you get a higher % of gap ups?

And, vice-versa for gap-downs?

In addition, it makes sense to me that if the general market (the nasdaq composite, for example) is "bullish," that the major stocks will tend to gap up more. And vice-versa, if the nasdaq is in a bearish trend (as defined by MACD), stocks will tend to gap down more.

I know you're against indicators, but does using a mechanical indicator improve results any?

Thanks and keep up the good work.

TheRumpledOne
6,359 posts
msg #58606
Ignore TheRumpledOne
12/29/2007 10:34:05 AM

TRO-

Your work is legendary. I had a question in regards to your "buy close, sell next day open filter" - if you first filter out for stocks that are trending MACD higher or maybe have a bullish MACD crossover, do you get a higher % of gap ups?

And, vice-versa for gap-downs?

In addition, it makes sense to me that if the general market (the nasdaq composite, for example) is "bullish," that the major stocks will tend to gap up more. And vice-versa, if the nasdaq is in a bearish trend (as defined by MACD), stocks will tend to gap down more.

I know you're against indicators, but does using a mechanical indicator improve results any?

Thanks and keep up the good work.
=====================================================

1) I am NOT against indicators. It is just that some people think the indicators are going to drive the price when it's the other way around. Once you are in a trade, ALL THAT MATTERS IS PRICE! I don't care what rsi(2), ema(5), ma(200), macd(12,26,9), etc... say, the only thing that determines profit/loss is PRICE.

2) The STATISTICS filters are just that, STATISTIC FILTERS. All they do is report on what a stock did IN THE PAST. It just makes sense (cents) to me to trade stocks that statistically move the most. The FADING THE GAP STATISTICS FILTER displays the statistics for filling the gap. This trading system was around long before you and I. All I did was apply statistics to the idea to identify which stocks fill the gap most often.

3) Feel free to modify any filter and test your MACD idea. But I am not looking for gap ups/downs, I am looking for gap fillers!





TheRumpledOne
6,359 posts
msg #61121
Ignore TheRumpledOne
modified
4/5/2008 11:39:16 AM

Fetcher[
/*Day-to-Day Potential Profit Streak Filter*/

set{P-1, high - close 1 day ago}
set{P-2, high 1 day ago - close 2 days ago}
set{P-3, high 2 days ago - close 3 days ago}
set{P-4, high 3 days ago - close 4 days ago}
set{P-5, high 4 days ago - close 5 days ago}
set{P-6, high 5 days ago - close 6 days ago}
set{P-7, high 6 days ago - close 7 days ago}
set{P-8, high 7 days ago - close 8 days ago}
set{P-9, high 8 days ago - close 9 days ago}
set{P-10, high 9 days ago - close 10 days ago}
set{P-11, high 10 days ago - close 11 days ago}
set{P-12, high 11 days ago - close 12 days ago}
set{P-13, high 12 days ago - close 13days ago}
set{P-14, high 13 days ago - close 14 days ago}
set{Avg-14, CMA(P-1, 14)}

set{P-up, count(P-1 > .05, 1)}
set{P-up-Streak, days(P-up equal 0, 100)}

set{Hi, high - open}

/* DISPLAY COLUMNS */

add column Open
add column High
add column Low
add column separator
add column Close Yesterday
add column separator
add column P-1
add column P-2
add column P-3
add column P-4
add column P-5
add column P-6
add column P-7
add column P-8
add column P-9
add column P-10
add column P-11
add column P-12
add column P-13
add column P-14
add column separator
add column Avg-14
add column separator
add column P-up-Streak {.05 streak}

add column separator

/* SELECTION CRITERIA */

/* SORT CRITERIA */

SYMLIST(spf)

SORT COLUMN 28 DESCENDING
]




What you can make by trading ONE stock.

Note this is buying at the close and selling the next day.

If you are NOT greedy, you could "print" a $50 or $100 bill just about everyday trading 1,000 shares.






TheRumpledOne
6,359 posts
msg #61125
Ignore TheRumpledOne
modified
4/5/2008 12:07:05 PM

Fetcher[

/*Day-to-Day Potential Profit Streak Filter*/

set{P-1, high - close 1 day ago}
set{P-2, high 1 day ago - close 2 days ago}
set{P-3, high 2 days ago - close 3 days ago}
set{P-4, high 3 days ago - close 4 days ago}
set{P-5, high 4 days ago - close 5 days ago}
set{P-6, high 5 days ago - close 6 days ago}
set{P-7, high 6 days ago - close 7 days ago}
set{P-8, high 7 days ago - close 8 days ago}
set{P-9, high 8 days ago - close 9 days ago}
set{P-10, high 9 days ago - close 10 days ago}
set{P-11, high 10 days ago - close 11 days ago}
set{P-12, high 11 days ago - close 12 days ago}
set{P-13, high 12 days ago - close 13days ago}
set{P-14, high 13 days ago - close 14 days ago}
set{Avg-14, CMA(P-1, 14)}

set{P-up, count(P-1 > 0.50, 1)}
set{P-up-Streak, days(P-up equal 0, 100)}

set{Hi, high - open}

/* DISPLAY COLUMNS */

add column Open
add column High
add column Low
add column separator
add column Close Yesterday
add column separator
add column P-1
add column P-2
add column P-3
add column P-4
add column P-5
add column P-6
add column P-7
add column P-8
add column P-9
add column P-10
add column P-11
add column P-12
add column P-13
add column P-14
add column separator
add column Avg-14
add column separator
add column P-up-Streak {.50 streak}

add column separator

/* SELECTION CRITERIA */

/* SORT CRITERIA */

SYMLIST(wlt)

SORT COLUMN 28 DESCENDING
]



For those with larger accounts, WLT looks profitable.

I "discovered" WLT using my FINDING THE NEXT NTRI filter.

TheRumpledOne
6,359 posts
msg #62614
Ignore TheRumpledOne
5/14/2008 6:27:01 PM

POP

money123
19 posts
msg #62773
Ignore money123
5/18/2008 7:56:14 PM

to mr.rumple sir your honor,

when is a good time to run the filter to get the best results, before, after or during the market thanks

TheRumpledOne
6,359 posts
msg #62777
Ignore TheRumpledOne
5/18/2008 10:35:38 PM

Before or After but not during!!

hraghav
12 posts
msg #64182
Ignore hraghav
6/22/2008 6:47:21 PM

Hi TRO:

I am amazed at the simplicity of your filters. But they are eerily efficient... bordering on the "too-good-to-be-true". I was working on the extension to RFR filter with some help from Niko (Hey Niko! :) ) (very similiar to your Travel Guide) and you beat me to it :)

I was following your Fade the Gap filter and I found it be extremely efficient if you follow the below strategy (extension to your buy at close and sell at open strategy):

1. Identify stocks that consistently gap up
2. Identify their day range
3. Picks stocks that have gap up > 60 in the last 100 days
4. Optionally, you can filter out stocks that gap down < 20 in the last 100 days (but this usually filters out everything, leaving you with 1 or 2 stocks; so use this wisely)
5. Combine it with RFR filter and identify the num days it has moved > 4% (just to be safer)

Strategy:

1. Once you found the stock, buy at close and sell at open at 2% profit. This approach totally mechanical and yet insanely profitable.
2. When the stock in question changes (and it will after a while), go with the new leader.

I did some backtests and get over 100% ROI from 2002-2008 (except for 2005-2006) which is in the RED. I wonder why this year was special. Anyways, 5/6 isnt' bad :)

Also, I did some price effectiveness back test. The ideal profts are for stocks that trade between 35-40. Above 40, it is still profitable but the profit decreases. Also, <20 stocks is a hit and miss. Not consistent.

So, we need to focus on stocks that are between >35 for this to be really efficient.

This approach is beneficial 'coz it is an EOD strategy and you do not have to be in the live market to execute it.

So I have a few queries:

1. What is the best time to buy at close? Should we do an MOC order? or do a limit say between 330-400PM?
2. Once the order is filled, should we just place a limit for 2% profit the next day open?

Just trying to maximize the effectiveness :)

Please feel free to share your thoughts and thanks for your simple yet phenomenal work! :)

TheRumpledOne
6,359 posts
msg #64187
Ignore TheRumpledOne
6/22/2008 7:31:44 PM

1. What is the best time to buy at close? Should we do an MOC order? or do a limit say between 330-400PM?

A) If it is purely mechanical then MOC

2. Once the order is filled, should we just place a limit for 2% profit the next day open?

A) If it is purely mechanical then limit for 2% profit.



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