StockFetcher Forums · Filter Exchange · FADING THE GAP STATISTICS FILTER<< 1 ... 35 36 37 38 39 ... 40 >>Post Follow-up
TheRumpledOne
6,359 posts
msg #97656
Ignore TheRumpledOne
11/28/2010 11:21:47 AM

You left out the diamonds!!

taylorsk
106 posts
msg #97662
Ignore taylorsk
11/28/2010 4:41:09 PM

True.

Left out the diamonds....generally just have these 2 on the screen. trying to reduce clutter, plus trade Nasdaq stocks mostly.

I have also generated a filter on gaps that fil vs. gaps that result in a close in the direction of the gap. Theory being if a stock statistically gaps, fills, but then recoveres and closes in the direction of teh gap, you might get stopped out more often....
I like to trade gaps that fill, but statistically dont recover and close in the direction of the gap...
A positve value for Gap***strengh means the stock does not close in the direction of the gap as often as it gives up the gap statistically speaking in the last 100 days...

Fetcher[
/* TRO - FADING THE GAP STATISTICS FILTER */

volume above 750000
and Average Volume(30)is above 1000000
close above 25


set{Xgapped, open - close 1 day ago}
set{Xgapup, count(Xgapped > 0, 1)}
set{Xgapdn, count(Xgapped < 0, 1)}

set{absgap, abs(Xgapped)}

set{gappedup100, count(Xgapup > 0, 100)}
set{gappeddn100, count(Xgapdn > 0, 100)}

set{closelo, close 1 day ago - low}
set{hiclose, high - close 1 day ago }

set{fillup, count(closelo > 0, 1)}
set{filldn, count(hiclose > 0, 1)}

set{gapupfilled, Xgapup * fillup }
set{gapdnfilled, Xgapdn * filldn }

set{gapupfilled100, count(gapupfilled > 0, 100)}
set{gapdnfilled100, count(gapdnfilled > 0, 100)}

set{gapuphold100, count(close > open, 100)}
set{gapdownhold100, count(close < open, 100)}


set{gapupstrength, gapupfilled100-gapuphold100}
set{gapdnstrength, gapdnfilled100-gapdownhold100}

/* DRAW PLOTS */

DRAW XGAPPED ON PLOT XGAPPED


add column gappedup100
add column gapupfilled100
add column gapuphold100
add column gapupstrength
add column gappeddn100
add column gapdnfilled100
add column gapdownhold100
add column gapdnstrength

]




taylorsk
106 posts
msg #97700
Ignore taylorsk
12/1/2010 11:40:11 AM

Milked JKS this morning.



TheRumpledOne
6,359 posts
msg #97723
Ignore TheRumpledOne
12/2/2010 10:18:55 AM

Nice trading!



taylorsk
106 posts
msg #97725
Ignore taylorsk
12/2/2010 10:54:25 AM

Hey RumpledOne...

Found an error in my logic on the statistics filter looking for stocks that gap and looking for stocks that fill the gap but do not close in the direction of the gap.


I was using the code

set{gapuphold5, count(close > open, 5)}
set{gapdownhold5, count(close < open, 5)}

using the 5 period so I could manually check the numbers. This returns all days that the close>open or close< open and not just the gap days. .

I am trying to figure out a way to count only days that a stock closes in the direction of the gap

I have read the AND OR screens you wrote, but cannot get it to work or at least Have not as of yet figured it out to work.....

What I am trying to figure is

If a stock gaps up how often does it fill the gap down and not close higher
If a stock gaps down how often does it fill the gap up and not close lower

I would of coarse like to tie this into your overall Fade the Gap filter.....

Here is the 5 period scan I use to manually check things.

Fetcher[
/* TRO - FADING THE GAP STATISTICS FILTER */

volume above 750000
and Average Volume(30)is above 1000000
and the average day range(20) is above 3%
close is between 25 and 75

set{Xgapped, open - close 1 day ago}
set{Xgapup, count(Xgapped > 0, 1)}
set{Xgapdn, count(Xgapped < 0, 1)}

set{absgap, abs(Xgapped)}

set{gappedup5, count(Xgapup > 0, 5)}
set{gappeddn5, count(Xgapdn > 0, 5)}

set{closelo, close 1 day ago - low}
set{hiclose, high - close 1 day ago }

set{fillup, count(closelo > 0, 1)}
set{filldn, count(hiclose > 0, 1)}

set{gapupfilled, Xgapup * fillup }
set{gapdnfilled, Xgapdn * filldn }

set{gapupfilled5, count(gapupfilled > 0, 5)}
set{gapdnfilled5, count(gapdnfilled > 0, 5)}


set{gapuphold5, count(close > open, 5)}
set{gapdownhold5, count(close < open, 5)}


set{gapupstrength, gapupfilled5-gapuphold5}
set{gapdnstrength, gapdnfilled5-gapdownhold5}

/* DRAW PLOTS */

DRAW XGAPPED ON PLOT XGAPPED


add column gappedup5
add column gapupfilled5
add column gapuphold5
add column gapuphold
add column gapupstrength
add column gappeddn5
add column gapdnfilled5
add column gapdownhold5
add column gapdnstrength



sort column 12 descending

]






taylorsk
106 posts
msg #97762
Ignore taylorsk
12/3/2010 9:53:37 AM

Further reaserch looks like I cant do the above due to the nesting issue.

Off to Exel I go.

TheRumpledOne
6,359 posts
msg #98039
Ignore TheRumpledOne
modified
12/17/2010 8:06:32 AM

Fetcher[

/* TRO Frequency distribution of High - Open for gap down days */

symlist(aapl,rimm,qqqq)

/* gap fill statistics */

set{Xgapped, open - close 1 day ago}
set{Xgapup, count(Xgapped > 0, 1)}
set{Xgapdn, count(Xgapped < 0, 1)}

set{absgap, abs(Xgapped)}

set{gappedup100, count(Xgapup > 0, 100)}
set{gappeddn100, count(Xgapdn > 0, 100)}

set{cl1lo, close 1 day ago - low}
set{hicl1, high - close 1 day ago }

set{fillup, count(cl1lo > 0, 1)}
set{filldn, count(hicl1 > 0, 1)}

set{gapupfilled, Xgapup * fillup }
set{gapdnfilled, Xgapdn * filldn }

set{gapup100f, count(gapupfilled > 0, 100)}
set{gapdn100f, count(gapdnfilled > 0, 100)}

set{gapfilled, gapup100f + gapdn100f}

/* Run Forest, Run */

set{x1, high - open}
set{Long_Profit, x1 * Xgapdn }

set{B1A, count(Long_Profit > .00 , 100)}
set{B2A, count(Long_Profit > .03, 100)}
set{B0010, B1A - B2A}

set{C1A, count(Long_Profit > .04 , 100)}
set{C2A, count(Long_Profit > .09, 100)}
set{C0010, C1A - C2A}

set{D1A, count(Long_Profit > .09 , 100)}
set{D2A, count(Long_Profit > .19, 100)}
set{D1020, D1A - D2A}

set{E1A, count(Long_Profit > .19 , 100)}
set{E2A, count(Long_Profit > .29, 100)}
set{E2030, E1A - E2A}

set{F1A, count(Long_Profit > .29 , 100)}
set{F2A, count(Long_Profit > .39, 100)}
set{F3040, F1A - F2A}

set{G1A, count(Long_Profit > .39 , 100)}
set{G2A, count(Long_Profit > .49, 100)}
set{G4050, G1A - G2A}

set{H1A, count(Long_Profit > .49 , 100)}
set{H2A, count(Long_Profit > .99, 100)}
set{H50100, H1A - H2A}

set{I100, count(Long_Profit > .99 , 100)}

and add column B0010 {1_3}
and add column C0010 {4_9}
and add column D1020 {10_19}
and add column E2030 {20_29}
and add column F3040 {30_39}
and add column G4050 {40_49}
and add column H50100 {50_99}
and add column I100 {100}


/* DISPLAY COLUMNS */

and add column gappedup100
and add column gappeddn100
and add column gapfilled
and add column gapup100f
and add column gapdn100f

and add column cma(absgap, 100)
and add column absgap 100 day high
and add column absgap 100 day low


sort column 11 descending

]







TheRumpledOne
6,359 posts
msg #98060
Ignore TheRumpledOne
12/17/2010 12:55:29 PM

INTERESTING...

http://www.sfomag.com/eSFO/eSFO2010_12.aspx?pg=49

TheRumpledOne
6,359 posts
msg #98674
Ignore TheRumpledOne
modified
1/20/2011 4:16:23 PM

Fetcher[
/* gap fill statistics buy close, sell open*/

set{Xgapped, open - close 1 day ago}
set{Xgapup, count(Xgapped > 0, 1)}
set{Xgapdn, count(Xgapped < 0, 1)}

set{absgap, abs(Xgapped)}

set{gappedup100, count(Xgapup > 0, 100)}
set{gappeddn100, count(Xgapdn > 0, 100)}

set{cl1lo, close 1 day ago - low}
set{hicl1, high - close 1 day ago }

set{fillup, count(cl1lo > 0, 1)}
set{filldn, count(hicl1 > 0, 1)}

set{gapupfilled, Xgapup * fillup }
set{gapdnfilled, Xgapdn * filldn }

set{gapup100f, count(gapupfilled > 0, 100)}
set{gapdn100f, count(gapdnfilled > 0, 100)}

set{gapfilled, gapup100f + gapdn100f}

set{HIPC, High - close 1 day ago}
set{OPPC, Open - close 1 day ago}
set{LOPC, Low - close 1 day ago }

/* DRAW PLOTS */

DRAW XGAPPED ON PLOT XGAPPED

/* DISPLAY COLUMNS */

and add column HIPC
and add column OPPC
and add column LOPC

and add column gappedup100
and add column gappeddn100
and add column gapfilled
and add column gapup100f
and add column gapdn100f

and add column cma(absgap, 100)
and add column absgap 100 day high
and add column absgap 100 day low

/* SELECTION CRITERIA */

symlist(aapl,rimm)

/* SORT CRITERIA */

SORT COLUMN 8 DESCENDING
]



Buy at market close, sell at the open the next session.

Statistics in your favor.

MAY ALL YOUR FILLS BE COMPLETE.

P.S. THEN YOU CAN FADE THE GAP... LOL!!




mahkoh
890 posts
msg #98705
Ignore mahkoh
1/22/2011 6:51:31 PM

Funny that there are 37 pages of posting without anyone coming up with this approach to the filter!
A thing to consider though: When selling at the open the spread can be quite large unless you trade highly liquid stocks. I used settings that look for stocks between 5 and 50 and avg 30 day volume above 3 million. The highest gappedup returned is 72 times out of 100, which would hardly qualify as a candidate in the regular use of the filter.
As a matter of fact when using the filter this way wouldn't you prefer stocks that gapped up but tend to NOT fill the gap afterwards?

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