StockFetcher Forums · Filter Exchange · Filter based solely on price - no indicators used<< 1 2 3 >>Post Follow-up
Kevin_in_GA
4,553 posts
msg #83052
Ignore Kevin_in_GA
modified
11/14/2009 11:00:21 AM

OK, been playing around with the idea of discarding all of the "canned" indicators and trying to see if I can look at only the recent price action to pick entry and exit points.

No RSI. No MACD. No Bollinger bands. No mathematical manipulation of price. Just "is the price above a value from a few days ago?"

Examples: Price closes above a previous high, indicating upward movement. Higher highs and/or higher lows. You get the idea.

Starting along these lines, I looked at price closing above a recent high - not bad, but there was a lot of choppiness, and often longer profitable runs were broken up or missed. It actually worked out much better to use highest LOW over the past week as a threshold for price to cross as a trigger. Not sure why this would be, except the it allows for more room for small pullbacks, and earlier entries on good runs?

Here is the attempt at some filter code - critique is encouraged.

Fetcher[

/*KEVIN'S "PURELY BASED ON PRICE" FILTER*/

/*Close must be above the highest 5 day low from three days ago for a BUY signal*/

/*That's it. No indicators used on this one - based solely on two price points*/

/*create threshold as a variable*/
set{var1, low 5 day high}
set{var2, var1 3 days ago}
set{threshold, var2+0.01}

/*close must be above threshold*/
set{BUY, count(close > threshold,1)}
set{SELL, count(close < threshold,1)}

/*create variables for graphical display*/
set{trigger, close}
set{price_osc, trigger - threshold}

/*apply to index surrogates*/
symlist(spy,dia,qqqq)
chart-time is 6 months

/*draw threshold and trigger on price plot*/
draw threshold on plot price
draw trigger on plot price
draw price line at threshold

/*draw BUY and SELL signals*/
draw BUY
Draw SELL on plot BUY
draw price_osc line at 0

]



My thought is that this filter is run around 3:45 PM, and if a BUY signal is generated, you buy at the close of THAT day, rather than at the open of the following day. Same for exit.

Thoughts?

I would love to see others take on this ...

Kevin


13th_floor
724 posts
msg #83053
Ignore 13th_floor
11/14/2009 11:17:22 AM

You are on the right track here to make some real good $$$,imo
Good Luck!

chetron
2,817 posts
msg #83054
Ignore chetron
11/14/2009 11:33:23 AM

GREAT IDEA, KEV, BUT = )

YOUR PRICE OSC IS JUST THAT AN IDICATOR THAT INTERESTING ENOUGH TRACKS THE MACD(4,8) QUITE WELL.




Kevin_in_GA
4,553 posts
msg #83055
Ignore Kevin_in_GA
11/14/2009 11:34:10 AM

Much thanks, 13th. I pay close attention to what you are doing, as i do with several other veterans here. I can't play the pennies the way you do, but I do try to learn from your comments and postings.

Kevin

Kevin_in_GA
4,553 posts
msg #83056
Ignore Kevin_in_GA
11/14/2009 11:37:12 AM

GREAT IDEA, KEV, BUT = )

YOUR PRICE OSC IS JUST THAT AN IDICATOR THAT INTERESTING ENOUGH TRACKS THE MACD(4,8) QUITE WELL.
+++++++++++++++++++

The price oscillator is just another way to depict the relationship between the close and the threshold - purely for graphic display.

I actually prefer just the "draw price line at threshold" line as the only visual indicator for what to do. The others drawn on the price plot are to help show historical performance.

Interesting that it tracks the MACD, as they are clearly not derived in a similar fashion.

chetron
2,817 posts
msg #83060
Ignore chetron
modified
11/14/2009 12:28:49 PM

THIS THREAD HAS A FEW RELAVENT LINKS...

GOOD READ...



Kevin_in_GA
4,553 posts
msg #83062
Ignore Kevin_in_GA
modified
11/14/2009 1:48:51 PM

Thanks, Chet. I had seen both of these already. Thought that my spin on it was sufficiently different (only one price line based on only one previous price value). I like what both you and TRO had done in those threads - nice.

chetron
2,817 posts
msg #83074
Ignore chetron
11/14/2009 7:00:27 PM

HOW ABOUT.....


Fetcher[

SET{VAR1,CLOSE 1 DAY AGO}
SET{VAR2,COUNT(OPEN ABOVE VAR1,1)}
SET{VAR3,COUNT(OPEN BELOW VAR1,1)}
SET{VAR4,COUNT(CLOSE BELOW VAR1,1)}
SET{VAR5,COUNT(CLOSE ABOVE VAR1,1)}

SET{VBUY,VAR3 * VAR5}
SET{VSHORT,VAR2 * VAR4}

ADD COLUMN VBUY
ADD COLUMN VSHORT

DRAW VSHORT ON PLOT VBUY

CLOSE ABOVE .1
VOLUME ABOVE 1000000

SORT COLUMN 5 DESCENDING

]



chetron
2,817 posts
msg #83079
Ignore chetron
modified
11/14/2009 8:29:27 PM

A LITTLE TIGHTER....

EDIT: SORRY, KEV, THIS FILTER IS NOW WORKING...

Fetcher[
SET{VAR1A,VOLUME 1 DAY AGO}

SET{VAR1,CLOSE 1 DAY AGO}
SET{VAR2,COUNT(OPEN ABOVE VAR1,1)}
SET{VAR3,COUNT(OPEN BELOW VAR1,1)}
SET{VAR4A,COUNT(CLOSE BELOW VAR1,1)}
SET{VAR5A,COUNT(CLOSE ABOVE VAR1,1)}
SET{VAR6A,COUNT(VOLUME ABOVE VAR1A,1)}
SET{VAR6B,COUNT(VOLUME BELOW VAR1A,1)}

SET{VAR4,VAR4A * VAR6A}
SET{VAR5,VAR5A * VAR6B}
SET{VBUY,VAR3 * VAR5}
SET{VSHORT,VAR2 * VAR4}

ADD COLUMN VBUY
ADD COLUMN VSHORT

DRAW VSHORT .
DRAW VBUY

CLOSE ABOVE .1
VOLUME ABOVE 1000000

SORT COLUMN 5 DESCENDING


]



Kevin_in_GA
4,553 posts
msg #83080
Ignore Kevin_in_GA
11/14/2009 8:35:55 PM

Can't run the second filter - more than 10 set statements.

I want to run your first filter against SPY for the last six months to see how it does, if that's ok. Buy at the close of the day generating the VBUY signal, and sell at the close of the VSHORT day. Long only, or both ways?

I'll post the results later.

StockFetcher Forums · Filter Exchange · Filter based solely on price - no indicators used<< 1 2 3 >>Post Follow-up

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