StockFetcher Forums · Filter Exchange · Gap down filter<< 1 2 3 >>Post Follow-up
4,577 posts
msg #73636
Ignore Eman93
4/17/2009 8:29:40 PM

This is looking at gap downs above yesterdays LOW sorted by largest gap.......

Now if you had real time scans with premarket data you would be all set.... I think you would need tradestation to do this.

I dont know if tradestation would scan all the stocks in the market or only a symlist.....

If anyone gets filthy rich using this........remember me at Christmas!!!!

Now if I get filthy rich I will send TRO a nice gift....this is all based on what he has shared.

Fetcher[/* Emans Gap down above yesterdays low stats */
close is above 2
open > 2% below close 1 DAY AGO
and open > low 1 day ago

/*and the 5 day slope of ema(10) is above 0*/
set{profit, high-open}
set{pr, profit/open}
set{profit%, pr * 100}

set{gap, close 1 day ago - open}
set{gp, gap/close 1 day ago}
set{gp%, gp * 100}

set{pain, open - low}
set{pa, pain / open}
set{pain%, pa * 100}

/* profit statistics */

and Average Volume(30) is above 1000000 do not draw Average Volume(30)
and draw MACD(12,26,9)
and draw RSI(14)

add column gp%
add column low 1 day ago {low-1}
add column close 1 day ago {close-1}
add column open
add column low
add column high
add column profit%
add column pain%

sort column 5 descending

4,577 posts
msg #73722
Ignore Eman93
4/20/2009 7:31:47 PM

No one finds this interesting?

set the date offset to any date you want the top 3 pay 99.9% of the time!!!!

6 posts
msg #73758
Ignore basher
4/21/2009 10:38:26 PM

Eman, this is a very interesting filter. Although not quite 99.9% accurate it is still a good moneymaker.

I have backtested your filter for 2 years and am posting the results below. The backtest assumes that you buy the three top stocks (the highest gappers) at open and then hold them until close. I feel that this is more accurate than using a system where one determines their profits by the day's high because it is impossible to determine where a stop loss would be triggered intraday. This is a backtest I've run from my own code, not StockFetcher's backtester.

Month % Gain % Win # Trades
5/1/07 30.57 44 52
6/1/07 29.84 57 33
7/1/07 -24.97 52 48
8/1/07 104.58 62 59
9/1/07 -4.92 54 46
10/1/07 21.43 53 67
11/1/07 39.22 47 57
12/1/07 4.07 48 54
1/1/08 191.7 60 61
2/1/08 -20.14 51 58
3/1/08 35.49 50 59
4/1/08 1.56 48 62
5/1/08 42.51 50 61
6/1/08 -9.35 54 62
7/1/08 -12.01 54 66
8/1/08 187.19 62 61
9/1/08 -142.57 42 63
10/1/08 228.98 62 69
11/1/08 -228.8 38 57
12/1/08 220.47 60 66
1/1/09 2.22 53 60
2/1/09 91.2 59 57
3/1/09 54.75 56 66
4/1/09 132.15 69 42
Total 328.94 54 1386

%Gain is based on your investment for the day, not per trade. 3 trades at $3,000 each is a $9,000 investment
%Win is the percentage of times you make money
#Trades is the total number for that month. Usually 3 per trading day.

300% ROI in 2 years, not bad at all.

4,577 posts
msg #73760
Ignore Eman93
4/21/2009 10:58:20 PM

Thanks thats great info......

I was thinking this was just a manual day trade...... a lot of them don't fill the gap but still give up a nice profit.

Can you test for high - open over 2 years with the top 3? get the average profit and count the winners? or you can set the sell at profit at 2% or 3%, that would be more realistic than hold to the end of the day.

We want to look at percent of winners........I consider 2% a winner....dont care about profit and loss or ROI this time, just percent of 2% winners........

Just think of it this way, if it opens and goes strait down you can buy the dip with confidence knowing that it will get above the open some time durning the day.

At present I have no way of scanning for these in real time, are you using tradestation?

6 posts
msg #73765
Ignore basher
4/22/2009 2:22:26 AM


Ah yes, I see. Okay,over the past 2 years, there is a 78.8% chance that this stock will go up 2% from open, and a 67.8% chance that it will go up 3%.


because you do not know if/when it will go up to 2%, you may trigger a stop loss. But lets say, for the sake of argument, that you are just certain that it will go up 2% sometime over the course of a day (80% chance, right?). Therefore, your trading strategy is as follows: buy at open, sell at 2%, or hold on until close. This strategy will give you a 192% ROI over 2 years. Why is this lower that the 329% ROI above? Because essentially you are taking 2% profits 80% of the time, but every once in a while you have a big loss that wipes out many of your small profits. And if you use stop losses, there is no data that says we will get 2% gain before we are stopped out.

I do like your idea of buying on the dip if these stocks drop out of open, but I'd like to see more data on that first.

I use Interactive Brokers, which has a scanner that lets you see largest gainers and losers in the premarket in real time. However, it does not filter out only stocks that have gapped down but are less than yesterday's lows. Something like that would have to be coded.

4,577 posts
msg #73785
Ignore Eman93
4/22/2009 6:11:44 PM


4,577 posts
msg #73787
Ignore Eman93
4/22/2009 8:52:25 PM

OK with that in mind, if you win 2%, 80% of the time.

Then thats 8 out of 10.... 8 x 2% = 16% so you would want to keep half your pofit stop would be around 4%..

We know in real trading you would let your winners run but you want to set your stop loss...

You would expect to see 8% gain out of every 10 trades.

Understanding that you would let your winners run more than 2% but set a firm stop loss at 4% bleow your entery..

It is very hard to back test an exit that will yeld the max profit......these are just stats to help you manage the trade.

Or buying on the dip...

OK we know what to do.......the hard part is doing it...........

I have never tried to manage more than one day trade at a time.

4,577 posts
msg #73790
Ignore Eman93
4/22/2009 10:49:15 PM

This is about the same thing you get with TRO's MTC filter......

There may be more profit because of the larger gap than the typical TRO MTC stock....

4,577 posts
msg #73791
Ignore Eman93
4/22/2009 10:50:37 PM

The top 3 were sweet today!!!!!!!!!!!!!

11 posts
msg #73814
Ignore freond00d
4/23/2009 10:32:35 PM

Cool filter...

After mentioning that you used some of TRO's ideas for this filter, are you basing this filter off his fade the gap method? I'm assuming this is a filter for long.

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