StockFetcher Forums · Filter Exchange · Gap down filter<< 1 2 3 >>Post Follow-up
Eman93
4,659 posts
msg #73815
Ignore Eman93
4/23/2009 10:41:15 PM

Yes this is a long only version.....
Thanks.

Eman93
4,659 posts
msg #73826
Ignore Eman93
4/24/2009 9:23:16 AM

Basher,

Any luck setting this up in IB?


Eman93
4,659 posts
msg #73865
Ignore Eman93
modified
4/26/2009 10:55:13 AM

This version removes above yesterdays low....

Fetcher[/* Emans big Gap down 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
]



the_trade123
107 posts
msg #73866
Ignore the_trade123
modified
4/26/2009 12:13:44 PM

One question I had is this. Since Stockfetcher's first results show up around 10:10 AM at which time the gap down might have already filled up, is there a way this can be used on the same day? You had mentioned tradestation can do this with real time.

Is there any other trading website to which uses SF filters and can give you real time data?

In Scottrade you can actually get a real time list of biggest winners and losers, and also in http://dynamic.nasdaq.com/dynamic/premarketma.stm one can get a list of most active,losing and gaining stocks in pre-market.

Any more info to use this to max potential is welcome..thanks in advance :)

By the way kudos for a pretty good filter!

billrider321
70 posts
msg #73868
Ignore billrider321
4/26/2009 4:23:47 PM

very nice find.
i am going this filter,eyeballing entries.
couple of questions - why did you comment out slope conditions.?
seems like during bear phase you only pick inverse fund if ema condition is on.
wondering what other condition can help to improve the return.
going to research how option would enhance roi.



basher
6 posts
msg #73869
Ignore basher
4/26/2009 4:32:12 PM

I have noticed that at times, this scan can give some false-positives, which may skew any backtesting results from day bars. Take, for instance FSP, the top gapper from the scan from this last Friday, April 26th, 2009.

Image and video hosting by TinyPic

This gap-down on open was not the result of premarket trading, but most likely from the extremely large spread that occurs at the market's open. I would guess that the opening bid/ask spread was $13.15/$13.70, and that there were no buying opportunities at $13.15, and that to get in on the trade, you'd have to pay $13.70, which is why the 1-minute chart shows a hard gap-up at 2 minutes after open.

I have also tweaked and backtested Eman's initial parameters for his scan and found that by widening them, one can increase the ROI substantially.

1) "average volume(30) > 1,000,000" By dropping the average volume(30) requirement to 500k or even 100k, ROI increases substantially. The downside is that lower volume stocks are less likely to see high volatility in pre-market trading, and therefore sometimes experience the "gap-down fake out" as illustrated above with FSP

2) "open > $2" By dropping the opening lower limit to $1 or even $0.20, backtesting shows an increase in ROI. The downside is same as above with low volume stocks: they are less likely to see high volatility in pre-market trading, and therefore sometimes experience the "gap-down fake out" as illustrated above with FSP

3) "open > low 1 day ago" While this requirement makes sense logically, there are stocks that bleed over that edge slightly but are still good plays. Dropping the requirement to "open > X" where X is 2% below low 1 day ago, can increase the ROI in some cases. The sweet spot seems to be 4%.

4) "sorting winner by gap%" This works the best. For whatever reason, the highest gappers give the best ROI.

---

I am coding a scanner that interacts with Interactive Brokers, queries its premarket losers scan and filters the results through the parameters discussed in this thread. Email me at basher01234@gmail.com if you'd be interested in getting an email of the results minutes after the market opens.

Eman93
4,659 posts
msg #73875
Ignore Eman93
4/26/2009 5:32:57 PM

billrider321
- Ignore billrider321 4/26/2009 4:23:47 PM

very nice find.
i am going this filter,eyeballing entries.
couple of questions - why did you comment out slope conditions.?

I was only testing-- I have a natural bias twords stocks that are in a bullish pattern. It didnt seem to help that much.

Eman93
4,659 posts
msg #73879
Ignore Eman93
4/26/2009 8:05:50 PM

Basher,

Very nice work.... I will send you an email.

You can see by looking at the results, some of the stocks you may want to hold for more than one day...

I would think your pre market data filter would remove the large bid ask "fake gaps"

billrider321
70 posts
msg #73888
Ignore billrider321
4/26/2009 10:16:34 PM

basher/eman,

thanks for the research.
1. if there are earning or news driven movement would you be taking the trade? like HBAN on 4/21/09

2. we surely need to have some bullish trend filter , like 5 days slope of 10 ema. OR like 20 ema >50 ema >200ema.

3. i didnt see any stop loss discusion on the intial backtesting, was there a stop loss.

thanks

basher
6 posts
msg #73896
Ignore basher
4/27/2009 10:46:07 AM

billrider,

1. Personally, yes on earnings/news because the backtested data does not distinguish between earnings/news days and non-earnings/non-news days. Strickly-speaking, however, HBAN on 4/21/09 does not fall within the parameters for the current filter because the open was 23% below the previous day's low.

2. Yes, agreed.

3. No stoploss was used because we are assuming day-trades here and it is impossible to determine whether a stop loss would have been triggered with only daily price bar information. You cannot just say that you would place a stop loss at 4% off the day's high because intraday prices may have stopped you out earlier. The ROI was calculated using a buy-at-open, sell-at-close strategy.

StockFetcher Forums · Filter Exchange · Gap down filter<< 1 2 3 >>Post Follow-up

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