StockFetcher Forums · Filter Exchange · Get Stochastic + BB' & Keltner: breaking out of a range bound situation + directional indicator<< >>Post Follow-up
guymar
113 posts
msg #91698
Ignore guymar
modified
4/27/2010 3:42:37 AM

I'm rather new to this forum, so I hope my post complies with the general guidelines. My main interest here is to find a screener which can be used to narrow down the market to potential trades which can be investigated further using intra-day data. In my case I am using Advanced Get eSignal and Market Delta for this. As eSignal Advanced Get uses a proprietary oscillator to predict the termination of an Elliott Wave (potentially after a pullback), I thought it was a good idea to build the oscillator in SF. A wave shift should happen after it crosses the 0 line, direction of the cross indicating if this would be an advance or decline move. In order to make this effective I have applied it to range bound stocks on the verge of a breakout. This is determined by taking Bollinger Bandwidth and comparing it with Keltner Bandwidth using a 1.5 multiplier on the Keltner Bands. This is a reliable indicator for upcoming strong moves. I am just providing the basic formula and plotting here, you can tune it with extra charts etc etc to your liking. The formula for the Elliott Wave Oscillator is (5period high MA+ low MA)/2 - (35period high MA+ low MA)/2 - I used a set command to be able to plot it, but this might be overkill.

With proper filtering (mainly in order to avoid roach motels) it will return 5 to 20 stocks max. It returned 17 stocks this morning.

Note: Oh dear, the subject line is wrong, it should read Get Oscillator ......

/* Guymar */
/* Get Oscillator positive breakout filter */

set {5periodhigh, CMA(high,5) }
set {5periodlow, CMA(low,5) }
set {35periodhigh, CMA(high,35) }
set {35periodlow, CMA(low,35) }
set {5periodavgdouble, 5periodhigh + 5periodlow }
set {35periodavgdouble, 35periodhigh + 35periodlow }
set {5periodavg, 5periodavgdouble / 2 }
set {35periodavg, 35periodavgdouble / 2 }
set {getosc, 5periodavg - 35periodavg}

draw getosc

set {Keltnerdelta, Upper Keltner Band(20,1.5)-Lower Keltner Band(20,1.5)}
set {KeltnerBW, Keltnerdelta/Center Keltner Band(20,1.5)}

Show stocks where getosc crossed above 0 where Bollinger width(20,2.0) is below KeltnerBW

draw KeltnerBW on plot Bollinger width(20,2.0)

chetron
2,817 posts
msg #91701
Ignore chetron
modified
4/27/2010 6:32:44 AM

clickable....


Fetcher[
/* Guymar */
/* Get Oscillator positive breakout filter */

set {5periodhigh, CMA(high,5) }
set {5periodlow, CMA(low,5) }
set {35periodhigh, CMA(high,35) }
set {35periodlow, CMA(low,35) }
set {5periodavgdouble, 5periodhigh + 5periodlow }
set {35periodavgdouble, 35periodhigh + 35periodlow }
set {5periodavg, 5periodavgdouble / 2 }
set {35periodavg, 35periodavgdouble / 2 }
set {getosc, 5periodavg - 35periodavg}

set {Keltnerdelta, Upper Keltner Band(20,1.5)-Lower Keltner Band(20,1.5)}
set {KeltnerBW, Keltnerdelta/Center Keltner Band(20,1.5)}

draw getosc

draw Upper Keltner Band(20,1.5)
draw Upper Bollinger Band(20,2)
draw KeltnerBW on plot Bollinger width(20,2.0)

Show stocks where getosc crossed above 0 where Bollinger width(20,2.0) is below KeltnerBW

]





guymar
113 posts
msg #91703
Ignore guymar
modified
4/27/2010 11:09:30 AM

Ouch, this is really rookie of me .... how do you make it clickable, just by adding Fetcher [ .... ] ?

chetron
2,817 posts
msg #91704
Ignore chetron
4/27/2010 11:27:01 AM

yes, but remove the space between the "r" in "fetcher" and the bracket.


hth



guymar
113 posts
msg #91709
Ignore guymar
4/27/2010 12:35:10 PM

The Oscillator alone has generated nice return over the last couple of days :-( The range bound indicator doesn't seem to help a lot. It seems actually very nice for a trend following strategy....but that might be just luck ...

guymar
113 posts
msg #91959
Ignore guymar
5/3/2010 5:42:23 AM

Name Created Start Date End Date Win(%) Lose(%) W/L Ratio Reward/Risk ROI(%)
Getosc wi 5/3/2010 2/12/2010 4/20/2010 56% 44% 1.25:1 3.27 158.23%


Is this actually any good, ROI spx over same period returned 66.94%?

chetron
2,817 posts
msg #91961
Ignore chetron
5/3/2010 6:47:59 AM

I GOT THIS...

GUYMAR 5/3/2010 5/1/2008 4/30/2010 50% 50% 1.00:1 0.98 -2.71%

guymar
113 posts
msg #91978
Ignore guymar
5/3/2010 10:43:27 AM

Yes, I understand, this is because it is a very directional strategy (with the prevailing trend) if you are running it regardless the trend is up or down, it will not return rather poor results. Also: the exit strategy is important ... needs trailing stop ao:

I am using Fibonacci time calculation to warn from market turns, so around these periods I would be 100% cash or short ...

10% Stop loss
25% Profit Stop
20% Trailing stop loss ...

I am currently looking into the stuff being posted on the ETF's and I am thinking to use it (relative strength between ETF's) to optimize results on this strategy and optimize the search results by using the "watchlist" command ..... ultimately this can be built in streaming data as well in order to use RSI in smaller timeframes. This would be outside the Stockfetcher framework. Many thanks for your feedback, I am surely continuing my postings.



StockFetcher Forums · Filter Exchange · Get Stochastic + BB' & Keltner: breaking out of a range bound situation + directional indicator<< >>Post Follow-up

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