StockFetcher Forums · Filter Exchange · \"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!<< 1 ... 4 5 6 7 8 >>Post Follow-up
durgin
60 posts
msg #122779
Ignore durgin
2/6/2015 10:08:35 PM

And if you bought and held RSP -- the equal weight version of SPY you would have about $142,500.

Phil

mahkoh
895 posts
msg #122781
Ignore mahkoh
2/7/2015 1:52:30 PM

If you're looking for a high % win filter check another of Kevin's

http://www.stockfetcher.com/forums/Filter-Exchange/TRADING-DIVERGENCES-ON-THE-S-P-500/108174

I can't recall this to produce a single losing trade since it was posted.

novacane32000
273 posts
msg #122784
Ignore novacane32000
2/7/2015 8:47:40 PM

wkloss--avr trade is about 8 days

durgin- You are right this filter does not beat the SP500 most years (though it did handily in 2008) but it does beat it while you are in the trade.

Also since spy tracks step for step with the futures market you simply buy contract when you get a signal and multiply your winnings by 10. The caveat being your drawdown will be 10x more vicious .Using SPY you would have had two 12% losses and an 8% loss as you 3 worst losers over the past 10 years. Not hard to swallow trading SPY but much tougher using futures.

donzidoug@gmail.com
1 posts
msg #124699
Ignore donzidoug@gmail.com
8/21/2015 12:57:52 PM

Thank you Kevin for this work that you created and shared several years ago.

I can tell you from personal real time experience that the MeanReversion trade is alive and well in 2015 with some successful practitioners seeing upwards of 80% success rate using variations of Connors strategy on ETFs.

My question is whether anyone has knowledge of how Mr. Connors strategy applies when the ETF has recently crossed its 200 dma? As we are seeing now the index as well as stock related ETFs are experiencing extreme volatility. Great for the Mean reversion trade except that 200dma so important to Connors strategy is being breached across the board.

If he hadn't closed his website and retired I would ask him directly. Perhaps he has addressed this in one of his books but having only read one, I wouldn't know.

Hopefully someone here in the forum has the answer.

Thanks

dougn
8 posts
msg #124701
Ignore dougn
modified
8/21/2015 1:29:50 PM

In his book " High Probability ETF Trading" Connors states that if the etf has crossed the 200dma do not enter the trade.

ron22
43 posts
msg #137391
Ignore ron22
8/6/2017 7:30:39 AM

compound gains, I am new to SF and to investing. Please give me some clarification.

1. If next open is higher than previous day's high, then you hope that price dips to below previous high. Right?

2. If next open is lower than previous day's high then you wait for price to go above to previous day's high?

3. Do you continually watch markets until price crosses previous day's high or do you use a limit buy order to buy ETF at previous day's high?

4. You are buying Long whether etf crosses (above or below) previous day's high. Right?
Thank you for your help. I am still figuring this stuff out. Ron

Fetcher[
symlist(ugaz, dgaz, fas, faz, tna, tza, erx, ery, edc, edz, nugt, dust, jnug, jdst, upro, spxu, uslv, dslv)
set{rsichk1, rsi(5) + rsi(5) 5 days ago}
set{rsichk, rsichk1 + rsi(5) 10 days ago}
add column rsichk
sort column 5 ascending
draw rsi(2)
draw rsi(2) line at 70 on plot rsi(2)
rsi(2) < 35

/*Entry at open next day*/
/*Exit at open day after rsi(2) closes above 70*/
]





Full disclosure:
: The filter above is a starting point with a lot of potential IMO, but it has to be adjusted to individual trading styles and risk tolerance.
: I dropped upro and spxu.
: I use the previous day's high as my entry (cross above or below). Gap ups don't count unless price crosses below the previous day's high during the trading day. If it doesn't hit the previous day's high then there is no trade and you move on to the next day's candidate. Buying at or above the previous day's high would likely give you more profitable trades, but I like the idea of setting your entry the night before and not having to worry about trading at the open.
: I use a 5% stop loss...rarely hits that so far but you're glad it's there when it does.
: I use a close above the 70 rsi(2) as my exit the next morning at the open. From what I've seen this is a conservative approach and I'm happy with the results until I have a lot more trading history to work from.


compound_gains
152 posts
msg #137399
Ignore compound_gains
8/6/2017 3:20:16 PM

Blast from the past. I made one change...I sum the rsi(2) over 10 days rather than adding current, 5 days ago and 10 days ago.

Fetcher[symlist(ugaz, dgaz, fas, faz, tna, tza, erx, ery, edc, edz, nugt, dust, jnug, jdst, uslv, dslv)
set{rsichk, sum(rsi(2), 10)}
add column rsichk
sort column 5 ascending
draw rsi(2)
draw rsi(2) line at 70 on plot rsi(2)
rsi(2) < 35
add column high
]



I trade the ETF with the lowest 10-day rsi(2) sum...the ETF at the top of the list. I set a stop limit buy at the current day's high. Next day, if price passes through the previous day's high either from above or below, then the buy is triggered.

If you're new to stock trading, do your due diligence and my advice would be to paper trade for awhile. This particular filter is really easy to paper trade and track.

ron22
43 posts
msg #137403
Ignore ron22
8/6/2017 9:30:15 PM

Thank you very much for your input. I will paper trade for sure. I am learning a lot from you and the other pros on SF.

compound_gains
152 posts
msg #137531
Ignore compound_gains
8/10/2017 2:02:04 PM

UGAZ...August 4...manage your position sizing and losses and trades like this make it all worthwhile. Just sayin'.

StockFetcher Forums · Filter Exchange · \"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!<< 1 ... 4 5 6 7 8 >>Post Follow-up

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