StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 9 10 11 12 13 ... 43 >>Post Follow-up
duncanhoo
14 posts
msg #101581
Ignore duncanhoo
7/12/2011 7:21:27 AM

thanks duke - have you experimented with trying to let any of these run - even on paper with some type of trailing stop? I know that is not the "backtested" strategy but as I look back though some of the results it would appear counter-intuitive have not trailed stops on some of these.

also have you seen any correlation with broader market direction in terms of win rate/win%? Not rocket science here but i have improved backtested results on many of these strategies by applying a bit of discretion on the trades.

Kevin thanks again for posting this....

duke56468
683 posts
msg #101589
Ignore duke56468
7/12/2011 11:45:31 AM

duncanhoo........I have tried several scenarios and stop loss settings. On back-test all stop losses except the very wide ones hurt the outcome. However shortening the hold periods to either 10 or 5 days does not affect them as much. The worst period I found on back-test since 12/30/2009 to present, was 4/30/2011 to present. On the paper trades I have been letting the EOD trades play out as Kevin described and using the exit filter to close. On the intraday trades I have been placing a trailing stop above break even. Unfortunately my paper trade software does not provide for trailing BUY stops which should improve the entry price when I get to real $.

Thanks again Kevin we all appreciate and benefit from your posts.

duncanhoo
14 posts
msg #101590
Ignore duncanhoo
7/12/2011 12:39:59 PM

thanks - i am downloading stratsearch trial. seems like a big learning curve on it.

mahkoh
891 posts
msg #101596
Ignore mahkoh
modified
7/12/2011 3:21:18 PM

Fetcher[
price above 10
average volume(30) above 400000
/*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/
SET{PRICERATIO, CLOSE / IND(^SPX,CLOSE)}
SET{RATIOMA16, CMA(PRICERATIO,16)}
SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)}
SET{DIFF16, PRICERATIO - RATIOMA16}
SET{ZSCORE16, DIFF16 / RATIOSTD16}
SET{THRESHOLD16, RATIOSTD16 * 2}

/*NEXT, SET CRITERIA NECESSARY TO TRIGGER A PAIR TRADE*/

SET{UPPERBAND16, RATIOMA16 + THRESHOLD16}
SET{LOWERBAND16, RATIOMA16 - THRESHOLD16}

zscore16 below -2
close above MA(200)

draw price line at weekly S3
draw price line at weekly S2
draw price line at weekly S1
draw price line at weekly PP
draw price line at weekly R1
draw price line at weekly R2
draw price line at weekly R3
]



Getting the monthly pivot lines is a bit of a hassle, you can check how I do this in another thread, search for "draw pivot lines".
I fiddled with my colour settings so that my weekly and monthly pivot lines are black, weekly support and resistance lines red and monthly lines blue. Note that I also swapped the S&P requirement for price and volume, that returns more candidates as well. I got an exit signal today for CEF at a 7.33 % gain from 6/28.


Kevin_in_GA
4,543 posts
msg #101597
Ignore Kevin_in_GA
7/12/2011 3:36:16 PM

Just a caveat - you are picking stocks outside of the S&P 500 with the first two lines of your filter. All of the system design, optimization and backtesting were done on S&P stocks. This will give you more stocks to choose from, but no promises on any performance.

Kevin

Have you backtested this filter over the last six months or so and compared it to the original?

Kevin_in_GA
4,543 posts
msg #101602
Ignore Kevin_in_GA
7/12/2011 7:56:39 PM

NOTE: BUY signal for GME today.


jkinghome
7 posts
msg #101604
Ignore jkinghome
7/12/2011 8:22:32 PM

Kevin,

Are you still buying and selling positions at market open based upon the EOD signals?

Thx

Kevin_in_GA
4,543 posts
msg #101605
Ignore Kevin_in_GA
7/12/2011 9:21:58 PM

That was how the system was optimized and backtested.

Truth is if the futures are really red, it probably makes sense to wait and try to get in at a lower price using a limit order.

mahkoh
891 posts
msg #101609
Ignore mahkoh
7/13/2011 2:17:12 PM

Buy signal for GME again today, but today it has monthly S2 support at 24.34

mahkoh
891 posts
msg #101611
Ignore mahkoh
modified
7/13/2011 2:47:08 PM

Just a caveat - you are picking stocks outside of the S&P 500 with the first two lines of your filter. All of the system design, optimization and backtesting were done on S&P stocks. This will give you more stocks to choose from, but no promises on any performance.

Kevin

Have you backtested this filter over the last six months or so and compared it to the original?


You have a point here, but I do believe that stocks which trade at a sufficient daily volume and above the price threshold will tend to move along with the S&P although they are not in that index.
Backtesting is not a thing that I'm good at and I really wouldn't know how to implement variables like pivot points into that.

I tried your Connors Combined filter that popped to the top the other day and this picked GME as well (now at 15:00hrs). Also showed VMED yesterday with double pivot and 200 SMA support.

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