StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 12 13 14 15 16 ... 43 >>Post Follow-up
duke56468
683 posts
msg #101792
Ignore duke56468
modified
7/24/2011 3:10:16 PM

Kevin ......thanks for the response. Great filter and method.

06-27-11 LUK 311 long 32.11 32.60 1.53% 100,146.17
06-27-11 XOM 130 long 76.94 78.45 1.96% 100,339.87
06-27-11 BA 140 long 71.36 71.80 0.62% 100,398.67
06-27-11 BHI 149 long 67.66 68.45 1.17% 100,513.40
06-28-11 STJ 2 long 46.53 46.72 0.41% 100,513.74
06-28-11 RAI 272 long 36.89 37.12 0.62% 100,570.86
06-28-11 MO 382 long 26.03 26.34 1.19% 100,681.64
06-29-11 SJM 134 long 75.94 76.25 0.41% 100,720.50
07-11-11 WLP 132 long 75.51 75.76 0.33% 100,750.86
07-12-11 GME 402 long 24.87 24.73 -0.56% 100,686.54
07-15-11 COF 208 long 48.36 48.74 0.79% 100,761.42
07-15-11 DF 870 long 11.49 11.45 -0.35% 100,709.22
07-18-11 HRB 660 long 15.08 15.17 0.60% 100,755.42
07-18-11 CCE 363 long 27.59 27.85 0.94% 100,842.54
07-18-11 LSI 1550 long 6.47 6.54 1.08% 100,920.04
07-18-11 T 335 long 29.87 30.03 0.54% 100,966.94
07-18-11 LLL 125 long 80.43 80.82 0.48% 101,013.19
07-18-11 ORLY 160 long 62.31 62.28 -0.05% 101,005.19
07-18-11 DF 885 long 11.31 11.24 -0.62% 100,925.54
07-22-11 ALTR 246 long 40.65 42.08 3.52% 101,272.40
Total (realized) gain to-date:
1.27%
1,272.40

Total unrealized gains (open positions):
0.87%


Total gain to-date:
0.40%





mahkoh
894 posts
msg #101799
Ignore mahkoh
7/25/2011 6:10:18 PM

Duke, these are promising results but I do have a couple of loose ends here: Am I right to assume that these were all daytrades? If yes did the filter pick them intraday and if yes do you run the filter at or until a certain time or all day long?
I noticed you only went long GME on July 12 while the filter generated it also on July 13 and 14. As you did go long twice on DF did you have a reason not to do this with GME or was it just not generated intraday?


Kevin_in_GA
4,552 posts
msg #101802
Ignore Kevin_in_GA
7/25/2011 7:56:39 PM

BUY signals today: VZ and DVA

SELL Signals:

PLL (in at 53.30 out at tomorrow's open)
GME (in at 24.83, out at tomorrow's open)

duke56468
683 posts
msg #101805
Ignore duke56468
7/25/2011 10:19:27 PM

@mahkoh.....I'm not real consistent with the trade timing and running the filter, but if I'm around the computer I will try to run the filter 2 or three times a day. If I'm late and the stock has already started to climb too much, I don't take the trade. If it was an intraday find by the filter I mostly try to treat it as a daytrade and try to place stops as soon as it goes above break even. If it keeps dropping I assume it will be an end of day pick (but not always) and try to check it just before close. I did go long GME again on the 13th and just sold it today for a -4.95% loss (worst so far). I have been trying to exit losers in 5-10 days since there are no stop loss settings that work well for this filter. Hope this helps.

mahkoh
894 posts
msg #101824
Ignore mahkoh
modified
7/26/2011 6:21:39 PM

Thanks for the explanation Duke
I have downloaded 5 returns during the day and pasted them below with their z-score
11:00
WAT -3.47
MMM -3.05
NFLX -2.96
ZMH -2.71
BDX -2.67
LTD -2.65
UTX -2.45
SNA -2.44
LO -2.36
GWW -2.35
DHR -2.33
DGX -2.19

12:00
BDX -2.84
LTD -2.7
LO -2.56
GWW -2.56
SNA -2.43
DHR -2.33
CAH -2.29

13:30
MMM -3.15
BDX -2.85
GWW -2.6
SNA -2.48
LO -2.44
DHR -2.42
CAH -2.23

15:00
BDX -2.81
GWW -2.65
SNA -2.5
DHR -2.33
CAH -2.31

16:30
VAR -2.82
BDX -2.75
GWW -2.62
CFN -2.6
SNA -2.47
PPG -2.43
CAH -2.31
DHR -2.29
DVA -2.12
COP -2

Funny to analyze and see e.g. that MMM made a move above the 200 SMA in the third scan and since dropped below.
I am currently using 2 filters, the original and the one without S&P and 200 SMA requirements. I do draw the 200 SMA though, as I go through the results visually I can see whether it trades above or below and decide whether I believe there to be sufficient support to justify a trade. For that last purpose I also draw a 50 and 20 SMA and get particularly interested when there is combined support just below. For tomorrow VAR and COP look tempting: for both 50 SMA, monthly pivot point and weekly S2 are all in the 68.50 and 73.50 area resp, outside the S&P WERN and MYGN have the 200 SMA and monthly S1 as combined support at 24.00 and 21.50 resp.




BillRoberts
10 posts
msg #101827
Ignore BillRoberts
7/26/2011 8:39:28 PM

Great Job!!

I just read through all the posts, and find it very interesting.

I just wanted some clarification on how this would actually be traded.

1. Trading is done in "pairs" with the SP500, so If I were trading in blocks of $2,000 I would by $2000 worth of -2 Z stock (say ABC) and $2000 of SPY. When ABC hits -1Z or I've held it for 20 days I sell all of it as well as the number of shares of SPY that I bought when I bought ABC. Is that correct?

2. Is the 20 days calendar day or trading days?

3. Did your results show 5 open "pairs" of stocks for 15 days give about the same results as 10 open "pairs" for 20 days?

Thanks,

Bill

BillRoberts
10 posts
msg #101828
Ignore BillRoberts
7/26/2011 8:42:13 PM

One more.

Filter is only run after the End of the Day, those that are above -1z are sold the next day at the open, and if more stocks are needed, the largest -z is purchased, again at the opening price?

Kevin_in_GA
4,552 posts
msg #101831
Ignore Kevin_in_GA
modified
7/26/2011 9:27:17 PM

I just read through all the posts, and find it very interesting.

I just wanted some clarification on how this would actually be traded.

1. Trading is done in "pairs" with the SP500, so If I were trading in blocks of $2,000 I would by $2000 worth of -2 Z stock (say ABC) and $2000 of SPY. When ABC hits -1Z or I've held it for 20 days I sell all of it as well as the number of shares of SPY that I bought when I bought ABC. Is that correct?

2. Is the 20 days calendar day or trading days?

3. Did your results show 5 open "pairs" of stocks for 15 days give about the same results as 10 open "pairs" for 20 days?

Thanks,

Bill
+++++++++++

1. This is technically half of a pairs trade, but you do not short the market (or go long as you had indicated). You only buy the stock that comes up on the filter. A portfolio of 5 stocks max at any time seems to work the best, even though the filter was optimized for a portfolio of 10 stocks.

2. Use max holding period of 15 trading days (not calendar).

3. No.

And to your final question - no. You sit in cash until a new trade is signaled.

Kevin_in_GA
4,552 posts
msg #101832
Ignore Kevin_in_GA
7/26/2011 9:32:06 PM

7/26/2011 signals:

BUYS:
DHR Danaher Corporation
CAH Cardinal Health, Inc.
PPG Ppg Industries, Inc
SNA Snap-on Incorporated
CFN Carefusion Corporation
GWW W.W. Grainger, Inc.
BDX Becton, Dickinson And Company
VAR Varian Medical Systems, Inc.
MMM 3M

No SELL signals.

BillRoberts
10 posts
msg #101833
Ignore BillRoberts
7/26/2011 9:45:52 PM

Thanks,

That's even easier.

By -Z I get:

VAR -2.82
BDX -2.75
GWW -2.62
CFN -2.60
SNA -2.29


Are you still using the SF code from your original post?





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