StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 2 3 4 5 ... 43 >>Post Follow-up
seanban
22 posts
msg #101120
Ignore seanban
6/7/2011 4:44:46 PM

Kevin,
Started paper tradin as of yesterday based on both filters provided earlier (entry and exit). What I noticed is that during certain times of the day, exit signal list varies. At EOD, we have one signal - DD. But earlier, there were several. Just wondering, performance wise, is it best to exit when the signal is given or to wait as suggested until 30 mins. before markets close?

Thanks - Sean

Kevin_in_GA
4,541 posts
msg #101123
Ignore Kevin_in_GA
6/7/2011 9:06:21 PM

I see two signals today - DD and ESRX. I did not check intraday. Both closed at modest profits.

Four new picks were signaled from the entry filter. The top two are Lorillard (LO) and Ryder (R). I would replace the closed trades with these using the open price tomorrow morning.

Let's see how this plays out ...

Kevin

calhawk01
135 posts
msg #101125
Ignore calhawk01
6/7/2011 9:36:26 PM

Kevin, I just want to say that you are awesome! Thanks for sharing your ideas and thoughts. Very helpful!


Kevin_in_GA
4,541 posts
msg #101130
Ignore Kevin_in_GA
6/8/2011 10:20:59 PM

Close out PKI at the open price tomorrow. Purchased at 26.40, closed today at 26.35. Hopefully will get a slight bounce.

Normally I would replace this one with ANF (Abercrombie and Fitch). The stock is more than 3 SD from it's normal relationship with the ^SPX, and dropped more than 5% today - was earnings driven.

I like the second place stock (WM) as well. A smaller move and a lower W %R. Either would be a good play, so I'll go with the system and choose ANF. Will use open price tomorrow as entry.

novacane32000
273 posts
msg #101143
Ignore novacane32000
modified
6/9/2011 3:56:51 PM

"Kevin,
Started paper tradin as of yesterday based on both filters provided earlier (entry and exit). What I noticed is that during certain times of the day, exit signal list varies. At EOD, we have one signal - DD. But earlier, there were several. Just wondering, performance wise, is it best to exit when the signal is given or to wait as suggested until 30 mins. before markets close?

Thanks - Sean "
*************************************************************************************************************************************

Sean
I am also paper trading this filter and see the same thing you do.

To mimic the backtest results from SF you would want to sell as close to the close as possible or at the open the next day. My SF backtest was set up to sell at the open of the next day but you know it is rare to be able to get that exact sell price at the open. Slippage is gonna happen.

I took a look at setting a stop at the open of the next day after a sell trigger but that will not improve results-With the small sample size I looked at most times I got a worse fill with the stop than I would have by just selling at the open.

As far as which is best all depends on which way the market and your stock is headed when you sell.

Either way ,very excited at the potential here. Big thanks to Kevin for his work.



jkinghome
7 posts
msg #101146
Ignore jkinghome
6/9/2011 8:55:28 PM

Hi all, I am new to SF and loving it.

I am also paper trading this system.

I must say that as a newbie, and going through most of the historical forum posts, I have learned more from Kevin's posts than anyone. Kevin's posts ard filters are well thought out and very well communicated to the readers. Some of the posts here are just so cryptic! Thank you for helping the SF community, Kevin!

I am looking forward to this strategy.

Kevin, I have just joined Stratasearch as well. I am having problems trying to get the custom forumla to work. But I will try some other ways.

Jacqueline

Kevin_in_GA
4,541 posts
msg #101148
Ignore Kevin_in_GA
6/9/2011 10:55:19 PM

PKI opened at 26.37, so it records as a loss of ca. 0.1%. I might have held this through the day given how the futures were looking, but the mechanical system says close the trade at the open price so that's what we'll do.

Two more closed today - SWY and FMC. Will close them out using open prices tomorrow.

Replace them with KIM and ALTR at the open price tomorrow.

calhawk01
135 posts
msg #101149
Ignore calhawk01
modified
6/9/2011 10:56:17 PM

I just did a small research on this system. I thought i would share it:

1. Exit variable= rsi(2)> 70 rather than the std gives better results. Backtested this fact in the increments of two years - ranging from 2002- present day

And as a general rule:

2. Always set your entry price as "yesterday close" and make sure you enter a limit order at that price. I did a research of SPY and various other stocks. Backtested this for the past 5 years. There are 70% chances that your limit order will get filled the first day. 80% chances that it will be filled by the 3rd day. What does that mean for us? It reduces slippage. I tested this system and compared two entry prices. 1st was next day open and second was yesterday's close. Backtested it from 2002-present day in the increments of 2 years. Overall a limit order at yesterday close price improved ROI and decreased the numbers of trades that occur (obviously).

Kevin_in_GA
4,541 posts
msg #101150
Ignore Kevin_in_GA
6/9/2011 10:56:20 PM

Jacqueline - send me a PM at stratasearch.com and I'll try to help.

Kevin_in_GA
4,541 posts
msg #101151
Ignore Kevin_in_GA
6/9/2011 11:09:46 PM

1. rsi(2)> 70 rather than the std gives better results. Backtested this fact in the increments of two years - ranging from 2002- present day

+++++++++++

Define better ... what I am looking for is higher equity summary values and lower volatility, rather than annualized ROI or win%. Also, look at the Sharpe ratio of the stats I posted for this filter - that is what professional quants use as their metric for a "good" system.

Here are the results for the same system and timeframe, but using the RSI(2) > 70 as your exit trigger:

Photobucket

Compare this to the system stats in the first post in this thread. As you can see, total profit is lower, as is per trade return and a lower Sharpe ratio.

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 2 3 4 5 ... 43 >>Post Follow-up

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