StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 20 21 22 23 24 ... 43 >>Post Follow-up
Kevin_in_GA
4,543 posts
msg #103748
Ignore Kevin_in_GA
12/13/2011 7:21:07 PM

End-of-day BUY signal for RRC.

First signal in a while. Remember that this was optimized for a portfolio of 10 stocks, so only 10% of your trading equity would be put against this.

TheRumpledOne
6,359 posts
msg #103767
Ignore TheRumpledOne
12/14/2011 7:36:36 AM

Fetcher[
/* TRO ZSCORE FREQUENCY DISTRIBUTION */

/* below from Kevin_in_GA */
/*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}
/* above from Kevin_in_GA */

set{Long_Profit, ZSCORE16 }

set{C1A, count(Long_Profit > -99 , 100)}
set{C2A, count(Long_Profit > -4, 100)}
set{C0010, C1A - C2A}

set{D1A, count(Long_Profit > -4 , 100)}
set{D2A, count(Long_Profit > -3, 100)}
set{D1020, D1A - D2A}

set{E1A, count(Long_Profit > -3 , 100)}
set{E2A, count(Long_Profit > -2, 100)}
set{E2030, E1A - E2A}

set{F1A, count(Long_Profit > -2 , 100)}
set{F2A, count(Long_Profit > -1, 100)}
set{F3040, F1A - F2A}

set{G1A, count(Long_Profit > -1 , 100)}
set{G2A, count(Long_Profit > 0, 100)}
set{G4050, G1A - G2A}

set{H1A, count(Long_Profit > 0 , 100)}
set{H2A, count(Long_Profit > 1, 100)}
set{H50100, H1A - H2A}

set{I100, count(Long_Profit > 2 , 100)}

set{volcnt, count(volume below 1000000,100)}

/* PRICE POSITION Display */

/* enter your Upper Limit criteria */
set{UpperLim , High 16 day High}

/* enter your Lower Limit criteria */
set{LowerLim , Low 16 day Low}

set{ Dynamic_Range , UpperLim - LowerLim }
set{PPDiff, CLOSE minus LowerLim}
set{PPDiv, PPDiff / Dynamic_Range}
set{BallOn, PPDiv * 100}

/* DISPLAY COLUMNS */


add column ZSCORE16

and add column separator



add column BallOn {BallOn16}
add column UpperLim
add column LowerLim


and add column separator
and add column C0010 {_-4}
and add column D1020 {-4_-3}
and add column E2030 {-3_-2}
and add column F3040 {-2_-1}
and add column G4050 {-1_0}
and add column H50100 {0_1}
and add column I100 {2_}


and add column separator

/* SELECTION CRITERIA */


S&P500

volcnt below 1

stock is optionable

/* SORT CRITERIA */

SORT COLUMN 5 ASCENDING

]




Hey Kevin:

Read your thread last night... NICE WORK!

I thought a frequency distribution of the zscores may help.

Looks like you get a few trades every 100 days based on zscore alone.




Kevin_in_GA
4,543 posts
msg #103864
Ignore Kevin_in_GA
12/19/2011 9:07:10 PM

Another end-of-day BUY signal for Mattel (MAT).

RRC is currently down 2.25% from the buy at the open 4 days ago, but give these time.

Kevin_in_GA
4,543 posts
msg #103884
Ignore Kevin_in_GA
12/20/2011 10:52:35 AM

Intraday signals:

RRC - SELL at 62.10 (in at 60.82, a gain of 2.1%)
GIS - BUY at 38.60

MAT - in at the open @ 27.59

Kevin_in_GA
4,543 posts
msg #103915
Ignore Kevin_in_GA
12/21/2011 10:41:42 AM

Intraday SELL signal for GIS at 39.67. Was in yesterday at 38.60, so closing this out for a gain of 2.7%.

coolsf
21 posts
msg #103918
Ignore coolsf
12/21/2011 2:32:36 PM

Is anyone taking IBM buy today?

Kevin_in_GA
4,543 posts
msg #103922
Ignore Kevin_in_GA
12/21/2011 3:59:42 PM

Did not see this one until you pointed it out (I had not run the filter intraday). Signal is gone now, but I did see it for IBM around 1:30 PM. At that time IBM was trading at 179.85.

coolsf
21 posts
msg #103931
Ignore coolsf
12/22/2011 2:36:23 AM

Thanks, Kevin. It is your filter using which I entered IBM. Thanks so much. My stop is trailing 2.5%.

But, I am wondering that you say the signal is not there. The zscore is still -2.85 as I see it. Why shouldn't someone enter now? Because the rule of this thread says to enter when it is below -2, no? The following filter is giving me the score as -2.85 which is still good enough for the entry, I am guessing based on the rules.

symlist(IBM)
SET{PRICERATIO, CLOSE / IND(SPY,CLOSE)}
SET{RATIOMA16, CMA(PRICERATIO,16)}
SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)}
SET{DIFF16, PRICERATIO - RATIOMA16}
SET{ZSCORE16, DIFF16 / RATIOSTD16}
SET{THRESHOLD16, RATIOSTD16 * 2}

add column zscore16
sort on column 5 descending

Kevin_in_GA
4,543 posts
msg #103934
Ignore Kevin_in_GA
12/22/2011 7:50:13 AM

Three other criteria must be met -

1. Williams %R below -94
2. Close below lower BB(16,2)
3. Close above ma(200)

Only if all four criteria are met is the stock selected for a BUY.

coolsf
21 posts
msg #103936
Ignore coolsf
12/22/2011 9:14:47 AM

Thanks, Kevin. Understood. But, at the time I entered, it did show up on the filter intraday. I will take profits today.

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 20 21 22 23 24 ... 43 >>Post Follow-up

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