StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 24 25 26 27 28 ... 43 >>Post Follow-up
novacane32000
273 posts
msg #104278
Ignore novacane32000
1/7/2012 6:35:14 PM

Four
Thanks for your help.
The imageshack pics were blurry and hard to read.
I reposted with Photobucket - a bit easier on the eyes.

Billirider321
62 posts
msg #104279
Ignore Billirider321
modified
1/7/2012 7:40:05 PM

Thanks for posting all the back test result.

Are you running your test in strata search.. How do you get data. Is it yahoo data or borgata data.

Can you test pyramid position , buy stock in half position and rest half after a 2 to 3 percent drawdown, as average drawdown of the system is 3 percent. Second half can be option trade. This are my thoughts.

Thanks

Bill

novacane32000
273 posts
msg #104280
Ignore novacane32000
1/7/2012 10:48:06 PM

On Stratasearch I use yahoo prices.

Pyramiding or adding on to a position can work to a small degree it seems. I quickly looked at a few SF stats. Stocks that gained up to 2.99% after 1 day --on avr finished with a higher gain than after 1 day. So adding on when the stock gains .01% to 2.99% after 1 day appears to be profitable.

Stocks that gained more than 3% after one day did not appreciate much more and in fact went down depending on the range you are looking at. For example-stocks that gained 4% to 5% after one day closed with an avr gain of just over 3.6% so I would not consider adding on here.

Cost avr down stats say to add on when the stock drops up to 3% as the avr close ends up around-.25%.

I would have to crunch a lot more numbers before I attempted to either pyramid or cost avr down on a trade.



Billirider321
62 posts
msg #104281
Ignore Billirider321
1/8/2012 1:47:27 AM

Here is what I am looking at.
Taking position in options, you exit at 2 to 3 percent gain on stock values. In option term it's a lot. If it goes down add more.

Do not average up. Max number to stay in trade is between 3 to 7 days.



mahkoh
891 posts
msg #104299
Ignore mahkoh
1/9/2012 2:17:01 PM

Intraday buy MPC 30.36

mahkoh
891 posts
msg #104301
Ignore mahkoh
modified
1/9/2012 4:02:01 PM

MPC is no longer triggered, so I guess it should be sold at 30.94 just before the close for a 1.91 % gain.

Kevin_in_GA
4,548 posts
msg #104302
Ignore Kevin_in_GA
1/9/2012 4:21:34 PM

No - it continues to be held until the zcore16 crosses back above -1.

It fell off the filter today because it's williams %R is above -94 at today's close. That is not the trigger for selling using this system.

Kevin

Kevin_in_GA
4,548 posts
msg #104349
Ignore Kevin_in_GA
1/11/2012 11:39:53 AM

Intraday SELL for MPC at 32.48.

In at 30.36, out at 32.48 for a gain of 7%.

mahkoh
891 posts
msg #104350
Ignore mahkoh
modified
1/11/2012 1:47:42 PM

novacane32000
45 posts
msg #104221
- Ignore novacane32000 1/4/2012 3:49:45 PM

Is there a way to have SF notify you when there is an intraday signal for your filter? Or is it up to you to refresh your filter throughout the day?

I have always had to refresh the filter but am hoping for an easier way.
----------------------

You will have to rerun the scan during the day. I use a "prescan" for this filter, this will tell you if canditates are near being triggered. If you find some you can choose to increase the frequency.

Fetcher[
S&P500

/*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/
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}

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

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

ZSCORE16 BELOW -1.8
WILLIAMS %R(16) BELOW -85
set{lobb, LOWER BOLLINGER BAND(16,2)}
set{lobb1,close - lobb}
set {lowerbandperc1,lobb1/close}
set{lowerbandperc,lowerbandperc1*100}
draw ma(200)
draw ma(50)
draw ma (20)

DRAW LOWERBAND16 ON PLOT PRICERATIO
DRAW UPPERBAND16 ON PLOT PRICERATIO
DRAW BOLLINGER BANDS(16,2)
ADD COLUMN ZSCORE16 {Z-score}
ADD COLUMN WILLIAMS %R(16)
add column lobb
add column lowerbandperc

DRAW ZSCORE16 LINE AT -1
DRAW ZSCORE16 LINE AT -2
DRAW ZSCORE16 LINE AT 0

SORT ON COLUMN 5 ASCENDING
CHART-TIME IS 6 MONTHS

set{p, close - ma(200)}
set{above200, p/ma(200)}
set{%above200,above200*100}
add column %above200

price above ma(200)

]




By the way: Intraday buy TSN 19.83

And COG does not show yet but I think it will when SF has caught up with the actual situation in 20 min.

COG indeed hit the filter at 71.30

mahkoh
891 posts
msg #104359
Ignore mahkoh
1/12/2012 12:08:11 PM

Intraday buy KR at 23.79

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 24 25 26 27 28 ... 43 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus