StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 31 32 33 34 35 ... 43 >>Post Follow-up
abhikat
3 posts
msg #104652
Ignore abhikat
1/27/2012 9:51:39 AM

There was an EOD signal for PCP (closed at 166.3, trading at 163.7 now).

sohailmithani
192 posts
msg #104653
Ignore sohailmithani
1/27/2012 10:15:22 AM

when did u get PCP buy trigger? Pls confirm as I do not have it

abhikat
3 posts
msg #104655
Ignore abhikat
1/27/2012 11:34:52 AM

Using the filter on page 1 of this thread. I just checked it again (with 'use offset 1') and saw PCP and VZ. Am I using the wrong version of the filter?

mahkoh
892 posts
msg #104657
Ignore mahkoh
1/27/2012 12:01:39 PM

Intraday buy AEP at 40.00

sohailmithani
192 posts
msg #104661
Ignore sohailmithani
1/27/2012 1:54:25 PM

abhikat

my mistake
u r right? PCP was there

mahkoh
892 posts
msg #104663
Ignore mahkoh
modified
1/27/2012 2:10:47 PM

Intraday buy RHI at 26.97, currently trading at 27.28

and CB at 67.15, now at 67.05

OKE 85.49, now at 85.12

Kevin_in_GA
4,548 posts
msg #104676
Ignore Kevin_in_GA
1/27/2012 9:11:21 PM

End of Day signals for both AEP and OKE.

mahkoh
892 posts
msg #104722
Ignore mahkoh
modified
1/30/2012 10:52:57 AM

As I have decided to try and take this filter outside the S&P 500 it will not make much sense to update on filter hits here.

I have the impression that the best performers in the filter tend to have a strong correlation with SPY while underperformers generally show lower correlation. Therefore I adjusted the filter to look outside the S&P 500 for stocks that have strong correlation with SPY, thus putting more emphasis on correlation rather than just being part of the index.

The filter I will be trying is
Fetcher[

and average volume(30) above 250000
price above 4

/*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 -1.5
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 lobb
add column score
ADD COLUMN ZSCORE16 {Z-score}
add column lowerbandperc
ADD COLUMN WILLIAMS %R(16)
add column separator
set{aa,count(lowerbandperc below 0,1)}
set{bb,count(Williams %R(16) below -94,1)}
set{cc,count(zscore16 below -2,1)}
set{aa1,aa + bb}
set{score,aa1 + cc}
add column separator
DRAW ZSCORE16 LINE AT -1
DRAW ZSCORE16 LINE AT -2
DRAW ZSCORE16 LINE AT 0

SORT ON COLUMN 6 DESCENDING
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)
add column corr(SPY,90,Close)

corr(SPY,90,close) above 0.85

score above 0.5
]



Score column tells you how many of the 3 original requirements(zscore below -2, below Bbands and W%R below 94) are met.






novacane32000
273 posts
msg #104723
Ignore novacane32000
modified
1/30/2012 11:07:46 AM

Mahkoh
I have taken this filter beyond the SP500 and after trying several possibilities found this one to work best over the long run

market capitalization is above 1000
and price is above 10
and volume is above 200000

I am curious to backtest your filter with the SP correlation built in.

mahkoh
892 posts
msg #104726
Ignore mahkoh
1/30/2012 11:42:47 AM

Novocane, you're very welcome to backtest.

The filter has been tried outside the S&P before but that did not improve results (and it had not been optimised that way)


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