StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 38 39 40 41 42 ... 43 >>Post Follow-up
Kevin_in_GA
4,538 posts
msg #114909
Ignore Kevin_in_GA
8/16/2013 9:00:07 AM

Just put the following text (exactly as written here) into the selection method box:

/*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}
SET{THRESHOLD16, RATIOSTD16 * 2}

zscore16 above -1

select by zscore16 ascending


If you want to use this intraday, you'll need to replace ^SPX with SPY.

tonyctl
7 posts
msg #114922
Ignore tonyctl
8/16/2013 1:00:38 PM

This is excellent info guys, thanks! Pardon my stupidity, but where is the selection method box you are referring to, Kevin? I can't seem to find it in the Backtesting settings. Also, I have tried replacing SPX with IXIC and generated rather interesting results :)

tonyctl
7 posts
msg #114925
Ignore tonyctl
8/16/2013 3:31:14 PM

NVM, just found it, thanks!

tonyctl
7 posts
msg #114926
Ignore tonyctl
8/16/2013 3:38:12 PM

"/*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}
SET{THRESHOLD16, RATIOSTD16 * 2}

zscore16 above -1

select by zscore16 ascending "

But shouldn't it say:

zscore16 below -2

select by zscore ascending

for selection criteria when entering a stock? I thought zscore above -1 is an exit criteria?

Kevin_in_GA
4,538 posts
msg #114927
Ignore Kevin_in_GA
8/16/2013 3:43:29 PM

You're partly right, and I'm partly wrong. That criterion is for the exit, but is ignored in the selection method box. That line can be deleted since it is not used.

tonyctl
7 posts
msg #114929
Ignore tonyctl
8/16/2013 3:55:03 PM

Thanks Kevin for clarifying. Would you recommend applying this filter as is to the Nasdaq index? I tried backtesting as an experiment, and added a Global filter of volume > 100000 to exclude stocks that are not very liquid and the results came out even better than S&P. Would optimization by stratasys be required once again since it is a different index we're applying it to? Thanks.

mdl060374
91 posts
msg #115559
Ignore mdl060374
9/26/2013 7:24:33 PM

Kevin,

Do you have any sort of advice with a similar search for daytrading candidates?

It seems that a lot of these studies are more for swing/longer term trading.

Any advice you have for intraday would be great.

Kevin_in_GA
4,538 posts
msg #115630
Ignore Kevin_in_GA
9/30/2013 2:45:36 PM

There's no reason this basic approach wouldn't also work with intraday data. I have not tested it that way, and would probably look at a fair amount more optimization before trading anything. The challenge will be that the intraday moves will be of smaller magnitude while the commissions will stay fixed.

four
3,995 posts
msg #115832
Ignore four
modified
10/11/2013 10:10:34 AM

http://www.amazon.com/Design-Testing-Optimization-Trading-Systems/dp/0471554464/ref=cm_rdp_product_img#reader_0471554464

Design, Testing, and Optimization of Trading Systems [Hardcover]
Robert Pardo (Author)
4.3 out of 5 stars See all reviews (12 customer reviews)

PS Before you ask... just found this... haven't read the book

Kevin_in_GA
4,538 posts
msg #115837
Ignore Kevin_in_GA
10/11/2013 1:11:11 PM

I downloaded this one a while back - not bad. Mostly focuses on using Monte Carlo analyses, and walk-forward analysis to validate trading systems against OOS data.

If that doesn't make sense to folks reading this then they probably should get the book.

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