StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 4 5 6 7 8 ... 43 >>Post Follow-up
3,859 posts
msg #101237
Ignore Kevin_in_GA
6/13/2011 6:36:29 PM

Follow up - 2 exits triggered today:

LO - entry at 97.00, closed trade today at 101.57 (+4.71%)
R - entry at 50.71, closed trade today at 50.90 (+0.37%)

Replace these two with CHK and IP at the open price tomorrow.

683 posts
msg #101239
Ignore duke56468
6/13/2011 8:39:42 PM

four or you know this answer? In the backtest if I leave the "selection method" blank will SF choose the stocks in the order of the filter selection or do I have to write in a selection method??

3,859 posts
msg #101240
Ignore Kevin_in_GA
6/13/2011 9:16:47 PM

I use the following:


select by zscore16 ascending

This insures that the stocks with the lowest z-score are chosen ahead of any others.

179 posts
msg #101243
Ignore fortyfour
6/14/2011 2:51:54 AM

Tradeoff........ Maybe this (or any other ?) "market weakness" test wouldnt kill the performace
by too much.......reduce drawdowns......maintain a decent sharpe ratio and allow
more individuals (with lower risk tolerances) to trade the system at all times.

There is an area where the market is weak (walking lower bb's) yet leaders have a long way to fall to ma(200)..
that may produce many consecutive losses? or ... Maybe not. I know it hurts equity but I dont know how well
it reduces drawdown...

set{c1, count( roc(3) < cema(roc(3),13),1)}
set{c2, count( williams %r(20) < -70,1)}
set{csum, c1 * c2}
set{SPYtest, ind(SPY,csum) }
spytest < 1
SPYtest below .5 /*below 1 means market ok to trade*/
draw c0
draw williams %r(20)
draw roc(3)

PS: Try this::: user Stockfetchers backtester for Kevins filter from 5/15/2008 - 7/15/2008 ( Downtrend where SP500 lost
about 4%) . The system made about $3000 on an initial 100K during that 2 month period. That is indeeed surprising !
Make a filter of just "symlist(spy)" and use HISTORICAL to look at that period before the meltdown.

24 posts
msg #101246
Ignore shainadir
6/14/2011 1:48:10 PM


Great work by the way.

Not sure if this is considered curve fitting, but using the highest correlation instead of lowest z-score in my backtests on stockfetcher have been producing slightly better equity results. I use the statement, select by corr(^spx,10,Close) descending" for the selection method. Can anyone test this on Stratasearch? Thanks.

3,859 posts
msg #101247
Ignore Kevin_in_GA
6/14/2011 4:24:25 PM


I can check this tonight. Odds are that the differences will be small over the 10 year period tested.

I cannot use StrataSearch to put together a pair trade for these stocks (with SH as the other half). It's not really set up to do that type of analysis. Obviously that strategy would be useful, but would probably result in a lower overall profit since much of the time the market went up (slowly) versus down (rapidly).

268 posts
msg #101260
Ignore novacane32000
6/15/2011 7:27:09 PM

Does anyone know what the time delay is on the SF filters?

At 4:40 pm the Zscore filter showed 6 or 7 stocks. Now at 7:20pm it only shows 3 ??

Same with the exit filter. None at 4:40pm ,at 7:20 pm it shows one.

683 posts
msg #101261
Ignore duke56468
6/15/2011 8:17:29 PM

- Ignore novacane32000 6/15/2011 7:27:09 PM
Does anyone know what the time delay is on the SF filters?
SF offers 2 e-mail times 6PM and 9PM(to allow for corrections and final data)

55 posts
msg #101300
Ignore saico
6/20/2011 3:00:39 PM

Hi Kevin,

first of all thanks for the great work! I wonder if its possible to imply to the exit filter a code that gives an exit signal after the 20 days maximum holding time passed by?


3,859 posts
msg #101302
Ignore Kevin_in_GA
6/20/2011 7:47:18 PM


Unfortunately this cannot be done in SF. You would have to track this manually.


StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 4 5 6 7 8 ... 43 >>Post Follow-up

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