StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 5 6 7 8 9 ... 43 >>Post Follow-up
lvainik
52 posts
msg #101304
Ignore lvainik
6/21/2011 11:02:03 AM

Kevin:

I had a question

could you email me at TWEETss (at)dashover.com

Thanks!



duke56468
683 posts
msg #101305
Ignore duke56468
modified
6/21/2011 5:04:07 PM

Backtesting seemed to show less success in an up trending market than in a down trending one, for Kevins original filter so I tried this SHORT version. It seems to work for SHORTs with some modification (removed w%r). Any thoughts?

(edit AFTER FURTHER BACKTESTING IT DIDN'T WORK AS WELL)
Fetcher[
S&P500

/*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}

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

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

zscore16 ABOVE 2

close above upper Bollinger Band(16,2)
close above MA(200)

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)
and add column corr(^spx,10,Close)


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


SORT ON COLUMN 5 DESCENDING
CHART-TIME IS 6 MONTHS
]



Kevin_in_GA
4,538 posts
msg #101333
Ignore Kevin_in_GA
6/23/2011 9:42:36 PM

Update on this filter performance - I backtested from 2/23/11 through today's close. All positions closed at the end of the backtest.

Here is this week's performance:

06/20/11
06/20/11 sold (Trigger #) 474.73 shares ($11312.81) of CBG at 23.83 for a loss of $47.47
06/20/11 bought 152.54 shares ($11266.63) of CTXS at 73.86, remaining cash: $67599.78
06/20/11 bought 46.58 shares ($11266.63) of NFLX at 241.86, remaining cash: $56333.15
Transaction Summary
Daily Losses : $47.47
Running Gain/(Loss) : $13027.06
# Stocks held at end of day : 5

Summary
Invested In Stock: $56693.91
Market Value of Stock: $56310.76
Market Value - Invested: - $383.16
Available Cash: $56333.15
Total (Cash + Market): $112643.91



--------------------------------------------------------------------------------

06/21/11
No Transactions
Transaction Summary
Running Gain/(Loss) : $13027.06
# Stocks held at end of day : 5

Summary
Invested In Stock: $56693.91
Market Value of Stock: $58147.13
Market Value - Invested: $1453.22
Available Cash: $56333.15
Total (Cash + Market): $114480.28



--------------------------------------------------------------------------------

06/22/11
06/22/11 sold (Trigger #) 260.89 shares ($11450.53) of ALTR at 43.89 for a gain of $10.44
06/22/11 sold (Trigger #) 406.01 shares ($11632.31) of IP at 28.65 for a gain of $272.03
Transaction Summary
Daily Gains : $282.47
Running Gain/(Loss) : $13309.53
# Stocks held at end of day : 3

Summary
Invested In Stock: $33893.54
Market Value of Stock: $34662.79
Market Value - Invested: $769.25
Available Cash: $79415.99
Total (Cash + Market): $114078.78



--------------------------------------------------------------------------------

06/23/11
06/23/11 bought 159.41 shares ($11345.14) of BA at 71.17, remaining cash: $68070.85
06/23/11 sold (Trigger #) 395.69 shares ($11312.80) of CHK at 28.59 for a loss of $47.48
06/23/11 sold 152.54 shares ($11768.49) of CTXS at 77.15 for a gain of $501.86
06/23/11 sold 46.58 shares ($11912.27) of NFLX at 255.72 for a gain of $645.64
06/23/11 sold 159.41 shares ($11357.89) of BA at 71.25 for a gain of $12.75
Transaction Summary
Daily Gains : $1160.25
Daily Losses : $47.48
Running Gain/(Loss) : $14422.30
# Stocks held at end of day : 0

Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $114422.30
Total (Cash + Market): $114422.30

Net gain over the last 4 months was +14.4% (unfortunately SF does not take out commission costs - at $8.95 per trade the commission costs were $2183.80, so the actual gain was more like 12.2%).

There were 122 total stocks entered. Of those, 122 or 100.00% were complete and or 0.00% were open.
Of the 122 completed trades, 78 trades or 63.93% resulted in a net gain.
Your average net change for completed trades was: 1.12%.
The average draw down of your approach was: -2.76%.
The average max profit of your approach was: 2.82%
The Reward/Risk ratio for this approach is: 2.65
Annualized Return on Investment (ROI): 55.97%, the ROI of ^SPX was: -7.14%.


duke56468
683 posts
msg #101334
Ignore duke56468
6/23/2011 11:19:17 PM

Kevin ....Thanks for your work and especially this filter. The exit seems to be its strength. Are you trading this in real $ yet. Since I have been paper trading this I notice if I could buy the close of the trigger day instead of the open the next day I would have been better off, but not as easy to do. Also in my backtest from 12/31/2009 to 4/1/2011 a hold period of 10 days was more profitable than a hold of 20 days $27,703 vs. $26,200 and a hold of 5 days was even more profitable at $28,062

knightvictor
7 posts
msg #101344
Ignore knightvictor
6/24/2011 10:25:47 PM

Hi Kevin,
Great work on this filter!
In my paper trades I notice this system only works when you have a large equity to buy like $5,000 of shares per trade. If a person was buying less than $2,500 of shares per trade it seems like the profit wouldn't add up because the commissions offset a lot of the profit on small quantity trades.

Great work though Kevin!

:)

saico
55 posts
msg #101350
Ignore saico
modified
6/25/2011 10:24:01 AM

knightvictor,

at Interactive Brokers I pay around 80 Cents per 100 shares per side. Do the math and you will see it works even with 2000 USD trading size very nicely.

knightvictor
7 posts
msg #101352
Ignore knightvictor
modified
6/25/2011 7:49:11 PM

Hi Saico,
Thanks for the info.
After looking into Interactive Brokers it looks like there is a $10,000 account minimum to open an account plus a lot of other hidden fees that really add up.

I did some more research on other brokers and here is what I found.

OptionHouse = $3 trades with a $1000 account minimum + 100 free trades with FREE100 promo and $3000 deposit
J2Trade.com = $2.50 with 2,500 minimum
SogoTrade - $3 or $3 with 1/2% fee on principle for stocks under $1
TradeKing = $5 with no acc minimum
ChoiceTrade = $5 with no acc minimum
Zecco.com = $5 with no acc minimum but stocks less than $1 have a $7 commission.

Hope this helps.

-Dan

duke56468
683 posts
msg #101374
Ignore duke56468
6/27/2011 10:27:24 PM

Kevin or anyone..... This filter produces some stocks during the day that are not there at the end of the day. If a person entered these stocks right then with the same exit criteria, can you see any reason they should not play out the same as the stocks that show up at the end of the day?

Kevin_in_GA
4,538 posts
msg #101378
Ignore Kevin_in_GA
6/27/2011 10:55:06 PM

In theory, yes. However, the backtesting was all done with end-of-day data, so I can't actually confirm that this has been historically true.

duke56468
683 posts
msg #101379
Ignore duke56468
6/28/2011 9:55:41 AM

Thanks for the response Kevin... The same holds true for the exits,during the day some of the exits are hit, but are gone by the end of the day.

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