StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 8 9 10 11 12 ... 43 >>Post Follow-up
mahkoh
894 posts
msg #101512
Ignore mahkoh
7/8/2011 5:53:29 PM

Kevin, you did indeed make it clear in your opening post that adding the 200 MA improved results.
I do however believe that there may be possibilities for further enhancement at this point. Using a syntax like "x day slope of the close is above 0" may produce results that address the requirement of being in an uptrend while being below the 200 MA.
I use your filter together with weekly and monthly pivot point analysis and have found that a reversal appears both more likely and more powerful when the filter's results are close to these support levels.


Kevin_in_GA
4,553 posts
msg #101514
Ignore Kevin_in_GA
7/8/2011 5:58:31 PM

Sounds interesting. I posted this not as a static result but one that could be evolved to be better, and to stimulate discussion on how good filters should be designed.

If you have modified it to improve overall profit or win%, please post.

duncanhoo
14 posts
msg #101557
Ignore duncanhoo
7/11/2011 9:21:59 AM

Kevin - thanks for all your hard work. just reading your posts/reasoning etc. on back testing has taught me tons. Just read through this whole thread and wondering if anyone is trading this with real $?

duke56468
683 posts
msg #101558
Ignore duke56468
modified
7/11/2011 11:27:18 AM

duncanhoo.......
I started paper trading it June 27 using Garsworld which uses $8 transaction fees and 10K per trade, so far 9 trades 8 wins 1 open. Highest gain1.96% lowest .41%. I try to trade it also during the day, like today it showed WLP which is my only open trade. Not real money but seems promising. Little more testing and hope to go to real $.

Edit: in WLP @ 75.51 out 75.76 trailing stop. WLP did not show up at end of day.

johnp
17 posts
msg #101563
Ignore johnp
modified
7/11/2011 12:51:16 PM

I think designing a viable system has to with easily keeping track of coresponding account relative to its peak value,
and adjusting shares taking advantage of streaks and deciding the filter has had its day after certain percentage drawdown
For example see: http://drawdown.yolasite.com/



mahkoh
894 posts
msg #101565
Ignore mahkoh
7/11/2011 5:22:06 PM

Kevin, I draw weekly and monthly pivot lines on the charts and check visually. Wouldn't really know how to backtest that.

Kevin_in_GA
4,553 posts
msg #101568
Ignore Kevin_in_GA
7/11/2011 7:24:52 PM

You can use these in a filter (at least the daily and weekly) -

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 below -2
close above MA(200)

close below weekly PP
close above weekly S1
]



How are you evaluating potential stocks based on the PP? Obviously adding this to the current filter would give no hits since the base filter once again had no matches for today.

Kevin_in_GA
4,553 posts
msg #101569
Ignore Kevin_in_GA
7/11/2011 7:37:40 PM

SELL signal today for SJM for a gain of 1.3%.

duke56468
683 posts
msg #101570
Ignore duke56468
7/11/2011 8:08:14 PM

Has anyone figured out a stop-loss for this filter that doesn't hurt the backtest results?

Kevin_in_GA
4,553 posts
msg #101573
Ignore Kevin_in_GA
7/11/2011 9:15:39 PM

Well, it does have a maximum days held component that limits some drawdown.

I ran a stop loss optimization in SS, letting the stop loss run from 1% to 20% over the period tested in the first post. All were worse in overall profitability (the best being 772% gain versus the 905% gain without a stop loss) and all had lower Sharpe ratios.

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 8 9 10 11 12 ... 43 >>Post Follow-up

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