StockFetcher Forums · Filter Exchange · Help requested for shorting filter<< 1 2 3 4 >>Post Follow-up
eagleoptions
6 posts
msg #32676
Ignore eagleoptions
7/25/2004 4:24:35 PM

I am trying to perfect a filter for stocks that are near upper bollinger band (with wide bands) and about ready to decrease in price dramatically. The best filter I have come up with so far is with close is more than 1% less than previous day close. Some stocks that came up recently were BMET, KMRT, OSIP,
and SYK, which moved down significantly since I ran the filter. However, I
would like assistance from anyone that can suggest other filters to help
confirm the signal of price more than 1% less than previous day close.




robdavis
69 posts
msg #32683
Ignore robdavis
7/25/2004 11:46:38 PM

Try all or part of the following filter (that I've been using for shorting):

Show stocks where close is between ___ and ___ and close has been increasing over the last 3 days and high is above upper bollinger band(20) and count(close below open, 3) is below 2.1 and average volume(90) is above ______ and set {x, count(volume above volume 1 day ago, 1) * 2} and set {y, count(volume above average volume(90), 3)} and set {z, x + y} and z is below 1.1


dmindy
42 posts
msg #32686
Ignore dmindy
7/26/2004 2:21:38 PM

Hey, nice looking filter!

As someone who doesn't use "count" all that often though I was wondering if you could walk me through the
"set {x, count(volume above volume 1 day ago, 1) * 2} and set {y, count(volume above average volume(90), 3)} and set {z, x + y} and z is below 1.1"
part.

What are you measuring in each (i.e. why the *2?) and why did you choose 1.1 as your threshold?


cegis
235 posts
msg #32689
Ignore cegis
7/27/2004 9:24:34 AM

dmindy,

Here's my interpretation of the filter:

The set{} for "x" is testing for a volume increase. If the volume today is greater that of yesterday, "x" will be 2 (zero otherwise).

The set{} for "y" is looking for how many times over the past 3 days the volume was over the 90 day average volume.

By adding these together, then testing for "below 1.1", the filter is making sure (a) volume didn't increase today, and (b) the volume was over the 90 day average only once. 1.1 is used because "x" and "y" will be integers, so 1.1 will be between 1 and 2 - a clear cutoff.

It might have been clearer if the phrase "and volume is less than volume 1 day ago" was used in the "main" part of the filter instead of using "x". (Although, this would exclude those stocks with equal volume over the two days. In reality, though, I doubt that happens too many times [except on VERY thinly traded stocks].)

HTH,

C


robdavis
69 posts
msg #32690
Ignore robdavis
7/27/2004 12:54:04 PM

Here's a detailed description of the idea: I look for stocks that have...

A) Steadily advanced in the 3 most recent days (and I don't care what happened before that),

B) Hit the UBB today (and I don't care what happened before today),

C) Of the 3 most recent days, not more than 2 closes have been below their respective opens (and I don't care what happened before those 3 days),

D) I want a volume that has been relatively low in the 3 most recent days. Arbitrarily I test the volume from two angles. And, also arbitrarily, I give 'point values' to both of these tests.

Test 1: Was today's volume greater than that of yesterday? For shorting purposes (near the UBB) I consider this is bad. I give this a point value of (x =) 0, or 2.

Test 2: Was volume on any of the 3 most recent days greater than the stock's 90-day average volume? For shorting purposes (near the UBB) I consider this is also bad! I give this test a point value of (y =) 0, 1, 2, or 3.

As you can see already, the sum of these the point values, (i.e. z = x + y =) can range from 0 to 5. Arbitrarily I establish a cutoff value at 1.1. This 1.1 says in effect, "I want to see a history of weak volume, so let's permit values of 0 or 1 only, but not values of 2, 3, 4, or 5 (on a 5-scale)".

I hope this helps.

Did you get my explanation ?
Did you get all of it?

This reminds me to a few questions for you...

Give us your 2 cent's worth, will you?
What do you think?

A) (As to closes), should we care what happened before the last 3 days?

B) (As to BB), should we care what happened before today?

C) (As to closes vs. opens in the 3 most recent days), should we care at all?

D) (As to volume, and detecting weak volume), is there a better way to test volume?

E) When testing today's volume against yesterday's yesterday, I give this a point value of (x =) 0 or 2. This is arbitrary. Is there a better way?

F) When testing any of the last 3 days volume against the stock's 90-day average volume, I give this a point value of (y =) 0, 1, 2, or 3. Is there a better way? What do you suggest?

G) This z (i.e. sum of x + y) is cut off at 1.1 (on a scale of 1 to 5). Is there a better arbitrary number? What do you suggest?

H) Using this shorting filter, have you done any back testing?

Give us your 2 cent's worth, will you?
What do you think?





dmindy
42 posts
msg #32692
Ignore dmindy
7/27/2004 4:08:56 PM

Thanks guys that helped.
That's what I figured was going on but wasn't quite sure why some values were assigned to what.

Makes sense now.
I like this filter! :)

I'll give some thought to your last post as well.


cegis
235 posts
msg #32698
Ignore cegis
7/28/2004 3:15:05 PM

Rob,

From the way I read your description, it does not appear that you are aware that with the combination of how "x" is set, and the test for "z", will eliminate stocks whose volume today is greater than yesterday's. Your questions (D) and (G), by stating the values are "arbitrary", lead me to that conclusion.

Was this your intention?

Basically, by using the "* 2" in the calculation of "x", you are saying that increasing volume is "twice as bad" as volume over the 90 day average. By checking that "z" is less than 1.1, you're saying that increasing volume is so bad, it knocks a stock out of consideration. If these values are indeed "arbitrary", then perhaps you may want to check for z < 2.1. By doing so, an up-volume day will not exclude a stock, unless one of the prior three days ALSO had volume over the 90 day average.

HTH,

C


eagleoptions
6 posts
msg #32702
Ignore eagleoptions
7/29/2004 12:15:49 AM

Thanks for all the input. Excellent recommendations!


TheRumpledOne
6,359 posts
msg #32724
Ignore TheRumpledOne
7/30/2004 4:24:18 PM

Short this!

Fetcher[rsi(2) ABOVE 99]



Season with your own price/volume criteria.

MAY ALL YOUR FILLS BE COMPLETE!




robdavis
69 posts
msg #32731
Ignore robdavis
8/1/2004 4:52:41 PM

HTH,

Thank you for your input.

Yes, the test for "z" will eliminate stocks whose volume today is greater than yesterday's. Yes, this was my intention. The lower the volume (as compared to the same, individual stock's average volume), the better the filter is going to be.

Yes, it is true, by using the "* 2" in the calculation of "x", I'm saying that increasing volume is "twice as bad" as volume over the 90 day average. Yes, it is true that by checking that "z" is less than 1.1, I'm saying that increasing volume is so bad, it should knock many stocks out of consideration.

Yes, these values are indeed "arbitrary".

I've just checked this filter for z < 2.1 (as opposed to 1.1). Yes, it's true, in this case, an up-volume day would not exclude a stock, unless one of the prior three days ALSO had volume over the 90 day average.

I've also experimented with a z < 0.9 test (to replace this z < 1.1 test). Yes, I'm aware this 0.9 value would eliminate a great many additional stocks, but, hey, do we want quantity or quality?

BTW, this number 0.9 is just another arbitrary number. It's also very flexible; you can (and should be able to) use any number in this test, from 0.01 to 1.00.

The idea is, the lower the volume (as compared to the same, individual stock's average volume), the better the filter.

HTH, I thank you for your input; your post stimulated me to experiment with 'z' values from 2.1 to 0.0.

I hope this helps.

Rob


StockFetcher Forums · Filter Exchange · Help requested for shorting filter<< 1 2 3 4 >>Post Follow-up

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