StockFetcher Forums · Filter Exchange · Intraday Mean reversion of Strong stock.<< 1 2 3 >>Post Follow-up
Billirider321
62 posts
msg #105129
Ignore Billirider321
2/24/2012 9:23:25 AM

This is probably the best filter modification I have done. I am still trying to see how to improve this for intraday play.

here is the filter

Fetcher[/*S&P500 */
and slope of ( relative strength(^spx,21) ) is above 0
/*slope of ( relative strength(^SPX,41) )above 1
relative strength(^SPX,66) above 1
*/
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,21)
set{ Opendiff , open - atr(30)*.9}
set{ one_half_avgvolume_21days , average volume(21) * 2}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, close - S2 one day ago }
Set{ profitAtr, close - Opendiff }
set{ profitatrpercentage1, profitatr / close}
set{ profitatrpercentage, profitatrpercentage1 * 100}
open above close 1 day ago
and add column pp 1 day ago
and add column open
and add column close 1 day ago {prev close}
and add column SuppdiffBy2 */
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and add column profitatrpercentage
and low is below OPendiff
and add column sector
and add column industry
rsi(2) 1 day ago <90
and chart-length is 12 months
and close > 5
and volume(90) > 500000
and volume is below one_half_avgvolume_21days
draw RSI(2)
draw opendiff
draw profitatrpercentage
]




We can probably combine with percent filter and improve it further.

Billirider321
62 posts
msg #105155
Ignore Billirider321
modified
2/27/2012 2:28:26 PM

Made some more revision and have come up with this filter. Had put in some slope requirement and strength requirement.
I have opened the filter so its not just limitted to sp500.

Here is the filter

Fetcher[/*S&P500 */
and 4 day slope of ( relative strength(^spx,21) ) is above 0
and 4 day slope of relative strength(^SPX,66) above 0
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,21)
and stock is not etf
set{ Atr30_Mult , average true range(30)*1.0}
set{ opendiff , open - Atr30_Mult}
set{ one_half_avgvolume_21days , average volume(21) * 2}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, close - S2 one day ago }
Set{ profitAtr, close - Opendiff }
set{ profitatrpercentage1, profitatr / close}
set{ profitatrpercentage, profitatrpercentage1 * 100}
open above close 1 day ago
and add column pp 1 day ago
and add column open
and add column close 1 day ago {prev close}
and add column SuppdiffBy2 */
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and add column profitatrpercentage
and low is below OPendiff
and add column sector
and add column industry
rsi(2) 1 day ago < 90
and chart-length is 12 months
and close > 5
and average volume(90) 1 day ago is above 500000
/*and volume is below one_half_avgvolume_21days*/
draw RSI(2)
draw opendiff
draw profitatrpercentage
]




Now to trade this we will have to have a system which can scan in real time and send orders. Or use basket trader. Only issue is we don't know where the stock opens and one of the criterio is make sure stock doesn't open down from prev close.



Billirider321
62 posts
msg #105165
Ignore Billirider321
2/27/2012 11:42:47 PM

Today had a large winner.

I need to find out a way to put basket order with multiple orders set at limit price I atr below open. May be stockfinder can be helpful.

What bothers me is to find a way to eliminate news and earnings driven stock.

Billirider321
62 posts
msg #105200
Ignore Billirider321
modified
3/1/2012 9:11:39 AM

I am using this filter to narrow down how many potential candidate we have. In todays filter we have around 111 candidate
So if any of them goes below 1 atr we buy and close it at end of day. Not sure how we automate it.
May be enter 3 basket order with OCA rule.
So still question remains how i make sure that it does not pick up stock which opens below yesterday's close in other word
any stock moving down on earning news should not be picked up.

Fetcher[/*S&P500 */
and 4 day slope of ( relative strength(^spx,21) ) is above 0
and 4 day slope of relative strength(^SPX,66) above 0
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,21)
and stock is not etf
set{ Atr30_Mult , average true range(30)*1.0}
set{ opendiff , open - Atr30_Mult}
set{ one_half_avgvolume_21days , average volume(21) * 2}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, close - S2 one day ago }
Set{ profitAtr, close - Opendiff }
set{ profitatrpercentage1, profitatr / close}
set{ profitatrpercentage, profitatrpercentage1 * 100}
/* open above close 1 day ago*/

and add column pp 1 day ago
and add column open
and add column close 1 day ago {prev close}
and add column SuppdiffBy2 */
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and add column profitatrpercentage
/*and low is below OPendiff */
and add column sector
and add column industry
rsi(2) 1 day ago < 90
and chart-length is 12 months
and close > 5
and average volume(90) 1 day ago is above 500000
/*and volume is below one_half_avgvolume_21days
*/
draw RSI(2)
draw opendiff
draw profitatrpercentage
]



Billirider321
62 posts
msg #105244
Ignore Billirider321
3/4/2012 2:32:17 AM

I found an error , modified it look for slope a day earlier

Fetcher[/*S&P500*/
and 4 day slope of ( relative strength(^spx,21) ) 1 day ago is above 0
and 4 day slope of relative strength(^spx,66) 1 day ago is above 0
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,21)
and stock is not etf
set{ Atr30_Mult , average true range(30)*1.0}
set{ opendiff , open - Atr30_Mult}
set{ one_half_avgvolume_21days , average volume(21) * 2}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, close - S2 one day ago }
Set{ profitAtr, close - Opendiff }
set{ profitatrpercentage1, profitatr / close}
set{ profitatrpercentage, profitatrpercentage1 * 100}
open above close 1 day ago
and add column pp 1 day ago
and add column open
and add column close 1 day ago {prev close}
and add column SuppdiffBy2
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and add column profitatrpercentage
and low is below OPendiff
and add column sector
and add column industry
rsi(2) 1 day ago < 90
and chart-length is 12 months
and close > 5
and average volume(90) 1 day ago is above 500000
/*and volume is below one_half_avgvolume_21days
*/
draw RSI(2)
draw opendiff
draw profitatrpercentage

]



Billirider321
62 posts
msg #105245
Ignore Billirider321
3/4/2012 2:34:32 AM

How do we test this filter is my question. Its an intraday filter

StockFetcher Forums · Filter Exchange · Intraday Mean reversion of Strong stock.<< 1 2 3 >>Post Follow-up

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