StockFetcher Forums · Filter Exchange · KEVIN'S "MONDAY MORNING FILL THE GAP" FILTER<< 1 ... 2 3 4 5 6 >>Post Follow-up
Kevin_in_GA
4,537 posts
msg #104435
Ignore Kevin_in_GA
1/16/2012 6:07:21 PM

Correct. The above stats entered trades based on the higher percent gap fills being selected first. However, In any given week there are usually only a few that make the cut on Monday anyway.



sohailmithani
192 posts
msg #104443
Ignore sohailmithani
1/17/2012 10:01:34 AM

so when ran this one today a bunch came. I selected only those above 0.9 but none opened below Friday close.
Am I correct? Also what info does profit1 and profit2 provide and when to consider them?
Thanks

novacane32000
273 posts
msg #104444
Ignore novacane32000
1/17/2012 10:08:44 AM

Kevin
Cant thank you enough for these great filters .Wish I had half your talent for thinking these through.

-I know you mentioned that this filter cannot be backtested on SF but is it possible to add a column that will give the price at the close on Friday or rather the price gain from Monday through Friday ?

Something like % gain last 5 days.

mahkoh
888 posts
msg #104445
Ignore mahkoh
1/17/2012 10:47:56 AM

This week on the long list NKTR. Gapped down 4.32 %, opened at 6.43. Currently at 6.40

Kevin_in_GA
4,537 posts
msg #104448
Ignore Kevin_in_GA
1/17/2012 11:04:26 AM

Actually this new version can be backtested here, since it uses the weekly open rather than the Monday low.

I'll be tracking this system going forward on www.statisticalinvesting.com. Candidates will be posted each weekend for the following Monday.

I'll update it here for a while as well, but all anyone really needs to do is run the filter and you've got the info you need.

Here is a backtest on this approach using SF - I'll compare the trades to the Stratasearch backtest to make sure they are set up equivalently.

Approach Name: Monday gap down

Test started on 09/13/2011 ended on 01/13/2012, covering 85 days
Filter used:
/*KEVIN'S TRADE THE WEEKLY OPEN GAP DOWN STRATEGY*/

/*FIRST, SET KEY VARIABLES - LAST WEEK'S CLOSE AND THIS WEEK'S OPEN*/
set{horizontal1, weekly close 1 week ago}
set{horizontal, horizontal1*0.98}
set{trigger, close *0.98}
set{open1, weekly open}

/*SECOND, DETERMINE IF A GAP DOWN OCCURS, AND IF IT WAS THEN FILLED*/
set{gapdown, count(open1 below horizontal,1)}
set{stats, count(weekly high above horizontal1, 1)}
set{gapfill, gapdown * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS DOWN THAT WERE FILLED OVER THE LAST 100 WEEKS*/
set{gapdown80, count(gapdown above 0.5,80)}
set{gapfill80, count(gapfill above 0.5,80)}
set{pct_gapfill, gapfill80 / gapdown80}


/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column gapdown80 {Gaps down}
add column gapfill80 {gaps filled}
add column pct_gapfill {% of gaps filled}
add column trigger {limit entry}

sort on column 7 descending

/*SET A MINIMUM FREQUENCY FOR GAPS DOWN*/
gapdown80 above 5

/*STANDARD LIQUIDITY REQUIREMENTS*/
Market is Russell 2000
close above 2
average volume(30) above 100000
weekly open below horizontal

chart-display is weekly
draw gapfill
draw gapdown




Trade Statistics
There were 11 total stocks entered. Of those, 11 or 100.00% were complete and or 0.00% were open.
Of the 11 completed trades, 9 trades or 81.82% resulted in a net gain.
Your average net change for completed trades was: 3.36%.
The average draw down of your approach was: -3.65%.
The average max profit of your approach was: 4.85%
The Reward/Risk ratio for this approach is: 15.42
Annualized Return on Investment (ROI): 829.02%, the ROI of ^SPX was: 31.62%.

Kevin_in_GA
4,537 posts
msg #104450
Ignore Kevin_in_GA
1/17/2012 11:44:26 AM

looks to me that NWY also qualified - previous close was 2.67, todays open was 2.60. Currently trading at 2.57 so it can be gotten at a better price after triggering the BUY signal.

Kevin

mahkoh
888 posts
msg #104451
Ignore mahkoh
1/17/2012 12:05:11 PM

NWY had gapfill statistics of 0.62. I thought you only considered above 0.69?

Kevin_in_GA
4,537 posts
msg #104453
Ignore Kevin_in_GA
1/17/2012 12:33:02 PM

look back to last friday's close - the stats were 0.71. This is why one needs to run the screener each weekend.

sohailmithani
192 posts
msg #104456
Ignore sohailmithani
1/17/2012 1:58:58 PM

Ok. To ensure I understood what to do and importantly when here is my summary:

1) Ran Kevin's filter today morning:
2) Picked those which had a % of gaps filled over 0.65
3) Got ELGX, RUE, SNBC, RYL, and NKTR
4) Set limit price for each with my broker
5) All of them triggered

Kevin please double check the filter below I am using (the latest on page 4 of this thread) .
I did not make any change in your filter. Thanks

/*KEVIN'S TRADE THE WEEKLY OPEN GAP DOWN STRATEGY*/

/*FIRST, SET KEY VARIABLES - LAST WEEK'S CLOSE AND THIS WEEK'S OPEN*/
set{horizontal1, weekly close 1 week ago}
set{horizontal, horizontal1*0.98}
set{trigger, close *0.98}
set{open1, weekly open}

/*SECOND, DETERMINE IF A GAP DOWN OCCURS, AND IF IT WAS THEN FILLED*/
set{gapdown, count(open1 below horizontal,1)}
set{stats, count(weekly high above horizontal1, 1)}
set{gapfill, gapdown * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS DOWN THAT WERE FILLED OVER THE LAST 100 WEEKS*/
set{gapdown80, count(gapdown above 0.5,80)}
set{gapfill80, count(gapfill above 0.5,80)}
set{pct_gapfill, gapfill80 / gapdown80}


/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column gapdown80 {Gaps down}
add column gapfill80 {gaps filled}
add column pct_gapfill {% of gaps filled}
add column trigger {limit entry}

sort on column 7 descending

/*SET A MINIMUM FREQUENCY FOR GAPS DOWN*/
gapdown80 above 5

/*STANDARD LIQUIDITY REQUIREMENTS*/
Market is Russell 2000
close above 2
average volume(30) above 100000
weekly open below horizontal

chart-display is weekly
draw gapfill


Kevin_in_GA
4,537 posts
msg #104457
Ignore Kevin_in_GA
modified
1/17/2012 2:16:44 PM

NWY Monday high already hit the profit stop (set at last Friday's close of 2.67) which would close this out at a 2.7% gain.

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