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StockFetcher Forums · Filter Exchange · LONG FILTER - 1-2 day hold<< >>Post Follow-up
elroz
26 posts
msg #47572
Ignore elroz
10/21/2006 12:35:07 AM

I shared this with psheridan050's post a few weeks ago, and I believe it's a great filter for this market. So far the trades have been great, with an average gain of 3% YTD and a holding period of 1-2 days. As a day trader, I had the capital to put on many small (100-500 share) positions. The only downfall to this is that the SPY ROC(21) needs to be increasing 2 days in a row, so there have been days I was putting on 10+ positions. Regardless, here's how I did it.

BUY on the open every stock given. Allow 3.5% stop loss. Sell Profit stop of 10% or at the end of day 2 (T+1).

Good luck using this. Below is the filter and results YTD.

 
Approach Information
Approach Name: RSI(2) - LONG
Test started on 12/30/2005 ended on 10/18/2006, covering 201 days
Filter used:
set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}

Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40


And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
And not nasdaq






Trade Statistics
There were 95 total stocks entered. Of those, 95 or 100.00% were complete and or 0.00% were open.
Of the 95 completed trades, 63 trades or 66.32%resulted in a net gain.
Your average net change for completed trades was: 3.01%.
The average draw down of your approach was: -1.96%.
The average max profit of your approach was: 5.47%
The Reward/Risk ratio for this approach is: 4.33
Annualized Return on Investment (ROI): 344.45%, the ROI of ^SPX was: 10.93%.

Exit Statistics
Stop Loss was triggered 23 times or 24.21% of the time.
Stop Profit was triggered 16 times or 16.84% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (3 days) 56 times or 58.95% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Winners:636271696463
Losers:323324253132
Win/Loss Ratio:1.97:11.88:12.96:12.76:12.06:11.97:1
Net Change:3.01%0.80%3.01%3.23%2.24%2.49%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed13:514:1018:913:54:31:0----
1 day chg14:416:815:1212:64:31:0----
2 day chg15:315:920:715:35:21:0----
3 day chg13:517:620:714:44:31:0----
4 day chg12:615:920:712:64:31:0----
5 day chg12:616:820:712:62:51:0----

Statistics By Variable: Average Volume
 <10.0M<20.0M<30.0M<40.0M<50.0M<60.0M<70.0M<80.0M<90.0M<100.0M
Completed59:303:1---0:11:0---
1 day chg57:323:1---1:01:0---
2 day chg67:223:1---0:11:0---
3 day chg64:244:0---0:11:0---
4 day chg61:282:2---0:11:0---
5 day chg60:291:3---1:01:0---

Statistics By Variable: RSI(2) + +DI(14) - (-DI(14))
 <-40<-35<-30<-25<-20<-15<-10<-5<0<5
Completed1:01:28:514:613:711:85:38:12:0-
1 day chg1:02:110:315:512:810:96:24:52:0-
2 day chg1:02:111:218:213:711:86:27:22:0-
3 day chg1:02:17:615:515:513:66:28:02:0-
4 day chg1:02:17:612:813:713:66:28:12:0-
5 day chg1:02:18:511:912:815:45:37:22:0-



maxxam80
108 posts
msg #47576
Ignore maxxam80
10/21/2006 5:01:41 AM

nice filter

2 day hold looks best


__fetcheruser123
msg #47698
Ignore __fetcheruser123
10/27/2006 5:43:22 AM

Here it is over the last two years with a one day hold. I took off the "not NASDAQ" and added a positive 90 day linear regression slope.

Approach Information
Approach Name: Elroz, not his mom. :)
Test started on 10/26/2004 ended on 10/26/2006, covering 505 days
Filter used:
set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}

Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40
and lrs(90) > 0

And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb

Trade Statistics
There were 110 total stocks entered. Of those, 110 or 100.00% were complete and or 0.00% were open.
Of the 110 completed trades, 83 trades or 75.45%resulted in a net gain.
Your average net change for completed trades was: 1.98%.
The average draw down of your approach was: -1.71%.
The average max profit of your approach was: 2.83%
The Reward/Risk ratio for this approach is: 3.88
Annualized Return on Investment (ROI): 488.07%, the ROI of ^SPX was: 13.15%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 110 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed2 day chg5 day chg10 day chg25 day chg40 day chg
Winners:837768726266
Losers:263342384743
Win/Loss Ratio:3.19:12.33:11.62:11.90:11.32:11.53:1
Net Change:1.98%2.67%1.72%3.61%3.79%3.73%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed17:620:921:617:35:23:0----
2 day chg16:818:1119:817:34:33:0----
5 day chg13:1120:920:711:92:52:1----
10 day chg13:1116:1322:516:43:42:1----
25 day chg10:1312:1718:913:77:02:1----
40 day chg10:1314:1520:714:66:12:1----

Statistics By Variable: Average Volume
 <1.5M<3.0M<4.5M<6.0M<7.5M<9.0M<10.5M<12.0M<13.5M<15.0M
Completed43:1219:1011:31:04:00:14:01:0--
2 day chg40:1618:1110:41:04:00:13:11:0--
5 day chg38:1815:147:71:03:11:02:21:0--
10 day chg36:2019:1010:41:03:10:12:21:0--
25 day chg36:1917:125:91:01:30:11:31:0--
40 day chg34:2116:139:51:03:10:12:21:0--



SFMc01
296 posts
msg #51492
Ignore SFMc01
5/9/2007 2:50:48 PM

Help! I wanted to test this but couldn't. I just cut and paste it into a new filter and tried it and never got any stocks. What am I doing wrong?

slotmarket
59 posts
msg #51559
Ignore slotmarket
5/12/2007 9:59:13 PM

This filter doesn't produce enough trading opportunities. If you get a trade once a week, what are you going to do on all those days while you're waiting?
I might add it to my arsenal because the win% and ROI are very impressive.
Thanks for sharing the code.

StockFetcher Forums · Filter Exchange · LONG FILTER - 1-2 day hold<< >>Post Follow-up

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