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 Name: RSI(2) - LONG
Test started on 12/30/2005 ended on 10/18/2006, covering 201 days
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.
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