StockFetcher Forums · Filter Exchange · Long filter for 4/30/2011 to 8/30/2011<< 1 2 3 >>Post Follow-up
duke56468
683 posts
msg #115064
Ignore duke56468
8/24/2013 9:02:45 PM

Does anyone care to share a long filter that is profitable for these dates?
The best one I have is from LEVAMIT, no stop, hold Min 1 day and Max 3 days, 1 trade per day, 5K/ trade.

Fetcher[Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
Lower Keltner Band(5)dropped more then 3 percent
Day Position(0.5,1)below day position 2 days ago
do not draw day position (-1.00,5)
do not draw day position
average Volume(4) > 120000
close > 1.20
IMI(4) below 9
]



does well for the last 2 years except for the current 4 months.

manumoneya
41 posts
msg #115066
Ignore manumoneya
8/26/2013 12:53:49 AM

Hi,

I am not expert ... lost almost all my money in one trade but still keep that stock.... hope it will increase in future... ( no other option
(:

i tries to improve your filter , i don't know if it works or not

what here is my contribution

******************************************************************************************************************



set{flag , INDPOSITION(cci(14), 60) * 100}
set{high3 , high 3 days high minus low 3 days low}
set{range3 , high3 / close}

Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
Lower Keltner Band(5)dropped more then 3 percent
Day Position(0.5,1) below day position 2 days ago
average Volume(5) > 200000
close > 1.20
IMI(4) below 9
flag is increasing for the last 2 days
range3 between 0.13 and 0.30
add column range3
do not draw day position (-1.00,5)
do not draw day position
do not draw range3
sort column 5 descending

duke56468
683 posts
msg #115068
Ignore duke56468
8/26/2013 8:53:30 AM

clickable

Fetcher[set{flag , INDPOSITION(cci(14), 60) * 100}
set{high3 , high 3 days high minus low 3 days low}
set{range3 , high3 / close}

Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
Lower Keltner Band(5)dropped more then 3 percent
Day Position(0.5,1) below day position 2 days ago
average Volume(5) > 200000
close > 1.20
IMI(4) below 9
flag is increasing for the last 2 days
range3 between 0.13 and 0.30
add column range3
do not draw day position (-1.00,5)
do not draw day position
do not draw range3
sort column 5 descending
]



duke56468
683 posts
msg #117365
Ignore duke56468
12/15/2013 2:04:13 PM

Still no input? Hard to find a profitable LONG filter during this time span.

Kevin_in_GA
4,553 posts
msg #117366
Ignore Kevin_in_GA
12/15/2013 2:35:36 PM

How about this?

Filter is still proprietary but is basically a daytrading strategy using only S&P 500 stocks. Note that the backtest period was 4/29/11 through 8/31/11 with a cumulative return of 28%.

SPX daytrading system performance 4-29/11 through 8/31/11 photo spxdaytradeduringroughpatch_zps010201bc.gif

duke56468
683 posts
msg #117371
Ignore duke56468
12/16/2013 8:51:29 AM

Kevin.. Impressive numbers, obviously not something backtested here at SF. I was looking for anyone that had a long (not daytrade) filter that ran positive backtest results here on SF during that time frame.
I'm sure there must be some that work with the proper entry and exit strategy.

Kevin_in_GA
4,553 posts
msg #117374
Ignore Kevin_in_GA
12/16/2013 10:10:29 AM

I don't even bother to backtest here at SF any more - their capabilities are too limited. I now do all of my system development and backtesting using Stratasearch.

This is a long only strategy that buys intraday but all trades are closed at the end of the days' trading session. Why hold for more than one day if you can get this type of performance intraday?

duke56468
683 posts
msg #117375
Ignore duke56468
12/16/2013 10:20:27 AM

For those that can't sit at the computer all day are the entry limit buy orders set before the open and sell EOD?

Kevin_in_GA
4,553 posts
msg #117376
Ignore Kevin_in_GA
12/16/2013 11:20:43 AM

No, because you are monitoring the entire S&P 500 for a specific intraday signals without knowing which stocks will trigger first. However, this is easily automated (buy and sell) so that it does it without human interference.

The trick is finding a reliable automated trading platform. This particular strategy could be coded in a single line of code for entry or exit on some platforms (e.g., StrategyDesk from TDAmeritrade), or in NinjaTrader with a little more work.

shillllihs
3,545 posts
msg #117462
Ignore shillllihs
12/20/2013 2:49:12 PM

How about a short that works anytime!!


Viewing: AA
Approach Information
Approach Name: AA
Test started on 2011-04-30 ended on 2011-08-30, covering 85 days
Filter used:
AA (saved filter))

Trade Statistics
There were 153 total stocks entered. Of those, 103 or 67.32% were complete and 50 or 32.68% were open.
Of the 103 completed trades, 103 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 21.14%.
The average draw down of your approach was: -543.93%.
The average max profit of your approach was: 25.19%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 422.23%, the ROI of ^SPX was: -31.45%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $7.95
Ending Account Value: $111,399.51. Cash: $87,548.13 Market value of holdings at end: $23,851.38 (paid: $20,058.63)
Realized gain/loss: $8,823.11 ($85.66 per trade.)
Total Commissions Paid: $2,035.20
Unrealized gain/loss: $-3,792.75.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 103 times or 100.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 103 59 55 52 46 28
Losers: 0 88 92 100 107 124
Win/Loss Ratio: 0.00:1 0.67:1 0.60:1 0.52:1 0.43:1 0.23:1
Net Change: 21.1 519.3 -5.2 400.5 -16.4 185.4

Statistics By Variable: Match Price
<3 <4 <5 <6 <7 <8 <9 <10 <11 <12 <13
Completed 26:0 15:0 19:0 18:0 9:0 7:0 9:0 - - - -
2 day chg 14:20 8:17 11:15 9:14 7:7 5:7 5:8 - - - -
5 day chg 12:24 11:14 8:19 8:12 5:8 5:8 6:7 - - - -
10 day chg 11:25 12:13 9:18 9:15 3:11 4:9 4:9 - - - -
25 day chg 14:22 6:20 7:20 7:17 3:11 5:8 4:9 - - - -
40 day chg 7:29 8:18 4:23 3:20 0:14 2:11 4:9 - - - -

Statistics By Variable: Average Volume
<0 <1000000 <2.0M <3.0M <4.0M <5.0M <6.0M <7.0M <8.0M <9.0M <10.0M
Completed 64:0 25:0 5:0 6:0 2:0 - - 1:0 - - -
2 day chg 36:54 10:26 3:5 8:1 1:1 - - 1:0 - 0:1 -
5 day chg 27:60 16:23 5:3 4:5 1:1 - - 1:0 - 1:0 -
10 day chg 31:59 14:25 4:5 2:8 0:2 - - 0:1 - 1:0 -
25 day chg 32:59 8:31 3:6 3:7 0:2 - - 0:1 - 0:1 -
40 day chg 18:72 4:35 3:6 2:8 1:1 - - 0:1 - 0:1 -


Viewing: AA
Approach Information
Approach Name: AA
Test started on 2013-01-31 ended on 2013-05-31, covering 83 days
Filter used:
AA (saved filter))

Trade Statistics
There were 79 total stocks entered. Of those, 57 or 72.15% were complete and 22 or 27.85% were open.
Of the 57 completed trades, 57 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 23.95%.
The average draw down of your approach was: -14.83%.
The average max profit of your approach was: 28.70%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 574.55%, the ROI of ^SPX was: 25.52%.

Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $7.95
Ending Account Value: $106,303.04. Cash: $96,319.44 Market value of holdings at end: $9,983.60 (paid: $8,516.71)
Realized gain/loss: $5,464.20 ($95.86 per trade.)
Total Commissions Paid: $1,081.20
Unrealized gain/loss: $-1,466.89.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 57 times or 100.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 57 23 24 17 9 10
Losers: 0 55 53 61 70 69
Win/Loss Ratio: 0.00:1 0.42:1 0.45:1 0.28:1 0.13:1 0.14:1
Net Change: 23.9 -8.2 -11.3 -15.8 -30.4 -34.7

Statistics By Variable: Match Price
<3 <4 <5 <6 <7 <8 <9 <10 <11 <12 <13
Completed 20:0 10:0 10:0 7:0 4:0 3:0 3:0 - - - -
2 day chg 8:22 5:8 6:10 2:5 1:4 1:3 0:3 - - - -
5 day chg 8:21 5:8 6:9 2:5 1:4 1:3 1:3 - - - -
10 day chg 6:24 3:10 5:10 2:5 0:5 0:4 1:3 - - - -
25 day chg 4:26 2:11 2:14 1:6 0:5 0:4 0:4 - - - -
40 day chg 4:26 2:11 3:13 1:6 0:5 0:4 0:4 - - - -

Statistics By Variable: Average Volume
<0 <5.0M <10.0M <15.0M <20.0M <25.0M <30.0M <35.0M <40.0M <45.0M <50.0M
Completed 53:0 2:0 - 1:0 - - - - 1:0 - -
2 day chg 21:52 2:1 - 0:1 - - - - 0:1 - -
5 day chg 23:49 1:2 - 0:1 - - - - 0:1 - -
10 day chg 17:57 0:2 - 0:1 - - - - 0:1 - -
25 day chg 9:65 0:3 - 0:1 - - - - 0:1 - -
40 day chg 10:64 0:3 - 0:1 - - - - 0:1 - -






StockFetcher Forums · Filter Exchange · Long filter for 4/30/2011 to 8/30/2011<< 1 2 3 >>Post Follow-up

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