StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 2 3 4 5 ... 22 >>Post Follow-up
pirate67
99 posts
msg #94428
Ignore pirate67
6/29/2010 4:33:08 PM

It seems like you are working in what I was referring to in my post in your other thread: trying to get a higher return through the use of other indicators. I have been working on this for awhile and have had some success with these lines added to the Connor long filters:

Show stocks where the Double Stochastic(10,3) is below 10 one day ago
Double Stochastic(10,3) above Double Stochastic(10,3) one day ago
slope of ema(30) above 0

There are many "Connor picks" that will end up profitable without the double stochastic(10,3) rising from below the 10 level, however I am focusing only on the ones that end up meeting this selection criteria along with Connor's.

My exit point to let profits run has been when the double stochastic(10,3) reaches above 75 and then goes down from its peak. (the short criteria).

I have not formally tested this, but I have traded it successfully.

Interested in anyone's feedback/improvement.

Kevin_in_GA
4,553 posts
msg #94434
Ignore Kevin_in_GA
6/29/2010 10:48:28 PM

The RSI(2) filter gave only long trades for today not a surprise given the market action today. Since I want dollar neutrality, I looked at some of the other Connors filters, as well as a few based on price movement relative to its Bollinger Bands.


Long trades to enter for tomorrow:

SHW (Sherwin-Williams Co) - RSI(2) at 0.43 and it closed right on its lower BB(20,2). Shows up on 5/6 Connors long trade filters.

PNRA (Panera Bread Co.) RSI(2) at 0.67, closed below its lower BB(20,2). Shows up on 6/6 of the Connors long trade filters as well.

RCI (Rogers Communications) - RSI(2) at 0.07, closed well below its lower BB(20,2). Shows up on 5/6 of the Connors long trade filters as well.



Short trades to enter for tomorrow:

GAME (Shanda Games) RSI(2) at 96.13, and closed at 89% of its upper BB(20,2). However, it shows up on 4/6 Connors short trade filters.

ATHN (Athenahealth, Inc) RSI(2) is at 93.2, and it closed at 97% of its upper BB(20,2). Also shows up on 2/6 Connors short trade filters.

GU (Gushan Environmental Energy) RSI(2) is only at 74.1, but it closed 10% above its upper BB(20,2) and closed above its upper BB(16,2.5) yesterday (a strong sign for a reversal).


Kevin_in_GA
4,553 posts
msg #94454
Ignore Kevin_in_GA
6/30/2010 9:25:01 PM

6/30/2010 update:

Long trades:

SHW (Sherwin-Williams Co) - bought 95 shares at 70.06 ($6605.70). Closed today at 69.19 (down 1.24% for a loss of $82.65)

PNRA (Panera Bread Co.) bought 88 shares at 75.23 ($6620.64). Closed today at 75.28 (up 0.08% for a gain of $5.28)

RCI (Rogers Communications) - bought 201 shares at 33.15 ($6663.15). Closed today at 32.76 (down 1.18% for a loss of $78.39)


Short trades:

GAME (Shanda Games) shorted 1128 shares at 5.91 ($6666.48). Closed today at 5.81 (up 1.69% for a gain of $112.80)

ATHN (Athenahealth, Inc) shorted 260 shares at 25.64 ($6666.40). Closed today at 5.81 (up 1.69% for a gain of $112.80)

GU (Gushan Environmental Energy) shorted 6667 shares at 1.00 ($6667.00). Closed today at 0.97 (up 3.00 % for a gain of $200.01)

Total invested = $39889.37 (keeping profits from all previous trades ($787) in cash for this paper trading exercise). My goal is to only invest a maximum of $40,000 at any time.

Net gain on the day of +0.07% or up $29.65.

Staying in all trades for now - there are no better short or long plays to take, looking at the Connors filters as well as some of the Z-score and BB filters I use. No reason to change anything right now, since no exit signals were triggered on any of these trades.



Kevin_in_GA
4,553 posts
msg #94484
Ignore Kevin_in_GA
modified
7/1/2010 8:06:22 PM

7/1/2010 update:

Long trades:

SHW (Sherwin-Williams Co) - bought 95 shares at 70.06 ($6605.70). Closed today at 69.94 (down 0.17% for a loss of $11.40)

PNRA (Panera Bread Co.) bought 88 shares at 75.23 ($6620.64). Closed today at 76.07 (up 1.12% for a gain of $73.92)

RCI (Rogers Communications) - bought 201 shares at 33.15 ($6663.15). Closed today at 32.72 (down 1.30% for a loss of $86.43)


Short trades:

GAME (Shanda Games) shorted 1128 shares at 5.91 ($6666.48). Closed today at 5.71 (up 3.38% for a gain of $225.60)

ATHN (Athenahealth, Inc) shorted 260 shares at 25.64 ($6666.40). Closed today at 24.83 (up 3.16% for a gain of $210.60)

GU (Gushan Environmental Energy) shorted 6667 shares at 1.00 ($6667.00). Closed today at 0.85 (up 15.00 % for a gain of $1000.05). Crossed below its MA(10), which automatically triggers a SELL. Sold at today's close - no reason not to take a 15% gain when it is on the table.

A net gain for today of +3.45% or $1,382.69.

I need to replace GU with another short trade, as all of the remaining trades did not give any SELL signals - either by crossing their MA(10) or their MA(200).

No short trades returned from the RSI(2) filter for today. Looking at the Connors short trade filters, one good candidate stands out - BWEN - Broadwind Energy (although for some reason SF is calling this Blackfoot Enterprises - not sure why). It scored a 4/6 on the Connors composite short filter, and closed at 4% above its upper Bollinger band (20,2). I will buy this one at the open tomorrow morning to replace GU. All other trades still in play.

Net gain so far this week of $2,083.97, or slightly over 5%.

Kevin_in_GA
4,553 posts
msg #94499
Ignore Kevin_in_GA
modified
7/2/2010 10:13:43 AM

in BWEN at the open - shorting 2323 shares at 2.87 ($6667.01). This does not maintain absolute dollar neutrality, (which would be to use the current difference between the 3 longs minus the two shorts) but is good enough for government work.


NOTE: 3:20 PM - based on current prices, looks like I will exit ATHN at the close today, as it has crossed below its MA(10). Currently at 23.91, and MA(10) is at 24.22. If it stays at this price, net gain will be 6.75% in three days.

Kevin_in_GA
4,553 posts
msg #94525
Ignore Kevin_in_GA
modified
7/3/2010 12:15:19 PM

Long trades:

SHW (Sherwin-Williams Co) - bought 95 shares on 6/30 at 70.06 ($6605.70). Closed today at 69.43 (down 0.9% for a loss of $59.85)

PNRA (Panera Bread Co.) bought 88 shareson 6/30 at 75.23 ($6620.64). Closed today at 76.09 (up 1.14% for a gain of $75.68)

RCI (Rogers Communications) - bought 201 shares on 6/30 at 33.15 ($6663.15). Closed today at 32.59 (down 1.69% for a loss of $112.56)


Short trades:

GAME (Shanda Games) shorted 1128 shares on 6/30 at 5.91 ($6666.48). Closed today at 5.74 (up 2.88% for a gain of $191.76)

ATHN (Athenahealth, Inc) shorted 260 shares on 6/30 at 25.64 ($6666.40). CLOSED OUT THIS TRADE at 23.91 (up 6.75% for a gain of $449.80).

BWEN (Broadwind Energy) shorted 2323 shares on 7/2 at 2.87 ($6667.01). Closed today at 2.79 (up 2.79% for a gain of $185.84).

A net gain for today of +1.83% or $318.38.

I need to replace ATHN with another short trade, as all of the remaining trades did not give any SELL signals - either by crossing their MA(10) or their MA(200).

Net gain for this week of $2,402.35 or 6.0%.


Kevin_in_GA
4,553 posts
msg #94568
Ignore Kevin_in_GA
modified
7/5/2010 9:33:35 PM

Several interesting long and short plays going into this week:

Long Plays

KEY - scored 6/6 on the Connors filters, closed below the lower BB(20,2), gave a confirmation BUY on the BB(16,2.5) - close below the lower band on Thursday, then closed back inside the bands on Friday - and has moved more than 2 SD from its usual relationship with the SPY.

SLE - scored 6/6 on the Connors filters, closed below the lower BB(20,2), gave a confirmation BUY on the BB(16,2.5).

OC - scored 6/6 on the Connors filters, closed below the lower BB(20,2), and has an RSI(2) below 1.

MSPD - scored 6/6 on the Connors filters, closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY.

What concerns me here is the continued downward pressure on all of the markets right now - it is turning into a "short any rally" mindset that will suffocate anyone with a long-only strategy.

Short Plays

For the short plays, they are relatively few and far between right now, as the requirement is a series of up days and high RSI(2) scores. Nonetheless, there are several that have both closed above their Bollinger bands, or are now being more than 2 SD above their usual relationship with the SPY.

AVNR - Closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.

BJ - Closed above the upper BB(20,2), gave a confirmation SELL on the BB(16,2.5) - close above the upper band on Thursday, then closed back inside the bands on Friday - and has moved more than 2 SD above its usual relationship with the SPY.

ARNA - Closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.

ESV - scored 2/6 on the Connors filters, and has moved more than 2 SD above its usual relationship with the SPY.

Since I need to replace ATHN with another short trade, I have to choose one of the 4 short candidates listed here - I like the signals for all of them, but I particularly like the look of BJ in that it hit on 3 key signals that I think generate trades with a high probability of success.

Exits are either a close above/below the MA(10) or the MA(200) - or if a good profit presents itself.

richo
74 posts
msg #94569
Ignore richo
7/6/2010 6:24:28 AM

Kevin,

The markets are due for a "short term bounce" from deeply oversold conditions but I agree with the bigger picture downtrend. Are you still paper trading?


Rich

Kevin_in_GA
4,553 posts
msg #94570
Ignore Kevin_in_GA
7/6/2010 8:52:48 AM

Yes. I currently trade out of my 401k, which does not let me short individual stocks or trade options.

This approach is one that I want to use at some point, and so I am paper trading to get my personal mechanics for it down. Happy to let others watch me succeed or fail, which is why I post each trade, along with a rationale for entry and clearly defined exit criteria (although I reserve the right to take profit off the table at any time).

misfithab
6 posts
msg #94571
Ignore misfithab
7/6/2010 8:57:22 AM

FYI I spent half the weekend trying to play with the exit points....RSI (2) 60, MA (8), etc....lots of time spent but so far nothing that consistently beats what you've laid out...

Great work. This one is very interesting...

StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 2 3 4 5 ... 22 >>Post Follow-up

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