StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 9 10 11 12 13 ... 22 >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #94993
Ignore Kevin_in_GA
7/22/2010 6:36:25 PM

Well, just put in the limit orders, and at the end of the day see which ones filled. Then place your stop loss and profit targets.

Truth is, paper trading this is easy - getting real short trades entered at specific prices is likely to be much more challenging.

duke56468
683 posts
msg #94997
Ignore duke56468
7/22/2010 7:58:57 PM

Currently only 3 short plays and no long plays.
+++++++
Just checking, isn't GSIC still in play?

Kevin_in_GA
4,548 posts
msg #94998
Ignore Kevin_in_GA
7/22/2010 8:32:10 PM

I decided to cash it out at 26.30 around 2:50 PM. It kept bumping up against this level as the day high, and it had made some coin already.

I posted this a few posts back when i made the trade. Technically I could wait it out, but my guess is that tomorrow will be more negative then positive - which is why I am leaving the 3 shorts on the table right now.

My rules include the right (but not necessarily the obligation) to take a profit when it is presented.

duke56468
683 posts
msg #95002
Ignore duke56468
7/22/2010 10:45:59 PM

My rules include the right (but not necessarily the obligation) to take a profit when it is presented.
++++++
Good rule!

saratur
14 posts
msg #95010
Ignore saratur
7/23/2010 3:14:01 AM

Kevin - I am new here. It is great to see your thread. Thanks for your detailed sharing. Some time ago I thought of testing the same general approach (trading a long/short basket of stocks based on mean reversion Connors type filters) - but never got myself to start the effort. Your thread is an excellent motivator.

Some reasons I hesitated: Mean reversion trading typically does better with very wide stops; also there are periods in the market when such strategies do not work well. Getting caught in such a period with wide stops could lead to high drawdowns, contradictory to my goal of low volatility (or better yet, low downward deviation) system. The portfolio approach will reduce volatility if the trades are not very correlated - but I do not have a feel to what extent they would be. Long/Short should reduce risk - but I do not know to what extent one could always find (and get filled) sufficient trades on both sides.

Your test shows excellent results so far. It is especially encouraging to see it is working with tighter stops.
At the same time - this is an unusually volatile period. Some trades could have worked just on account of the overall market movement. I would like to try and find out how such system could behave in a trending market, on both the long and short sides.

So far I figured out only the basics of Stockfetcher. This leads to a question:
Does StockFetcher has any means to backtest with stops and targets set individually for each stock?
Of what I found until now, it appears I could use a filter for historical stock selection, but will need to test the trades manually.

saratur
14 posts
msg #95011
Ignore saratur
7/23/2010 4:16:35 AM

I think you can't place a stop loss and limit order on a stock you haven't purchased yet. If you use the r1/s1 pivots for entry, the corresponding stop and limit positions will not change. You can enter them after the trade is triggered.

Not sure if there are brokers who can do what you are asking. Maybe others can comment?

++++

You can do this at Interactive Brokers.
One can create a limit order to enter the trade, and attach to it 'bracket' order.
The 'bracket' is conditioned on the entry trade being filled, and is composed of a "one cancels another' pair of stop and limit orders that can be set to the predetermined stoploss and target.

Interactive Brokers, by the way, has excellent features and execution, and might be a better fit than Fidelity for this type of trading . In addition to the complex order types, commissions are lower if trades are of a moderate size. It is 0.5 cent/share with $1 minimum. In Kevin's test example, the average commission will probably be less than $2 vs. $7.95 at Fidelity.
Also, If one has a long/short dollar neutral strategy that seems to have low enough volatility and risk to justify trading it on margin: Unlike Fidelity and many other brokerages, at IB short proceeds offset margin debt. The strategy could be implemented without paying margin interest.


duke56468
683 posts
msg #95015
Ignore duke56468
7/23/2010 9:26:59 AM

Thanks saratur
I have heard good things about IB and will give them a try.

cwn6161
40 posts
msg #95019
Ignore cwn6161
7/23/2010 10:46:59 AM

I do believe Tradestation will let you perform bracketed orders as well. Fidelity just isn't "sophisticated" enough of a trading platform to perform those functions unfortunately.

Kevin_in_GA
4,548 posts
msg #95043
Ignore Kevin_in_GA
7/23/2010 6:38:55 PM

7/23 Update:

Long Plays:


CPE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2).
Limit order entry at 5.39, stop loss at 5.26, target exit at 5.75 for a potential profit of 6.68%.
ORDER FILLED AT 5.39. PROFIT TARGET HIT at 5.75, for a gain of 6.68%


GSIC - Scored 3/6 on Connors filters, has closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY.
Limit order entry at 25.38, stop loss at 24.83, target exit at 27.00 for a potential profit of 6.38%.
ORDER FILLED AT 25.38. Closed trade today at 26.30, for a gain of 3.62%


LGF - Scored 4/6 on the Connors filters, and closed below the lower BB(20,2).
Limit order entry at 5.98, stop loss at 5.86, target exit at 6.28 for a potential profit of 5.02%.
ORDER FILLED AT 5.98. PROFIT TARGET HIT at 6.28, for a gain of 5.02%


HRC - Scored 4/6 on the Connors filters, has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 28.94, stop loss at 28.59, target exit at 29.75 for a potential profit of 2.80%.
ORDER FILLED AT 28.94. PROFIT TARGET HIT at 29.75, for a gain of 2.80%



Short Plays:

MON - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99.
Limit order entry at 57.20, stop loss at 58.19, target exit at 55.37 for a potential profit of 3.20%.
ORDER FILLED AT 57.20. STOPPED OUT at 58.19, for a loss of 1.70%


SPN - Scored 6/6 on the Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 22.25, stop loss at 22.67, target exit at 21.42 for a potential profit of 3.73%.
ORDER FILLED AT 22.25. STOPPED OUT at 22.67, for a loss of 1.85%


ONNN - Scored 4/6 on Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 7.27, stop loss at 7.48, target exit at 6.87 for a potential profit of 5.50%.
ORDER FILLED AT 7.27. Closed today at 7.29, for a loss of 0.28%


APOL - Scored 4/6 on the Connors filters, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 46.95, stop loss at 48.32, target exit at 44.30 for a potential profit of 5.64%.
ORDER FILLED AT 46.95. STOPPED OUT at 48.32, for a loss of 2.63%


CYPB - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 3.72, stop loss at 3.87, target exit at 3.38 for a potential profit of 9.14%.
ORDER FILLED AT 3.72. Closed today at 3.50, for a gain of 5.91%



Net loss of 0.22% today.

Net gain for the week of 1.88% ($676.51 on a total of $36,000 invested, with $4,000 in cash all week).

For those who have been following this, the overall performance so far for each of the past four weeks has been:

6/28 - 7/2: +6.01% ($2402.35 on an initial $40,000 in 11 trades)

7/6 - 7/9: +4.58% ($1842.88 on an initial $40,000 in 8 trades)

7/12 - 7/16: +1.76% ($706.15 on an initial $40,000 in 16 trades)

7/19 - 7/23: +1.88% ($676.51 on an initial $36,000 in 9 trades)


Net gain of $5,627.89 or 14.1% ( since 6/28 - no compounding). After taking commissions into account @$8.95 per side, one still netted $4840.29 or 12.1%.


miketranz
716 posts
msg #95044
Ignore miketranz
7/23/2010 7:19:36 PM

Fidelity Active Trader Pro has "bracket orders"......

StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 9 10 11 12 13 ... 22 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus