StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 11 12 13 14 15 ... 22 >>Post Follow-up
Kevin_in_GA
4,544 posts
msg #95177
Ignore Kevin_in_GA
7/28/2010 7:27:39 PM

UPDATE FOR 7/28:

Long Plays:

HSY - Scored 4/6 on the Connors filters, RSI(2) is below 1, and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 46.66 (requires a 1.17% pullback)
Stop loss at 46.10 (risk of 1.19%)
Target exit at 48.52 for a potential profit of 4.00%.
Reward-to-Risk ratio: 3.37
ORDER FILLED AT 46.66. CLOSED TODAY AT 46.41 FOR A LOSS OF 0.54%


PPDI - Scored 3/6 on the Connors filters and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 25.43 (requires a 2.15% pullback)
Stop loss at 24.87 (risk of 2.20%)
Target exit at 28.0 (r1) for a potential profit of 6.17%.
Reward-to-Risk ratio: 2.80
Reward-to-Risk ratio: 4.01
ORDER FILLED AT 25.43. CLOSED TODAY AT 25.47 FOR A GAIN OF 0.16%


RDY - Scored 2/6 on the Connors filters, and closed below the lower BB(20,2). This was a "10" on Thursday, and has already moved up about 4%, but I think it still has room to go up.
Limit order entry at 28.31 (requires a 1.46% pullback)
Stop loss at 27.89 (risk of 1.48%)
Target exit at 29.37 for a potential profit of 3.74%.
Reward-to-Risk ratio: 2.52
ORDER FILLED AT 28.31. STOPPED OUT AT 27.89 FOR A LOSS OF 1.48%


SEIC - Scored 1/6 on the Connors filters, has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 19.75 (requires a 0.92% pullback)
Stop loss at 19.56 (risk of 0.93%)
Target exit at 20.22 for a potential profit of 2.41%.
Reward-to-Risk ratio: 2.60
ORDER FILLED AT 19.75. STOPPED OUT AT 19.56 FOR A LOSS OF 0.93%


Short Plays:


SOHU - Scored 6/6 on the Connors filters, RSI(2) is above 99, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY. Maximum possible score!
Limit order entry at 48.21 (requires a 1.27% move higher)
Stop loss at 48.81 (risk of 1.26%)
Target exit at 45.77 (s2) for a potential profit of 5.05%.
Reward-to-Risk ratio: 4.01
ORDER FILLED AT 48.21. CLOSED TODAY AT 47.67 FOR A GAIN OF 1.12%


NDAQ - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 19.92 (requires a 2.19% move higher - might be a stretch)
Stop loss at 20.34 (risk of 2.14%)
Target exit at 19.00 (s2) for a potential profit of 4.59%.
Reward-to-Risk ratio: 2.14
ORDER NOT FILLED. HIGH OF 19.89, CLOSED AT 19.34


ELY - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 7.00 (requires a 2.07% move higher)
Stop loss at 7.13 (risk of 1.76%)
Target exit at 6.64 for a potential profit of 5.14%.
Reward-to-Risk ratio: 2.92
ORDER FILLED AT 7.00. PROFIT TARGET HIT AT 6.64 FOR A GAIN OF 5.14%


TEX - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 21.58 (requires a 1.79% move higher)
Stop loss at 22.01 (risk of 2.02%)
Target exit at 20.28 for a potential profit of 6.03%.
Reward-to-Risk ratio: 2.98
ORDER FILLED AT 21.58. PROFIT TARGET HIT AT 20.28 FOR A GAIN OF 6.03%



I removed GLD and RAH from the list as I only want 4 longs and 4 shorts for this week, and these did not look like they would be filled.

Net gain for the week of +1.38% ($473.88 on a total of $35,000 invested).


NEED 2 NEW SHORT PLAYS AND 2 NEW LONG PLAYS:

Short Plays:

VZ - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) above 99, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 29.20 (requires a 0.99% move higher)
Stop loss at 29.48 (risk of 0.98%)
Target exit (s2) at 28.59 for a potential profit of 3.20%.
Reward-to-Risk ratio: 3.26


DST - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 41.30 (requires a 2.73% move higher - may be hard to fill)
Stop loss at 42.39 (risk of 2.66%)
Target exit (s2) at 39.55 for a potential profit of 5.82%.
Reward-to-Risk ratio: 2.19


Long Plays:

ABC - Scored 4/6 on the Connors filters, and closed below the lower BB(20,2).
Limit order entry at 28.31 (requires a 2.14% pullback)
Stop loss at 27.69 (risk of 2.19%)
Target exit (r2) at 29.83 for a potential profit of 5.37%.
Reward-to-Risk ratio: 2.45


NEM - Scored 4/6 on the Connors filters, and closed below the lower BB(20,2).
Limit order entry at 54.53 (requires a 1.56% pullback)
Stop loss at 53.67 (risk of 1.59%)
Target exit (r2) at 56.67 for a potential profit of 3.91%.
Reward-to-Risk ratio: 2.46


Eman93
4,659 posts
msg #95180
Ignore Eman93
7/28/2010 9:28:25 PM

Very interesting.... nice work
1% or 2% a month on a million is nice coin....
the only problem I would see about using a method like this for a large say over a million account is your putting a lot of cash into a company that a filter spits out.... one accounting issue and wamo gap down 20% kills you whole year..... or a buy out one a short....

just saying.....


the safety my be misleading there are more risks in individual stocks than say an index etf





Kevin_in_GA
4,544 posts
msg #95202
Ignore Kevin_in_GA
7/29/2010 10:23:46 AM

Very interesting.... nice work
1% or 2% a month on a million is nice coin....
the only problem I would see about using a method like this for a large say over a million account is your putting a lot of cash into a company that a filter spits out.... one accounting issue and wamo gap down 20% kills you whole year..... or a buy out one a short....

just saying.....
+++++
Well, so far it has done a lot better than 1-2% a month:

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)

7/26 - 7/28: +1.38% ($473.88 on an initial $35,000 in 7 trades)


Net gain of $6,101.77 or 15.25% ( since 6/28 - no compounding). After taking commissions into account @$8.95 per side, one still netted $5,976.47 or 14.94%.

After introducing tight stop losses and limit order entries in week 3, the overall profitability has gone down - although I caught a few really nice trades in week 1 that makes it look skewed.

Nonetheless, the volatility of this system is exceptionally low while making significant profit over a "buy-and-hold SPY" approach.

cwn6161
40 posts
msg #95203
Ignore cwn6161
7/29/2010 10:29:12 AM

Actually, since the filter spits SO many trades out, even a string of losses (or one big one) will not hurt you too much. Numerous trades keep the capital in each trade low, relative to the total capital being used to trade.

Your scenario works in the other direction too (like winning big). But I don't think a gap up for or against you will make or break this system.

Kevin_in_GA
4,544 posts
msg #95209
Ignore Kevin_in_GA
7/29/2010 10:51:54 AM

Agreed. Tight stops and the requirement for a pullback or further surge before entry also helps to limit damage.

Example - this week I am managing only 8 trades at any time, and typically will not go higher than 10 or lower than 4-6. Dollar neutrality also helps reduce volatility. Tight stops are hit more frequently (like the long side of this week), but reduce damage as well.

Kevin_in_GA
4,544 posts
msg #95254
Ignore Kevin_in_GA
7/29/2010 9:35:24 PM

UPDATE FOR 7/29:

Long Plays:

HSY - Scored 4/6 on the Connors filters, RSI(2) is below 1, and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 46.66 (requires a 1.17% pullback)
Stop loss at 46.10 (risk of 1.19%)
Target exit at 48.52 for a potential profit of 4.00%.
Reward-to-Risk ratio: 3.37
ORDER FILLED AT 46.66. STOPPED OUT AT 46.10 FOR A LOSS OF 1.19%.


PPDI - Scored 3/6 on the Connors filters and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 25.43 (requires a 2.15% pullback)
Stop loss at 24.87 (risk of 2.20%)
Target exit at 28.01 (r1) for a potential profit of 6.17%.
Reward-to-Risk ratio: 2.80
Reward-to-Risk ratio: 4.01
ORDER FILLED AT 25.43. STOPPED OUT TODAY AT 24.87 FOR A LOSS OF 2.20%


RDY - Scored 2/6 on the Connors filters, and closed below the lower BB(20,2). This was a "10" on Thursday, and has already moved up about 4%, but I think it still has room to go up.
Limit order entry at 28.31 (requires a 1.46% pullback)
Stop loss at 27.89 (risk of 1.48%)
Target exit at 29.37 for a potential profit of 3.74%.
Reward-to-Risk ratio: 2.52
ORDER FILLED AT 28.31. STOPPED OUT AT 27.89 FOR A LOSS OF 1.48%


SEIC - Scored 1/6 on the Connors filters, has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 19.75 (requires a 0.92% pullback)
Stop loss at 19.56 (risk of 0.93%)
Target exit at 20.22 for a potential profit of 2.41%.
Reward-to-Risk ratio: 2.60
ORDER FILLED AT 19.75. STOPPED OUT AT 19.56 FOR A LOSS OF 0.93%


Short Plays:


SOHU - Scored 6/6 on the Connors filters, RSI(2) is above 99, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY. Maximum possible score!
Limit order entry at 48.21 (requires a 1.27% move higher)
Stop loss at 48.81 (risk of 1.26%)
Target exit at 45.77 (s2) for a potential profit of 5.05%.
Reward-to-Risk ratio: 4.01
ORDER FILLED AT 48.21. CLOSED TODAY AT 47.55 FOR A GAIN OF 1.37%


ELY - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 7.00 (requires a 2.07% move higher)
Stop loss at 7.13 (risk of 1.76%)
Target exit at 6.64 for a potential profit of 5.14%.
Reward-to-Risk ratio: 2.92
ORDER FILLED AT 7.00. PROFIT TARGET HIT AT 6.64 FOR A GAIN OF 5.14%


TEX - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 21.58 (requires a 1.79% move higher)
Stop loss at 22.01 (risk of 2.02%)
Target exit at 20.28 for a potential profit of 6.03%.
Reward-to-Risk ratio: 2.98
ORDER FILLED AT 21.58. PROFIT TARGET HIT AT 20.28 FOR A GAIN OF 6.03%


DST - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 41.30 (requires a 2.73% move higher - may be hard to fill)
Stop loss at 42.39 (risk of 2.66%)
Target exit (s2) at 39.55 for a potential profit of 5.82%.
Reward-to-Risk ratio: 2.19
ORDER FILLED AT 41.30. CLOSED TODAY AT 41.42 FOR A GAIN OF 2.08%




Net gain for the week of +1.10% ($441.47 GAIN THIS WEEK).


NONE OF THE OTHER POTENTIAL TRADES WERE FILLED TODAY. AS I HAVE BEEN DOING LATELY I WILL CLOSE OUT ALL TRADES AT THE END OF EACH WEEK, SO THESE ARE EFFECTIVELY OUT OF PLAY. RIGHT NOW ONLY DST AND SOHU ARE STILL IN PLAY.

Kevin_in_GA
4,544 posts
msg #95265
Ignore Kevin_in_GA
7/30/2010 10:07:58 AM

closed out SOHU at 47.10 and DST at 41.07. Done for this week.

net gain = $530.62 (+1.32% on $40,000 invested).

Every long play stopped out - every short play profitable. Perhaps a sign?

Kevin_in_GA
4,544 posts
msg #95312
Ignore Kevin_in_GA
8/1/2010 8:21:45 PM

PLANNED TRADES FOR THE WEEK OF 8/2 - 8/6

I'll post 5 long and 5 short plays for this week, recognizing that some of them will not be filled. Will update this list as the week progresses by replacing unfilled trades with new trades as needed.

Short Plays:

HMC - Scored 4/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 32.03 (requires a 0.81% move higher)
Stop loss at 32.28 (risk of 0.80%)
Target exit (s2) at 31.04 for a potential profit of 3.07%.
Reward-to-Risk ratio: 3.83


UNG - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 8.36 (requires a 1.17% move higher)
Stop loss at 8.45 (risk of 1.16%)
Target exit (s2) at 7.95 for a potential profit of 4.83%.
Reward-to-Risk ratio: 4.17


CVG - Scored 5/6 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 11.34 (requires a 1.52% move higher)
Stop loss at 11.51 (risk of 1.50%)
Target exit (s2) at 10.65 for a potential profit of 6.08%.
Reward-to-Risk ratio: 4.06


RJET - Scored 3/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 6.39 (requires a 2.24% move higher)
Stop loss at 6.53 (risk of 2.19%)
Target exit (s2) at 5.69 for a potential profit of 10.95%.
Reward-to-Risk ratio: 3.83


CQB - Scored 2/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 15.25 (requires a 3.91% move higher)
Stop loss at 15.83 (risk of 3.76%)
Target exit (s2) at 12.75 for a potential profit of 16.43%.
Reward-to-Risk ratio: 4.37


Long Plays:

PLCE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2), and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 41.13 (requires a 1.72% pullback)
Stop loss at 40.41 (risk of 1.75%)
Target exit (r2) at 43.93 for a potential profit of 6.81%.
Reward-to-Risk ratio: 3.89


XEC - Scored 6/6 on the Connors filters.
Limit order entry at 67.34 (requires a 2.23% pullback)
Stop loss at 65.80 (risk of 2.28%)
Target exit (r2) at 71.88 for a potential profit of 6.75%.
Reward-to-Risk ratio: 2.97


CAVM - Scored 4/6 on the Connors filters, and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 25.92 (requires a 3.38% pullback - unlikely to fill)
Stop loss at 25.02 (risk of 3.50%)
Target exit (r2) at 28.86 for a potential profit of 11.32%.
Reward-to-Risk ratio: 3.24


WERN - Scored 5/6 on the Connors filters.
Limit order entry at 22.69 (requires a 1.46% pullback)
Stop loss at 22.36 (risk of 1.48%)
Target exit (r2) at 23.76 for a potential profit of 4.69%.
Reward-to-Risk ratio: 3.16


DLB - Scored 4/6 on the Connors filters, and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 61.65 (requires a 2.87% pullback - unlikely to fill)
Stop loss at 59.82 (risk of 2.96%)
Target exit (r2) at 66.54 for a potential profit of 7.94%.
Reward-to-Risk ratio: 2.69


Kevin_in_GA
4,544 posts
msg #95326
Ignore Kevin_in_GA
8/2/2010 5:56:54 PM

Wow - 0 for 10 in getting these trades filled. Missed some really good moves today.

All trades stay as is for now. Hopefully we'll see some volatility that let's me get some orders filled.

saratur
14 posts
msg #95332
Ignore saratur
8/3/2010 3:06:01 AM

Kevin - great thread, I start looking at the individual trades :-).

In this test, how do you handle stocks that gap beyond the stoploss?
Looking at HMC : It opened 8/2 at 32.44, beyond the trigger and the planned stoploss.
If orders were placed the night before as limit with brackets (as defined, without any additional condition) the short would have been filled at the open. If the stop has had the fixed value of 32.28 it would probably be rejected , so HMC would be short now without a set stop. If a stop were to be placed at 0.8% relative to the entry, the short would have been stopped out.
Or - do you avoid gap pullbacks which are beyond s2 ? If this is the case, would you modify the entry points?

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