StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 14 15 16 17 18 ... 22 >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #95615
Ignore Kevin_in_GA
8/12/2010 10:16:14 PM

Did not open any of the potential trades I listed last night. Probably should have ...

Long Plays:

GET - Gaylord Entertainment - opened at 26.51, closed at 27.03 (up 1.96%)
IVN – Ivanhoe Mines Ltd - opened at 16.49, closed at 16.85 (up 2.18%)
CPX – Complete Production Services - opened at 16.80, closed at 17.50 (up 4.17%)

Short Plays:

BAX – Baxter Scientific - opened at 45.09, closed at 45.80 (down 1.55%)
CYPB – Cypress Biosciences - opened at 3.76, closed at 3.85 (down 2.34%)
EMIS – Emisphere - opened at 1.30, closed at 1.34 (down 2.98%)

Not outstanding, but it would have been profitable to play these 6 (up 0.24% for the day).


Anyway, what really happened was this:

LONG plays for this week:

ABMD - DOWN 4.38%
ABV - DOWN 1.38%


SHORT plays for this week:


AUXL - UP 4.72%
RGLD - UP 1.16%


Net gain/loss so far this week: +0.59% ($236.40 on a total of $40,000 invested).

Net gain/loss so far this week for the SPY: -3.80%.

Kevin_in_GA
4,548 posts
msg #95629
Ignore Kevin_in_GA
8/13/2010 5:03:22 PM

Update - 8/13/2010

LONG plays for this week:

ABMD - DOWN 3.70% (SOLD at the close today)
STAA - DOWN 6.98% (SOLD at the close Wednesday)
CRR - DOWN 5.73% (SOLD at the close Wednesday)
ABV - DOWN 1.51% (SOLD at the close today)


SHORT plays for this week:

PXP - UP 7.56% (COVERED at the close Wednesday)
AUXL - UP 7.42% (COVERED at the close today)
RGLD - UP 2.43% (COVERED at the close today)
ZLC - UP 9.71% (COVERED at the close Wednesday)



Net gain/loss for this week: +1.16% ($462.67 on a total of $40,000 invested).

Net gain/loss so far this week for the SPY: -4.08%.

PERFORMANCE TO DATE:

6/28 - 7/02: +6.01% ($2402.35 on an initial $40,000 in 11 trades)

7/06 - 7/09: +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 - 7/30: +1.10% ($441.47 on an initial $35,000 in 7 trades)

8/02 - 7/06: -0.07%% (-$19.23 on an initial $25,000 in 5 trades)

8/09 - 8/13: +1.16% ($462.67 on an initial $40,000 in 8 trades)


Net gain of $6,512.90 or 16.28% ( since 6/28 - no compounding). After taking commissions into account @$8.95 per side, one still netted $5,367.30 or 13.41%.

dnigro201
1 posts
msg #95660
Ignore dnigro201
8/15/2010 5:17:40 PM

Kevin,

Is the most current version of these filters the same as 7/12/10 post or have there been modifications?

Thanks.

Kevin_in_GA
4,548 posts
msg #95662
Ignore Kevin_in_GA
8/15/2010 6:47:57 PM

Kevin,

Is the most current version of these filters the same as 7/12/10 post or have there been modifications?

Thanks.
++++++++

I am in the process of updating my filters to include some new optimized Bollinger Band strategies, but at the moment no changes have been made to the filters since I posted them.

Once the new filters are complete, I'll post them in this thread with an explanation of the changes and why they might be better.

Kevin_in_GA
4,548 posts
msg #95670
Ignore Kevin_in_GA
8/15/2010 10:36:42 PM

These trades are using a modified filter that incorporates some new optimized Bollinger Band filters - I am still finalizing these, but the ones used here are statisitcally equal or better to any of the Connors filters (higher return AND higher win percentages). Both the Connors filters and the new BB filters, along with the Z-score, are being used. I'll post an improved version of my filters here as soon as they are fully backtested.

Trades for the week of 8/16:

Long Plays:

PLA
NEWP
INFN
KEM

Short Plays:

ATHN
COT
VGZ (this one is a gold miner stock, so it tends to trade opposite of the other shorts - caution)
GSK

Will buy/short at the open tomorrow, unless the futures are crazy ...

Kevin_in_GA
4,548 posts
msg #95683
Ignore Kevin_in_GA
8/16/2010 3:15:16 PM

Kevin_in_GA
msg #95599
- Edit message
modified 8/11/2010 10:11:57 PM

And keep an eye on EMIS – Emisphere (this is from another BB-based filter set I am developing for short plays that gives great results back-testing since 1/1/2007 – about 84% win rate and average return of 3-4% in about 5 days).

+++++++

I am probably the only one who actually has kept an eye on EMIS - my filters would have had me in at the open last Thursday at $1.30. Stock is now trading at $1.05 (down -19.2%).

These BB shorting filters do well, but do not generate a lot of hits - only this one in the past week. Need to optimze these against a larger set of stocks to see if I can keep the success rate and returns high but increase the frequency of occurance.


saratur
14 posts
msg #95716
Ignore saratur
8/18/2010 12:28:59 AM

Kevin - I have done some backtesting on the long-short system with your composite filters, at one month granularity

So far I completed one year back. The simulated returns are significantly lower than the long term returns you received for the individual filters, or from what one may extrapolate from the real time test on this thread. It might be due to variation in exits or other parameters, market unfavorable to the system during this year – or errors in my backtest. To some extent I hope for the latter…

Kevin – and/or anyone else following this thread – could you please check my results (all, or just a spot-check). If more details on the backtest will be useful, please post or email me at saratur2@gmail.com

I could not figure out a way to test with StockFetcher stops and targets based on the ATR of each stock, or something similar. If anyone knows how to do this, please yell  .
In the test below I used fixed 3% stoploss 6% target. I did get somewhat better results using Connors’ standard 5 DMA exit and/or limited trade length.

Test:
Kevin’s composite filters, select by Composite score, top 5 (each long and short).
Exits: Stoploss 3%, Profit target 6%, maximum 5 days .
Price > $1 . I have relaxed volume to 200k shares (sinced I have noticed that some stocks in Kevin’s real time test are at lower volume than the original 500k ).
Return is calculated for each month, using SF daily backtest estimated equity. A backtest of 4 months was used to derive the results for each quarter so as to minimize effects of discontinuity in stock selection.
Results do not include commissions nor short borrow fees.

Month end Long Short Long-Short Equity
7/30/2010 1.77% 2.52% 2.14% 1.002782472
6/30/2010 -7.43% -2.28% -4.86% 0.981754416
5/28/2010 -5.76% -14.12% -9.94% 1.031857827
4/30/2010 0.82% 4.00% 2.41% 1.145775539
3/31/2010 12.54% 13.47% 13.01% 1.118824742
2/26/2010 6.54% -5.31% 0.62% 0.990050484
1/29/2010 -5.95% -0.14% -3.05% 0.983998808
12/31/2009 5.13% -1.22% 1.96% 1.014912788
11/30/2009 3.03% 4.35% 3.69% 0.995433964
10/30/2009 -9.29% -0.11% -4.70% 0.960003596
9/30/2009 6.13% 0.45% 3.29% 1.007346035
8/31/2009 -5.47% 0.52% -2.48% 0.975236619

average: 0.17% 0.18% 0.17%

The average monthly return is 0.17%, total gain after one year 0.28% .
After commissions this would be a loss - which could vary widely, depending on the brokerage. Each position turns over appx 80 times a year. If commissions are $4/trade, at $5000 per positions those will be 12.8% / year .


Eman93
4,659 posts
msg #95717
Ignore Eman93
8/18/2010 1:26:07 AM

Yea this is hard... if it was easy everyone would be rich....LOL

Kevin I would have to say that the VXX/SPY oscillator is a thing of beauty .... if it triggers take the trade that day put you stop right below you last swing low.......... I think you make out well from looking at the 2 year chart anyway.... I have beaten the filter buy a day only that's it......... would not use it for exit though.... exit must be managed..... great entries a few whipsaws and losses are too be tolerated... the long runs make up for them in spades.

Kevin_in_GA
4,548 posts
msg #95722
Ignore Kevin_in_GA
8/18/2010 9:36:38 AM

Kevin - I have done some backtesting on the long-short system with your composite filters, at one month granularity

So far I completed one year back. The simulated returns are significantly lower than the long term returns you received for the individual filters, or from what one may extrapolate from the real time test on this thread. It might be due to variation in exits or other parameters, market unfavorable to the system during this year – or errors in my backtest. To some extent I hope for the latter…
++++++++++++

I'm not surprised - if you look back at the trades I have selected from the list, they reflect a personal and subjective filter as well as the objective data filters. No way one could trade them all. Also, I only hold 5 long and 5 short at any time, which means you must select from the larger list. Also I have opted not to trade on some days, keeping a portion of the 40,000 in cash for that week.

Honestly this is a method that is "backtest challenged" - that is why I backtest and posted all of the results from each element of the composite filter earlier. I have recently been looking at improved BB filters that I am adding in, but have not posted yet because they are still a work in progress. That is why I have recently reduced the volume requirement from 500000 to 200000, to be consistent with other backtest data on these systems.

This filter has evolved significantly from the simple RSI(2) filter I laid out in the first post on this thread. This reflects a personal adjustment to meet my desired trading time frames and frequency, as well as trying to figure out what a good mechanical approach would be to set entries and exits. Still struggling a bit on that part, as you can see from recent posts ...



wkloss
230 posts
msg #95764
Ignore wkloss
8/21/2010 2:02:27 PM

Kevin,

Since this project seems to be at a fork in the road, I wanted to offer some ideas.

I'm wondering if there really are any short term mechanical systems that work consistently. Chuck LeBeau claims that the most profit per daycomes from trades in the 15-20 range. After that, gains diminish on a % per day basis. Eliminate a lot of the time and effort necessary to trade a short term system and your real return increases. Another consideration is capital. Unless you can generate a good weekly % gain consistently, trading a small $ account may not generate enough total dollars to justify your time.

The more you have to replace mechanical rules with judgement, the system demands more of your attention.

Increasing the trade length may offer some other benefits. From your previous posts, I get the impression you don't care much for options. If you don't want to use options as a stock substitute, you still have the ability to use protective puts. Some option spread strategies profit whether the stock goes up (for longs) or justs stays flat. Having the ability to use these strategies to enhance your system is a good thing whether you use them on every trade or not.

This is a long winded way of saying that trend trading on a slightly longer time frame might be less work and more profit.

I still hope your system development goes as planned and you identify an indicator that becomes the basis for a profitable mechanical system. If you are looking for a different direction, hopefully some of the ideas above might help.

Bill

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