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Kevin_in_GA
4,553 posts
msg #95884
Ignore Kevin_in_GA
8/30/2010 12:00:29 AM

Weekend Update:

Long Plays selected from the new filters:

NTY - in at 54.13, closed at 54.15 for a loss of 0.05% after subtracting commission

MDCO - in at 12.26, closed at 11.88 for a loss of 3.19%

ARNA - in at 6.69, closed at 6.75 for a gain of 0.73%


Short Plays selected from the new filters:

DYN - in at 4.74, closed at 4.81 for a loss of 1.56%

GRS - in at 7.03, closed at 7.26 for a loss of 3.36%


Net for the week - a loss of 1.84% (down $738.70 on $50,000 invested in these 5 stocks, which includes commissions at $8.95 per trade).

Compare this to SPY - down 1.58% since the open on Monday.

New filters did not really do so well. A secondary problem is that they are not producing very many trades (only 1 long for the start of this week).

Need to redo these to meet both the profitability and frequency targets. For now, I'll go back to the Connor's filters - I may optimize them for the stocks being traded rather than use all new filters.


Kevin_in_GA
4,553 posts
msg #95885
Ignore Kevin_in_GA
8/30/2010 9:27:45 AM

QUICK POSTING AHEAD OF THE MARKET OPEN:

LONG PLAYS:

TAP
PEP
LULU
INFY

SHORT PLAYS:

SUNH
COT
CRZO
BR

Let's see how the modified Connors filters work. I redid the long filters - right now the short filters are just the "mirror image" of the longs. Will want to optimize them separately tonight.

Kevin_in_GA
4,553 posts
msg #95895
Ignore Kevin_in_GA
8/30/2010 8:57:01 PM

8-30-2010 UPDATE:

LONG PLAYS:

TAP - in at 43.70, closed today at 43.35 for a loss of 0.98%
PEP - in at 64.09, closed today at 63.60 for a loss of 0.94%
LULU - in at 33.94, closed at 31.90 for a loss of 6.18% (analyst downgrade before the open - I did not have time to look but should have)
INFY - in at 57.50, closed today at 57.32 for a loss of 0.49%

SHORT PLAYS:

SUNH - in at 8.57, closed today at 8.40 for a gain of 1.80%
COT - in at 6.91, closed today at 6.79 for a gain of 1.55%
CRZO - in at 21.26, closed today at 20.29 for a gain of 4.38%
BR - in at 21.37, closed today at 21.28 for a gain of 0.24%

All trades above include a commission cost of $8.95 per trade.

Net gain/loss so far this week - loss of 0.08% ($30.36 on $40,000 invested)


I redid the Connors long filters -

1A - 3 days of consecutive lower highs and lower lows is now set to 4 consecutive days

3A - RSI(2) decreasing for 3 days is now set at 4 days, and must be below 4 on the trigger day

4A - %B(20,2) below 0.2 for 3 days is now %B(42,2) below 0.05 for 3 consecutive days


The KPM filter set has been revised as follows:

7A - RSI(2) below 1 is now RSI(18) below 34

8A - close below LBB(20,2) is now close below LBB(42,2)

9A - no change, LBB(16,2.5) confirmation (below yesterday, back inside the BB today)

10A - same (Z-score below -2)


Each of the optimizations to the Connors filters results in fewer trades but usually at least a few percent higher win % and about a doubling of the average yield per trade.


Right now the short filters are just the "mirror image" of the longs. I will want to optimize them separately this week.

jveinot
1 posts
msg #95911
Ignore jveinot
8/31/2010 3:47:26 PM

I'm new here so apologize if this is a known answer. Interestingly enough, I signed up with stockfetcher to try out Connors strategies so greatly appreciate Kevins post related to such.

Connors suggests buying at close of the day and you (Kevin) mentioned screens buying at either close or open following.

Question(s) is/are this:

1) Have you found through your screening that one offers advantage over the other (entering at close or open).

2) I've had a few instances where the close marks a great entry but the morning following has already risen or fallen as suspected prior to the open and I miss out on the potential. Do you have a method or is there a way to screen intraday in order to potentially make fills at the close?

Thanks .....

Kevin_in_GA
4,553 posts
msg #95912
Ignore Kevin_in_GA
8/31/2010 4:17:27 PM

Connors suggests buying at close of the day and you (Kevin) mentioned screens buying at either close or open following.

Question(s) is/are this:

1) Have you found through your screening that one offers advantage over the other (entering at close or open).

2) I've had a few instances where the close marks a great entry but the morning following has already risen or fallen as suspected prior to the open and I miss out on the potential. Do you have a method or is there a way to screen intraday in order to potentially make fills at the close?

+++++++++++++++++++++

1) I addressed this in another thread dedicated to Connors' filters. SF backtesting uses the open of the day following the signal, and so that is how all of my backtest results are constructed. Because of the delay in SF data, you really can't use it to buy at the close unless the signal is really obvious.

2) You can set a limit entry order to catch a 1% pullback from the previous day's close - these will not always fill, but if they do you are ahead of where you would be if you bought at the close.

As you can see from my posts in this thread, I have used this approach with some decent results, but it makes it hard for me to insure dollar neutrality in the long and short trades. To me, that neutrality is the key to achieving low volatility and consistent gains each week.

Kevin_in_GA
4,553 posts
msg #95923
Ignore Kevin_in_GA
8/31/2010 10:38:07 PM

8-31-2010 UPDATE:

LONG PLAYS:

TAP - in at 43.70, closed today at 43.56 for a loss of 0.50%
PEP - in at 64.09, closed today at 64.18 for a loss of 0.04%
LULU - in at 33.94, closed at 32.87 for a loss of 3.32%
INFY - in at 57.50, closed today at 57.28 for a loss of 0.56%

SHORT PLAYS:

SUNH - in at 8.57, closed today at 8.10 for a gain of 5.30% Close below MA(10) - will cover tomorrow at the open.
COT - in at 6.91, closed today at 6.87 for a gain of 0.40%
CRZO - in at 21.26, closed today at 20.95 for a gain of 1.28%
BR - in at 21.37, closed today at 21.35 for a loss of 0.09%

All trades above include a commission cost of $8.95 per trade.

Net gain/loss so far this week - gain of 0.31% ($123.90 on $40,000 invested)

Replacement short play for tomorrow - FAF - not the highest composite score (all of those are gold stocks, and it makes me nervous to short them right now), but scored 2/6 on the connors filters and is more than 2 SD from its usual relationship with the SPY.

Kevin_in_GA
4,553 posts
msg #95928
Ignore Kevin_in_GA
9/1/2010 9:04:48 AM

Target entry for FAF - 15.00. Market futures indicate a gap up, so I'll see if it will rise ~1% before I short it.

Kevin_in_GA
4,553 posts
msg #95929
Ignore Kevin_in_GA
modified
9/1/2010 9:40:20 AM

Futures being as high as they were, I decided to hold off on covering SUNH until a little later in the day. It opened at 8.19, but quickly dropped back down to 8.14 within a minute or two.

9:38 - note. Covered here at 8.06.

FAF had not hit 15.00 just yet, trading at 14.92.

EDIT: In FAF at 15.00. Now trading at 15.08 (10:09 AM).

Kevin_in_GA
4,553 posts
msg #95932
Ignore Kevin_in_GA
9/1/2010 11:19:27 AM

(11:19 AM) Both INFY and PEP are currently trading above their MA(10). If they remain so, I will close them out at a profit at the end of today (I might as well use this large up move today to my advantage).

All of the short plays are trading higher today, which is offsetting much of the gains from the long plays. All were net gains as of yesterday but are now all net losses. FAF is still trading higher, but my exit of SUNH at 8.06 was well-timed and should cover any damage.

Kevin_in_GA
4,553 posts
msg #95937
Ignore Kevin_in_GA
9/1/2010 4:03:42 PM

Out of INFY at 59.70 and out of PEP at 64.90. TAP almost closed above its MA(10), but pulled back a just smidge before the close. Still in it, but reserve the right to sell at the open tomorrow.

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