StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 18 19 20 21 22 >>Post Follow-up
Kevin_in_GA
4,549 posts
msg #95944
Ignore Kevin_in_GA
9/1/2010 10:00:31 PM

9-1-2010 UPDATE:

LONG PLAYS:

TAP - in at 43.70, closed today at 44.73 for a gain of 2.17%
PEP - in at 64.09, SOLD today at 64.89 for a gain of 1.07% CROSSED MA(10) - SOLD AT THE CLOSE TODAY
LULU - in at 33.94, closed at 33.71 for a loss of 0.86%
INFY - in at 57.50, SOLD today at 59.70 for a gain of 3.64% CROSSED MA(10) - SOLD AT THE CLOSE TODAY

SHORT PLAYS:

SUNH - in at 8.57, COVERED this morning at 8.06 for a gain of 5.95%
COT - in at 6.91, closed today at 7.17 for a loss of 3.93%
CRZO - in at 21.26, closed today at 21.97 for a loss of 3.51%
BR - in at 21.37, closed today at 21.58 for a loss of 1.16%
FAF - in at 15.00, closed today at 15.55 for a loss of 3.84%

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

Net gain/loss so far this week - loss of 0.09% (down $42.14 on $45,000 invested after commission costs of $107.40).

Not sure if I will replace the two long plays closed out today. If I do, it will be looking for a 1% pullback off of today's close on the following stocks:

CSTR - scored 5/6 on the new Connors filters, is below the LBB(42,2), and is more than 2 SD below its usual relationship with the SPY. Entry would be at 41.40, stop loss at 40.15, and profit target at 44.00

ULTA - scored 2/6 on the new Connors filters, and is more than 2 SD below its usual relationship with the SPY. Entry would be at 22.00, stop loss at 21.35, and profit target at 23.35

Kevin_in_GA
4,549 posts
msg #95957
Ignore Kevin_in_GA
9/2/2010 10:31:03 AM

ULTA - scored 2/6 on the new Connors filters, and is more than 2 SD below its usual relationship with the SPY. Entry would be at 22.00, stop loss at 21.35, and profit target at 23.35
++++++

Order filled at 22.00. Already hit profit target (6%) at 23.35. SOLD at 23.35.

Kevin_in_GA
4,549 posts
msg #95970
Ignore Kevin_in_GA
9/3/2010 9:15:37 AM

9-2-2010 UPDATE:

LONG PLAYS:

TAP - in at 43.70, closed today at 44.75 for a gain of 2.22% CLOSED ABOVE MA(10) - WILL SELL TODAY, BUT WILL WAIT TO SEE IF IT GOES ABOVE 45 BASED ON FUTURES LOOKING VERY POSITIVE
PEP - in at 64.09, SOLD today at 64.89 for a gain of 1.07% CROSSED MA(10)
LULU - in at 33.94, closed at 34.36 for a gain of 1.06%
INFY - in at 57.50, SOLD at 59.70 for a gain of 3.64% CROSSED MA(10)
ULTA - in at 22.00, SOLD at 23.35 for a gain of 6.01% (PROFIT TARGET HIT).

SHORT PLAYS:

SUNH - in at 8.57, COVERED this morning at 8.06 for a gain of 5.95%
COT - in at 6.91, closed today at 7.08 for a loss of 2.63%
CRZO - in at 21.26, closed today at 22.37 for a loss of 5.39%
BR - in at 21.37, closed today at 21.87 for a loss of 2.51%
FAF - in at 15.00, closed today at 15.66 for a loss of 4.57%

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

Net gain/loss so far this week - gain of 0.21% (up $106.01 on $50,000 invested after commission costs of $125.30).

Should have used profit targets on several of the shorts this week. CRZO was at 5+% profit earlier this week, now trading at a 5+% loss.

Kevin_in_GA
4,549 posts
msg #95971
Ignore Kevin_in_GA
9/3/2010 9:40:43 AM

Out of TAP at 45.03 for a gain of 3.04%.

Kevin_in_GA
4,549 posts
msg #95972
Ignore Kevin_in_GA
9/3/2010 9:47:49 AM

Out of LULU at 35.42 for a gain of 4.36%.

Kevin_in_GA
4,549 posts
msg #96021
Ignore Kevin_in_GA
modified
9/5/2010 11:37:13 AM

9-3-2010 UPDATE:

LONG PLAYS:

TAP - in at 43.70, SOLD at 45.03 for a gain of 3.04%
PEP - in at 64.09, SOLD at 64.89 for a gain of 1.07%
LULU - in at 33.94, SOLD at 35.42 for a gain of 4.36%
INFY - in at 57.50, SOLD at 59.70 for a gain of 3.64%
ULTA - in at 22.00, SOLD at 23.35 for a gain of 6.01%

SHORT PLAYS:

SUNH - in at 8.57, COVERED this morning at 8.06 for a gain of 5.95%
COT - in at 6.91, closed today at 7.07 for a loss of 2.49%
CRZO - in at 21.26, closed today at 22.97 for a loss of 8.21%
BR - in at 21.37, closed today at 22.29 for a loss of 4.48%
FAF - in at 15.00, closed today at 15.54 for a loss of 3.77%

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

Net gain/loss so far this week - gain of 0.17% (up $83.77 on $50,000 invested after commission costs of $179.00). Trading costs accounted for 0.36%.

I need to decide on whether or not I use profit stops - in the case of CRZO I could have netted 5% rather than losing 8%, but for ULTA I took a 6% profit rather than the 19.5% I could have had if I just closed it out at the end of this week.

Either approach, applied consistently, would have made me a LOT more this week.


daggetk
1 posts
msg #96028
Ignore daggetk
9/5/2010 8:35:07 PM

Kevin, thanks for all the work you have done on this forum. I would like to re-produce your results. However, I can't seem to see the latest filter you are using. could you please point me to the latest filter? Thanks again.

Kevin_in_GA
4,549 posts
msg #96047
Ignore Kevin_in_GA
9/7/2010 6:36:49 AM

Sure thing:

Fetcher[

/*CONNORS MODIFIED LONG FILTERS*/

close above 1
average volume(50) above 500000

SET{LONG1, COUNT(CLOSE ABOVE MA(200),1)}
SET{LONG2, COUNT(CLOSE BELOW MA(10),1)}
SET{LONG12, LONG1 * LONG2}

SET{1A_1, COUNT(HIGH DECREASING FOR 4 DAYS,1)}
SET{1A_2, COUNT(LOW DECREASING FOR 4 DAYS,1)}
SET{1A_3, 1A_1 * 1A_2}
SET{1A, 1A_3 * LONG12}

SET{2A_1, COUNT(RSI(4) BELOW 25,1)}
SET{2A, 2A_1 * LONG12}

SET{3A_1, COUNT(RSI(2) DECREASING FOR 4 DAYS,1)}
SET{3A_2, COUNT(RSI(2) 3 DAYS AGO BELOW 50,1)}
SET{3A_3, COUNT(RSI(2) BELOW 4,1)}
SET{3A_4, 3A_1 * 3A_2}
SET{3A_5, 3A_3 * 3A_4}
SET{3A, 3A_5 * LONG12}

SET{4A_1, COUNT(BOLLINGER %B(42,2) 2 DAYS AGO BELOW 0.05,1)}
SET{4A_2, COUNT(BOLLINGER %B(42,2) 1 DAY AGO BELOW 0.05,1)}
SET{4A_3, COUNT(BOLLINGER %B(42,2) BELOW 0.05,1)}
SET{4A_4, 4A_1 * 4A_2}
SET{4A_5, 4A_3 * 4A_4}
SET{4A, 4A_5 * LONG12}

SET{DOWN_4OF5, COUNT(CLOSE BELOW CLOSE 1 DAY AGO,5)}
SET{DOWNCOUNT, COUNT(DOWN_4OF5 ABOVE 3.5,1)}
SET{5A, DOWNCOUNT * LONG12}

SET{6A_1, COUNT(RSI(2) 1 DAY AGO BELOW 10,1)}
SET{6A_2, COUNT(RSI(2) BELOW 6,1)}
SET{6A_3, 6A_1 * 6A_2}
SET{6A, 6A_3 * LONG12}

set{7A1, COUNT(RSI(18) BELOW 34,1)}
SET{7A, 7A1 * LONG12}

SET{8A1, COUNT(BOLLINGER %B(42,2) BELOW 0.05,1)}
SET{8A, 8A1 * LONG12}

SET{9A1, COUNT(BOLLINGER %B(16,2.5) 1 DAY AGO BELOW 0,1)}
SET{9A2, COUNT(BOLLINGER %B(16,2.5) ABOVE 0,1)}
SET{9A3, 9A1 * 9A2}
SET{9A, 9A3 * LONG12}

SET{PRICERATIO, CLOSE / IND(SPY,CLOSE)}
SET{RATIOMA, CMA(PRICERATIO,10)}
SET{RATIOSTD10, CSTDDEV(PRICERATIO,10)}
SET{DIFF10, PRICERATIO - RATIOMA}
SET{ZSCORE10, DIFF10 / RATIOSTD10}
SET{THRESHOLD, RATIOSTD10 * 2.5}
set{10A1, count(zscore10 below -2,1)}
SET{10A, 10A1 * LONG12}

SET{C1, 1A + 2A}
SET{C2, C1 + 3A}
SET{C3, C2 + 4A}
SET{C4, C3 + 5A}
SET{C5, C4 + 6A}

SET{KPM1, 7A +8A}
SET{KPM2, KPM1 + 9A}
SET{KPMSCORE, KPM2 + 10A}

SET{COMPOSITE, C5 + KPMSCORE}

set{pullback, close * 0.99}
set{loss, close * 0.96}
set{profit, close * 1.05}

set{ran, atr(20) / close}
set{ran2, ran * 100}

composite above 2

ADD COLUMN COMPOSITE

ADD COLUMN C5 {CONNORS SCORE}
ADD COLUMN KPMSCORE {KPM score}
ADD COLUMN ZSCORE10 {Z-SCORE}
add column rsi(18) {rsi(18)}
add column Bollinger %B(42,2) {%B(42,2)}
ADD COLUMN 9A {BB(16,2.5) confirmation}
add column pullback {target entry}
add column loss {3% stop loss}
add column profit {6% profit stop}
add column atr(20) {daily range (pts)}
add column ran2 {daily range (%)}

SORT ON COLUMN 5 DESCENDING

DRAW MA(200)
DRAW BOLLINGER BANDS(42,2)
DRAW BOLLINGER BANDS(16,2.5)

DRAW ZSCORE10 LINE AT -2
]



Kevin_in_GA
4,549 posts
msg #96048
Ignore Kevin_in_GA
9/7/2010 6:39:43 AM

Here's the "mirror image" short version:

Fetcher[

/*CONNORS MODIFIED SHORT FILTERS*/

CLOSE ABOVE 1
AVERAGE VOLUME(50) ABOVE 500000

SET{SHORT1, COUNT(CLOSE BELOW MA(200),1)}
SET{SHORT2, COUNT(CLOSE ABOVE MA(10),1)}
SET{SHORT12, SHORT1 * SHORT2}

SET{1B_1, COUNT(HIGH INCREASING FOR 4 DAYS,1)}
SET{1B_2, COUNT(LOW INCREASING FOR 4 DAYS,1)}
SET{1B_3, 1B_1 * 1B_2}
SET{1B, 1B_3 * SHORT12}

SET{2B_1, COUNT(RSI(4) ABOVE 75,1)}
SET{2B, 2B_1 * SHORT12}

SET{3B_1, COUNT(RSI(2) INCREASING FOR 4 DAYS,1)}
SET{3B_2, COUNT(RSI(2) 3 DAYS AGO ABOVE 50,1)}
SET{3B_3, COUNT(RSI(2) ABOVE 96,1)}
SET{3B_4, 3B_1 * 3B_2}
SET{3B_5, 3B_3 * 3B_4}
SET{3B, 3B_5 * SHORT12}

SET{4B_1, COUNT(BOLLINGER %B(42,2) 2 DAYS AGO ABOVE 0.95,1)}
SET{4B_2, COUNT(BOLLINGER %B(42,2) 1 DAY AGO ABOVE 0.95,1)}
SET{4B_3, COUNT(BOLLINGER %B(42,2) ABOVE 0.95,1)}
SET{4B_4, 4B_1 * 4B_2}
SET{4B_5, 4B_3 * 4B_4}
SET{4B, 4B_5 * SHORT12}

SET{UP_4OF5, COUNT(CLOSE ABOVE CLOSE 1 DAY AGO,5)}
SET{UPCOUNT, COUNT(UP_4OF5 ABOVE 3.5,1)}
SET{5B, UPCOUNT * SHORT12}

SET{6B_1, COUNT(RSI(2) 1 DAY AGO ABOVE 90,1)}
SET{6B_2, COUNT(RSI(2) ABOVE 94,1)}
SET{6B_3, 6B_1 * 6B_2}
SET{6B, 6B_3 * SHORT12}

SET{7B1, COUNT(RSI(18) ABOVE 66,1)}
SET{7B, 7B1 * SHORT12}

SET{8B1, COUNT(BOLLINGER %B(42,2) ABOVE 0.95, 1)}
SET{8B, 8B1 * SHORT12}

SET{9B1, COUNT(BOLLINGER %B(16,2.5) 1 DAY AGO ABOVE 1,1)}
SET{9B2, COUNT(BOLLINGER %B(16,2.5) BELOW 1, 1)}
SET{9B3, 9B1 * 9B2}
SET{9B, 9B3 * SHORT12}

SET{PRICERATIO, CLOSE / IND(SPY,CLOSE)}
SET{RATIOMA, CMA(PRICERATIO,10)}
SET{RATIOSTD10, CSTDDEV(PRICERATIO,10)}
SET{DIFF10, PRICERATIO - RATIOMA}
SET{ZSCORE10, DIFF10 / RATIOSTD10}
SET{THRESHOLD, RATIOSTD10 * 2.5}

SET{10B1, COUNT(ZSCORE10 ABOVE 1.99,1)}
SET{10B, 10B1 * SHORT12}

SET{C1, 1B + 2B}
SET{C2, C1 + 3B}
SET{C3, C2 + 4B}
SET{C4, C3 + 5B}
SET{C5, C4 + 6B}

SET{KPM1, 7B + 8B}
SET{KPM2, KPM1 + 9B}
SET{KPMSCORE, KPM2 + 10B}

SET{COMPOSITE, C5 + KPMSCORE}

set{profit, close * 0.95}
set{loss, close * 1.04}
set{rise,close * 1.01}

set{ran, atr(20) / close}
set{ran2, ran * 100}

composite above 1
ADD COLUMN COMPOSITE

ADD COLUMN C5 {CONNORS SCORE}
add column KPMSCORE {KPM SCORE}
ADD COLUMN ZSCORE10 {Z-SCORE}
ADD COLUMN RSI(18)
add column rsi(2)
ADD COLUMN BOLLINGER %B(42,2) {%B(42,2)}
ADD COLUMN 9B {%B(16,2.5) confirmation}
add column rise {target entry}
add column loss {3% stop loss}
add column profit {6% profit target}
add column atr(20) {daily range (pts)}
add column ran2 {daily range (%)}

SORT ON COLUMN 5 DESCENDING

DRAW MA(200)
DRAW ZSCORE10 LINE AT 2
DRAW BOLLINGER BANDS(42,2)
DRAW BOLLINGER BANDS(16,2.5)

]



Kevin_in_GA
4,549 posts
msg #96049
Ignore Kevin_in_GA
9/7/2010 6:58:48 AM

Iíll be in London this week on business, with a fairly busy schedule. Back on Friday.

Futures are getting ugly today, so no planned trades.

The filters pulled up a couple of short candidates worth tracking however:

BCRD
KV-A
SNIC
PDE
ITMN

Only three long plays were generated:

BNE
AVNR
EUO

Canít really track these as I usually do, so Iíll sit in cash for this week.


StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 18 19 20 21 22 >>Post Follow-up

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