StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 18 19 20 21 22 >>Post Follow-up
markd01
10 posts
msg #96680
Ignore markd01
10/1/2010 8:50:25 PM

Great job, Kevin! Nice job backtesting your strategies, and doing public forward testing..

1) Have you tried setting your entry point to be a further intraday pullback of 3.5% to 7.0 % away from yesterday's close, as long as you can identify a support/resistance trendline? You'd have many unfilled orders, but the ones that do fill have much higher profits and lower drawdowns..
2) At portfolio level, is your whole strategy based on always being market neutral, meaning you'd need to have a short position for each long position at all times? Do you have any research that you could share that this is optimal? I always wanted to build market neutral portfolios too, but found that in reality I'd enter positions according to market conditions. For example, if your ultimate goal is to have 10 positions in a portfolio, 5 long and 5 short, you'd enter long positions as markets are oversold, and then enter short positions as markets are overbought.
3) Do you have backtest results that show that exiting after RSI(2) > 70 for longs and RSI(2) < 30 for shorts is not optimal, and a time based stop loss of holding one week at the most is better? I've been struggling to prove it, taking opportunity cost into account. For example, if I went long, my stock kept on dropping for a month, but eventually came back and broke even when RSI(2) > 70, I'd spend 30 days to earn 0%. Taking opportunity cost into account, I could have gotten out at say 10% loss after 10 days, but then traded two more positions with the same cash, each earning me more than 5%, in which case using a time based stop loss and accounting for opportunity cost might be the better option.

saratur
14 posts
msg #96701
Ignore saratur
10/3/2010 4:07:48 AM

Kevin - do you continue to follow the system ? Any new conclusions?

Kevin_in_GA
4,553 posts
msg #96702
Ignore Kevin_in_GA
10/3/2010 10:22:23 AM

Sorry for the lack of recent posts - I have been looking at some new software that is pretty slick (StrataSearch, free fully functional demo available at www.stratasearch.com). It generates millions of combinations of different indicators and backtests them against any set of stocks and time frames the user chooses. Very fast, and I have been evaluating several filters that it has generated.

This approach is less effective of late, due to the high correlation between stocks (upwards of 90% of all stocks move in the same direction each day, making a long/short strategy very challenging to execute profitably).

As I had indicated at the onset, this was an approach I wanted to evaluate and would paper trade for 3 months or so. It did well during July, a little poorer in August, and even less well in September as the stock correlation kept going higher and higher. It crushed the market in overall return early on (from the start on 6/28 through 8/13 it netted 16.3% return versus only 0.7% for the SPY buy and hold) and I think I only had 2 weeks at a fractional percentage loss out of 10 total.

In all honesty I will not be updating this thread any more - I think the filters are good, they trade profitably, and the overall volatility is much less than the market as a whole. Happy to share them with the SF community and hope that others use (and improve upon) them as time goes on.



wkloss
230 posts
msg #96741
Ignore wkloss
10/5/2010 11:15:33 AM

Kevin,

You wrote

"I think the filters are good"

Did you mean the Connor's filters, the Stratasearch filters or both?

This was very educational and I hope you start some new topics soon.

bill

Kevin_in_GA
4,553 posts
msg #96744
Ignore Kevin_in_GA
10/5/2010 1:34:26 PM

I was referring to the filters used in this thread. Also, it makes sense to go dollar-neutral if possible (except for today, when everything went up).

As to the Stratasearch filters, I have focused on developing "all-long" filters to date. The ability for the program to backtest massive numbers of indicator combinations is really impressive.

Here's one I pulled from a recent optimization run

Fetcher[

market is S&P 500
close above 1
average volume(20) above 200000
MA(7) below MA(40)
rmi(4,14) crossed below 89

]



Exit when either the MA(7) crosses above the MA(40) or when the rmi(4,14) crosses above 45.

Backtest results for the last 4 months (arguably some of the hardest months to trade profitably given the ups and downs seen):

There were 149 total stocks entered. Of those, 133 or 89.26% were complete and 16 or 10.74% were open.

Of the 133 completed trades, 123 trades or 92.48% resulted in a net gain.
Your average net change for completed trades was: 4.60%.
The average draw down of your approach was: -4.40%.
The average max profit of your approach was: 6.19%

The Reward/Risk ratio for this approach is: 13.06
Annualized Return on Investment (ROI): 94.86%, the ROI of ^SPX was: 10.33%.



The stats for this simple filter are really impressive, and there's no way I would have come up with this specific combination.

I'll post a series of these for everyone to evaluate (at least those that can be readily translated into SF code).

Kevin

einok
msg #100440
Ignore einok
4/27/2011 12:41:23 AM

Hi Kevin,

How exactly is this a long filter?


market is S&P 500
close above 1
average volume(20) above 200000
MA(7) below MA(40)
rmi(4,14) crossed below 89


Exit when either the MA(7) crosses above the MA(40) or when the rmi(4,14) crosses above 45.

I see the exit, but what is then entry? When MA(7) below MA(40) and
rmi(4,14) crossed below 89? That seems short to me.

Are you working on any other filters with stratasearch?

duke56468
683 posts
msg #100444
Ignore duke56468
4/27/2011 10:20:05 AM

Kevin these 2 filters of yours produce impressive backtest results, do you feel one is superior to the other in most markets? Thanks for sharing your work, I would have never come up with those exit indicators, and like ewhiteman said even the entry seems counter intuitive.

Fetcher[

market is S&P 500
close above 1
average volume(20) above 200000
MA(7) below MA(40)
rmi(4,14) crossed below 89

]



Fetcher[
market is s&p 500
close above 1
average volume(20) above 200000
MA(10) below MA(45)
rmi(8,14) crossed below 65
]



Kevin_in_GA
4,553 posts
msg #100614
Ignore Kevin_in_GA
5/6/2011 12:27:16 PM

These are a few filters that StrataSearch identified. I ran over 2 million different indicators settings/combinations on the S&P 500 for about a full year's worth of data (2009 - 2010). Long only filters, which weren't hard to find given the market uptrend during that time window.

I agree that both the entries and exits seem to defy common logic, but as you pointed out you can't argue with the results. As to which of the two RMI filters is better for a given period, I did not really look. These are part of a 10 filter system I put together late last year, which has done quite well. Unfortunately, most of them are not easily coded using SF as they require sector data and indictors that are not commonly shared between the two programs.

My suggestion - give StrataSearch a try for a few months and see if you like it (fee is $30/month, which you'll most likely make back in your first trade or two).

einok
msg #100617
Ignore einok
5/6/2011 1:10:49 PM

Hey Kevin,

Are you familiar much with excel charting? Do you use skype? I

RocketFetcher
58 posts
msg #115328
Ignore RocketFetcher
9/12/2013 6:42:55 PM

Didn't know whether to start a new thread, as this one is dated, but, it's on the topic and a lot of posts here, so...

Does anyone have the ConnorsRSI filter for StockFetcher?
At TradingMarkets, they have started publishing some code for TOS, and a couple of others,

Does anyone have it working here for StockFetcher?

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