StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 2 3 4 5 6 ... 22 >>Post Follow-up
misfithab
6 posts
msg #94603
Ignore misfithab
7/6/2010 10:15:38 PM

Again, great work Kevin....building off your original filter I'm trying to find a scalable model that would not give quite so many results. With all due respect I don't want to play 200 or so stocks a year (not even counting the short side) on one strategy.
In essence I'm looking for the same win percentage, just with less stocks to play.

On the Long side I played with the filter a bit, bumping the volume to 500,000 and screening for stocks between $5 and $10. The results were very similar results to your filter, just scaled down across the board (stock plays and $ return). By my count, done in 4 month increments dating back to 2002 there were only 4 losing (4 month) stretches. The rest were green.

One possible downside is you have to have patience. A few 4 month increments had only single-digit stocks to play on the Long side. But the winning percentage was in line with my backtest on your original filter.

What does this mean? Who knows...but it might mean that you don't need to pick and choose off the filter in your other Connors thread. It might means that simply narrowing this filter might do the job. I'll be working on this for the next week at least since I think it has real possibilities. If anyone has thoughts on how to possible improve the winning percentage and can code it for me I'll be happy to backtest it during the day. It's better than staring at my monitors watching my long positions get beaten to a pulp....

Next up I'll test the 5/10/500,000 short side.....




Kevin_in_GA
4,536 posts
msg #94605
Ignore Kevin_in_GA
7/6/2010 11:18:08 PM

This strategy has some appeal to me in that you are always balancing long and short positions, and that you can usually find good candidates almost every day. I think a logical improvement to this is to set profit targets and stop losses (e.g. set at 1.5 ATR(10) for stops and 3 ATR(10) for profit) to make these trades semi-automatic. If your trade is moving in the right direction, then stop losses should not be triggered all that often.

Kevin_in_GA
4,536 posts
msg #94607
Ignore Kevin_in_GA
7/6/2010 11:19:22 PM

Bman:

Yes, I simply replaced the "etf" part with the following criteria:

close above 1
average volume(50) above 500000

jhar3
23 posts
msg #94610
Ignore jhar3
7/7/2010 7:46:23 AM

kevin, thank you for this thread,I have read l.c. book also,and I was wondering, why not use front month, at the money or int the money options, I am starting to paper trade with this concept in mind, any feedback would be great, again thanks and keep posting your results.

wkloss
230 posts
msg #94625
Ignore wkloss
7/7/2010 6:42:35 PM

jhar3

I share your interest in options but wonder if front month is a good idea. My concern is the speed of time decay. If you are using options as a stock substitute, you probably want to go 1 to 2 strikes in the money to limit time premium and get an option that moves a lot like the stock does. One options guru suggests paying no more than 33% of your purchase price for time premium. He likes going up to 3 months out.

I look forward to what Kevin has to say too.

Bill



Kevin_in_GA
4,536 posts
msg #94667
Ignore Kevin_in_GA
7/9/2010 8:33:07 PM

I would personally avoid options unless you really know what you are doing. This filter is designed for catching stock movements, which are not always like options movement.

My suggestion is to use filters as they are intended to be used - in this case on STOCKS. If the filter is working on stocks, many people immediately think to use it on options. Well, it has not been developed or tested on options. Should it work? Yes. Will it work? I don't know ...

If you want to do so, go ahead and keep a running post on how well you do, why you entered or exited at a certain point - teach others as a way of giving back if someone else's efforts helped you first.



Kevin_in_GA
4,536 posts
msg #94668
Ignore Kevin_in_GA
7/9/2010 9:04:32 PM

7/9/2010 Update:

Long trades:

SHW (Sherwin-Williams Co) - bought 95 shares on 6/30 at 70.06 ($6605.70). Closed today at 72.23 (up 3.10% for a gain of $206.15)

PNRA (Panera Bread Co.) bought 88 shares on 6/30 at 75.23 ($6620.64). Closed today at 76.06 (up 1.1% for a gain of $73.04)

RCI (Rogers Communications) - bought 201 shares on 6/30 at 33.15 ($6663.15). Closed today at 34.14 (up 2.99% for a gain of $198.99)


Short trades:

GAME (Shanda Games) shorted 1128 shares on 6/30 at 5.91 ($6666.48). Closed today at 6.00 (down 1.52% for a loss of $101.52)

BJ (BJ's Wholesale Club) shorted 153 shares on 7/6 at 43.79 ($6699.87). Closed today at 44.41 (dow 1.42% for a loss of $94.86).

BWEN (Broadwind Energy) shorted 2323 shares on 7/2 at 2.87 ($6667.01). I covered BWEN yesterday at 3.21(down 11.85% for a loss of $790.03).

Replaced with

HAL (Haliburton) shorted 237 shares on 7/8 at 28.16 ($6673.92). Closed today at 28.64 (down 1.70% for a loss of $113.76).


Cumulative net gain of $1267.40 or 3.17% since 6/28/2010 (6 days).

Shorts got killed all week. Net loss of almost half of last week's profit, almost entirely from BWEN. On the plus side, the other set of trades I listed for this week played out quite well, netting $1842.88 or 4.6%.

Need to put profit and stop losses into this system to protect profit. I have an idea on this ...

optionplayer333
801 posts
msg #94679
Ignore optionplayer333
7/10/2010 1:14:33 PM

kevin if your serious about making big time money on options then call me today at 321-453-5363- we will get you to down loaded teamviewer 5 for free and with in 10 minutes of getting on the phone withme you will be able to see my computer screen and i will show you my trades and exactly how to trade for big amounts of money-its your coice guys- just to give you an idea- here are the stocks that i gave as recos on 7-2 where the daily rsi-2 was <10 and the profit indicator was >10-- all winnersw for an average gain of 11%-what do you think that means in option playing -lot of 50-500% gains

optionplayer333
801 posts
msg #94682
Ignore optionplayer333
7/10/2010 2:48:02 PM

kevin you need to know what to trade- your playing some really slow stocks- here is the list of stock my wife bought the 2 of july at the market bottom
Action Symbol Description QTY Price Paid Last Price Change MKT Value Profit Loss % Post
Sell JA SOLAR HOLDINGS CO LTD JASO JA SOLAR HOLDINGS CO LTD 2,000 $4.73 $6.16 $0.35 $12,320.00 $2,860.00 30.23%
Sell TRINA SOLAR LIMITED TSL TRINA SOLAR LIMITED 500 $17.73 $21.11 $0.15 $10,555.00 $1,690.00 19.06%
Sell ASSURED GUARANTY LTD AGO ASSURED GUARANTY LTD 500 $13.68 $15.68 $0.73 $7,840.00 $1,000.00 14.62%
Sell STEC INC STEC STEC INC 800 $12.96 $14.75 $0.65 $11,800.00 $1,435.00 13.84%
Sell GAFISA S.A GFA GAFISA S.A 500 $12.30 $13.69 $0.09 $6,845.00 $695.00 11.30%
Cover DIREX DLY FINANCIAL BEAR 3X FAZ DIREX DLY FINANCIAL BEAR 3X -500 $16.64 $14.79 -$0.74 $7,395.00 $925.00 11.12%
Sell DIREX DLY FINAN BULL 3X FAS DIREX DLY FINAN BULL 3X 500 $20.02 $22.05 $1.01 $11,024.50 $1,014.50 10.13%
Sell FOCUS MEDIA HLDGS LTD FMCN FOCUS MEDIA HLDGS LTD 700 $15.73 $17.06 $0.54 $11,942.00 $931.00 8.46%
Sell CIRRUS LOGIC INC CRUS CIRRUS LOGIC INC 733 $16.40 $17.64 $0.23 $12,930.12 $906.93 7.54%
here stock in 4 trading days went from 8-30% for an average--of 23% just use my profit indciator in all your filters set{profit,weekly atr(6)/weekly ma(6)} and add column profit-its that easy- this is how i know what stock to play- lets show you how accurate this is-- we will take all the optionable stocks with >500000 30 day average volume close above 1$ and rsi(2) <10- then we will do a study to show how effective the profit indicator is-we will go in increments of 5----------------so the first filter it will be 0-5 ---------------------------------------------------------------------------------------------------------------------------------------------Performance results for your filter covering the dates:
Friday July 2, 2010 to Friday July 9, 2010

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +0.40% 19 (+0.89%) 12 (-0.36%)
0 +0.10% +0.59%
2 Days +2.44% 29 (+2.66%) 2 (-0.87%)
0 +3.24% +3.43%
3 Days +3.12% 29 (+3.37%) 2 (-0.44%)
0 +4.00% +4.67%
4 Days +3.30% 28 (+3.71%) 3 (-0.45%)
0 +5.00% +5.28%
Current +3.30% 28 (+3.71%) 3 (-0.45%)
0 +5.00% +5.28%
31 matching stocks

we have 28 winners and 3 losers up an average of +3.71%------------------------------------------------------------------------------------------------------------------------------now we use profit------ 5 to 10-------------------------------------------------------------------------------------------Performance results for your filter covering the dates:
Friday July 2, 2010 to Friday July 9, 2010

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day -0.06% 176 (+1.01%) 148 (-1.32%)
2 +0.10% +0.59%
2 Days +3.53% 307 (+3.83%) 17 (-1.57%)
2 +3.24% +3.43%
3 Days +4.67% 313 (+4.94%) 12 (-1.92%)
1 +4.00% +4.67%
4 Days +5.90% 320 (+6.04%) 6 (-1.67%)
0 +5.00% +5.28%
Current +5.90% 320 (+6.04%) 6 (-1.67%)
0 +5.00% +5.28%
326 matching stocks

now we have 320 winners up an average of +6.04% and 6 losers------------------------------------------------------------------------------------------------------------------now profit---- 10-15------------------------------------------------------------------------------------------------------------Performance results for your filter covering the dates:
Friday July 2, 2010 to Friday July 9, 2010

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day -1.22% 57 (+1.47%) 119 (-2.55%)
4 +0.10% +0.59%
2 Days +3.74% 167 (+4.43%) 12 (-5.57%)
1 +3.24% +3.43%
3 Days +5.36% 169 (+6.00%) 10 (-4.98%)
1 +4.00% +4.67%
4 Days +7.72% 177 (+8.11%) 3 (-15.18%)
0 +5.00% +5.28%
Current +7.72% 177 (+8.11%) 3 (-15.18%)
0 +5.00% +5.28%
180 matching stocks

now we have 177 winners up an average of +8.11% and 3 losers--------------------------------------------------------------------------------------------------------------------now profit---- 15-20------------------------------------------------------------------------------------------------------------Performance results for your filter covering the dates:
Friday July 2, 2010 to Friday July 9, 2010

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day -1.66% 8 (+0.81%) 25 (-2.45%)
0 +0.10% +0.59%
2 Days +4.59% 30 (+5.54%) 3 (-4.93%)
0 +3.24% +3.43%
3 Days +7.67% 30 (+8.59%) 1 (-4.46%)
2 +4.00% +4.67%
4 Days +11.35% 32 (+11.76%) 1 (-1.94%)
0 +5.00% +5.28%
Current +11.35% 32 (+11.76%) 1 (-1.94%)
0 +5.00% +5.28%
33 matching stocks

now we have 32 winners up an average of +11.76% and 1 loser-------------------------------------------------------------------------------------------------------------------now we do profit ----------20-25--------------------------------------------------------------------------------------------Performance results for your filter covering the dates:
Friday July 2, 2010 to Friday July 9, 2010

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day -0.58% 0 (n/a) 1 (-0.58%)
0 +0.10% +0.59%
2 Days +10.82% 1 (+10.82%) 0 (n/a)
0 +3.24% +3.43%
3 Days +15.94% 1 (+15.94%) 0 (n/a)
0 +4.00% +4.67%
4 Days +19.88% 1 (+19.88%) 0 (n/a)
0 +5.00% +5.28%
Current +19.88% 1 (+19.88%) 0 (n/a)
0 +5.00% +5.28%
1 matching stocks

now we have 1 winner up 19.88% and no losers- actually the way it works is thehigher the volume and profit and the lower the rsi-2 the more money you will make--------------------here is a quick back test from 7-2 to 7-9 using profit 10-20------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------it gives you 100% winner with a roe of 2500%------general option filter 7/10/2010 7/2/2010 7/9/2010 100% 0% 0.00:1 0.00 2577.29% delete copy


optionplayer333
801 posts
msg #94683
Ignore optionplayer333
7/10/2010 3:39:07 PM

if your trading options or stock you should only trade faz and fas since they move an average of 18% every week of the year---just be long in one at all times--just playing the daily rsi-2 bottoms on faz and faz here is what you got since 5-28-2010-- faz 14-18.5 (32% gain) fas 19-25(32% gain) faz 13.50 to 19(41%) and fas off the 7-2 bottom 18-22 so far(22%)- so if you started with 5000$ on the first faz trade and you put all you winnings back into the next trade you would of ended up in 5 week with 15000$ or up 200% in 5 weeks of trading-this is by far the easiest and safest way to play a 401k account or you regular account-- and if you played the options you would be up >25000%- nice thing about rimm bidu fas and faz options they are usually 25-50% under priced-- to calculate this just go to schaeffersresearch.com under options and scroll down to ther option calculator near the bottom on the left hand side of your screen-- lets look at rimms 52.50 and 55 calls ar last thur close--rimm closed at 49.46 on 7-8-2010 50 july calls were 0.92 52.5 calls were 0.24 55 s were 0.06---Expiration Month Expiration Year Strike Price Option Type Implied Volatility Market Price Calculated Price
July 2010 50 CALL 45.993------- 0.92 ---1.1579 --0.92/1.16=21% under priced----------------Expiration Month Expiration Year Strike Price Option Type Implied Volatility Market Price Calculated Price
July 2010 52.5 CALL 45.670---- 0.24 ----0.407---0.24/0.41==under priced by 42% --------------Expiration Month Expiration Year Strike Price Option Type Implied Volatility Market Price Calculated Price
July 2010 55 CALL 48.773----------- 0.06---- 0.1107==underpriced by 57%-- so if you were very observant of rimms movement on 7-8-2010- it gapped clear up to 50.50 at the open but fill fast on big volume to 48$ but the spy didnt fall with it---sending you a red flag--so you check the option volume on ivolpro--before the close on 7-8-- you would of seen large blocks of calls bought above the close- with an extremely bullish bias- with the calls 56% at the ask and 25% at the bid and the puts 555 at the bid and 27% at the ask- so my wife got 300 contracts of the 50-55 july calls at 1550 on 7-8-2010--here is what she did she sold the 50 s for 3.90 the 52.5 s for 1.70 and the 55 s for 0.62 so thats--- 55-- 0.6-0.62 -- 52.5--0.24 to 1.70 and 50 s 0.92 to 3.90-- you willlo notice that the farther your out of the money the more money you make-- on bidu also on 7-08 it gapped to 73.95 then fill fast below 72 while the spy didnt hardly fall at all(it usually go in exact step with the spy- so that told me the goog rumor that it was goinmg to be able to renew its thing with china was going to happen soon- so when bidu got near it high in the after noon near 72.50 i got the 70 puts-didnt go to far out because bidu is notorious for fast moves off its bottoms- they gapped down to as low as 66$ in premarket(anytime you have a great stock like bidu gap down that much you want to buy it at 0800 as soon as you can) any way at 0800 it was about 67$(you bought the stock here) it went to as high as 71.50--you want to go to nasdaq.com and check the premarket action starting at 0800 and look for any big gap down ona strong stock-- last month crm gap from 83-73$ and by 0800 it was in a strong move up at 74$-you can start tracking this live on advfn.com with you 10$ per month to have it live-any way i got into it at about 75$ because the4 buy vol was much high than the sell volume-- by the end of the day it closed >83$ and within a week it almost went to 100$








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