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StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 4 5 6 7 8 ... 22 >>Post Follow-up
cath_campbell
5 posts
msg #94728
Ignore cath_campbell
7/12/2010 3:04:06 PM

Hey Kevin,

Nice filter... Your short plays worked out amazing today! I'm impressed... Quick question, how do you get the Connors' number (ie 5/6 or 6/6)?

thanks for all your posts!


Kevin_in_GA
4,557 posts
msg #94731
Ignore Kevin_in_GA
7/12/2010 6:23:25 PM

Sure - here are the two filters that I am currently using:

COMPOSITE LONG FILTER

Fetcher[

CLOSE ABOVE 1
AVERAGE VOLUME(50) ABOVE 500000
OPTIONABLE

SET{LONG1, COUNT(CLOSE ABOVE MA(200),1)}
SET{LONG2, COUNT(CLOSE BELOW MA(5),1)}
SET{LONG12, LONG1 * LONG2}


SET{1A_1, COUNT(HIGH DECREASING FOR 3 DAYS,1)}
SET{1A_2, COUNT(LOW DECREASING FOR 3 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 * LONG1}


SET{3A_1, COUNT(RSI(2) DECREASING FOR 3 DAYS,1)}
SET{3A_2, COUNT(RSI(2) 3 DAYS AGO BELOW 60,1)}
SET{3A_3, COUNT(RSI(2) BELOW 10,1)}
SET{3A_4, 3A_1 * 3A_2}
SET{3A_5, 3A_3 * 3A_4}
SET{3A, 3A_5 * LONG1}


SET{4A_1, COUNT(BOLLINGER %B(20,2) 2 DAYS AGO BELOW 0.2,1)}
SET{4A_2, COUNT(BOLLINGER %B(20,2) 1 DAY AGO BELOW 0.2,1)}
SET{4A_3, COUNT(BOLLINGER %B(20,2) BELOW 0.2,1)}
SET{4A_4, 4A_1 * 4A_2}
SET{4A_5, 4A_3 * 4A_4}
SET{4A, 4A_5 * LONG1}


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(CLOSE IS ABOVE LOWER BOLLINGER BANDS(16,2.5),1)}
SET{7A2, COUNT(CLOSE 1 DAY AGO IS BELOW LOWER BOLLINGER BANDS(16,2.5) 1 DAY AGO,1)}
SET{7A3, COUNT(CLOSE IS ABOVE MA(200),1)}
SET{7A4, COUNT(CLOSE IS ABOVE OPEN,1)}
SET{7A12, 7A1 * 7A2}
SET{7A34, 7A3 * 7A4}
SET{7A, 7A12 * 7A34}


SET{8A1, COUNT(BOLLINGER %B(20,2) BELOW 0.01,1)}
SET{8A, 8A1 * LONG12}


SET{9A1, COUNT(RSI(2) BELOW 1,1)}
SET{9A, 9A1 * 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{C6, C5 + 7A}
SET{C7, C6 + 8A}
SET{C8, C7 + 9A}

SET{COMPOSITE, C8 + 10A}

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

set{stoploss, close - atr(10)}
set{profittarget, CLOSE + atr(10)}
set{profit1, profittarget / close}
set{profit2, profit1 - 1}
set{profit, profit2 * 100}

COMPOSITE ABOVE 1

ADD COLUMN COMPOSITE

ADD COLUMN C5 {CONNORS SCORE}
ADD COLUMN KPMSCORE {KPM SCORE}
ADD COLUMN 7A {BB(16,2.5)}
add column bollinger %B(20,2) {%B}
add column RSI(2)
ADD COLUMN ZSCORE10 {Z-SCORE}
add column stoploss {stop loss}
ADD COLUMN PROFITTARGET{PROFIT TARGET}
add column profit {profit %}
ADD COLUMN ATR(10)

SORT ON COLUMN 5 DESCENDING

DRAW MA(200)
DRAW MA(10)
DRAW ZSCORE10 LINE AT -2
draw Bollinger bands(20,2)
draw bollinger bands(16,2.5)
]




COMPOSITE SHORT FILTER

Fetcher[

CLOSE ABOVE 1
AVERAGE VOLUME(50) ABOVE 500000
OPTIONABLE

SET{SHORT1, COUNT(CLOSE BELOW MA(200),1)}
SET{SHORT2, COUNT(CLOSE ABOVE MA(5),1)}
SET{SHORT12, SHORT1 * SHORT2}


SET{1B_1, COUNT(HIGH INCREASING FOR 3 DAYS,1)}
SET{1B_2, COUNT(LOW INCREASING FOR 3 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 * SHORT1}


SET{3B_1, COUNT(RSI(2) INCREASING FOR 3 DAYS,1)}
SET{3B_2, COUNT(RSI(2) 3 DAYS AGO ABOVE 40,1)}
SET{3B_3, COUNT(RSI(2) ABOVE 90,1)}
SET{3B_4, 3B_1 * 3B_2}
SET{3B_5, 3B_3 * 3B_4}
SET{3B, 3B_5 * SHORT1}


SET{4B_1, COUNT(BOLLINGER %B(20,2) 2 DAYS AGO ABOVE 0.8,1)}
SET{4B_2, COUNT(BOLLINGER %B(20,2) 1 DAY AGO ABOVE 0.8,1)}
SET{4B_3, COUNT(BOLLINGER %B(20,2) ABOVE 0.8,1)}
SET{4B_4, 4B_1 * 4B_2}
SET{4B_5, 4B_3 * 4B_4}
SET{4B, 4B_5 * SHORT1}


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(CLOSE IS BELOW UPPER BOLLINGER BANDS(16,2.5),1)}
SET{7b2, COUNT(CLOSE 1 DAY AGO IS ABOVE UPPER BOLLINGER BANDS(16,2.5) 1 DAY AGO,1)}
SET{7B3, 7b1 * 7b2}
SET{7B, 7B3 * SHORT12}


SET{8B1, COUNT(BOLLINGER %B(20,2) ABOVE 0.99,1)}
SET{8B, 8B1 * SHORT12}


SET{9B1, COUNT(RSI(2) ABOVE 99,1)}
SET{9B, 9B1 * 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 2,1)}
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{C6, C5 + 7B}
SET{C7, C6 + 8B}
SET{C8, C7 + 9B}

SET{COMPOSITE, C8 + 10B}

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

set{sd, cstddev(close,20)}
set{stoploss, close + atr(10)}
set{profittarget, CLOSE - atr(10)}
set{profit1, profittarget / close}
set{profit2, 1 - profit1}
set{profit, profit2 * 100}

COMPOSITE ABOVE 1

ADD COLUMN COMPOSITE
ADD COLUMN C5 {CONNORS SCORE}
ADD COLUMN KPMSCORE {KPM SCORE}
ADD COLUMN 7B {BB(16,2.5)}
ADD COLUMN BOLLINGER %B(20,2) {%B}
ADD COLUMN RSI(2)
ADD COLUMN ZSCORE10 {Z-SCORE}
ADD COLUMN STOPLOSS {STOP LOSS}
ADD COLUMN PROFITTARGET{PROFIT TARGET}
add column profit {profit %}
ADD COLUMN ATR(10)

SORT ON COLUMN 5 DESCENDING

DRAW MA(200)
DRAW ZSCORE10 LINE AT 2
DRAW MA(10)
DRAW BOLLINGER BANDS(20,2)
DRAW BOLLINGER BANDS(16,2.5)

]




When you run these filters, the stocks with the highest composite score are at the top, ranked in descending order. I usually am OK trading any composite 8 or 9, but look at each of the other criteria (RSI(2), Bollinger %B, Z-score, and the somewhat rare BB(16,2.5) signal) for some added assurance before pulling any triggers.

You usually only have to review the top 5-10 from each filter to find good long/short candidates.

Kevin_in_GA
4,557 posts
msg #94733
Ignore Kevin_in_GA
7/12/2010 7:54:29 PM

Update:

Long Plays

ID - scored 3/6 on the Connors filters, and has moved more than 2 SD from its usual relationship with the SPY.
In on the open at 7.72, stop loss at 7.38 and profit target at 8.09 (set at open price +/- 1 ATR(10)).
Closed at 7.51, for a loss of 2.72%


FDO - scored 2/6 on the Connors filters, and closed below the lower BB(20,2).
In on the open at 36.02, stop loss at 34.77 and profit target at 37.25 (set at open price +/- 1 ATR(10)).
Closed at 36.11, for a gain of 0.25%


ORLY - scored 4/6 on the Connors filters.
In on the open at 46.11, stop loss at 45.01 and profit target at 47.21 (set at open price +/- 1 ATR(10)).
Closed at 46.19, for a gain of 0.17%


FCN - closed below the lower BB(20,2). My concern here is that this stock is currently below its MA(200), so no hits on the Connors filters.
In on the open at 32.69, stop loss at 30.88 and profit target at 34.50 (set at open price +/- 1 ATR(10)).
Closed at 32.61, for a loss of 0.24%


RGS - closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY. Again a concern here is that this stock is currently below its MA(200), so no hits on the Connors filters.
In on the open at 13.78, stop loss at 13.05 and profit target at 14.50 (set at open price +/- 1 ATR(10)).
Closed at 13.58, for a loss of 1.45%




Short Plays

STEC - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
In on the open at 15.36, stop loss at 15.98 and profit target at 14.75 (set at open price +/- 1 ATR(10)).
PROFIT TARGET HIT. Covered at 14.75, for a gain of 3.97%


STP - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
In on the open at 10.97, stop loss at 11.56 and profit target at 10.39 (set at open price +/- 1 ATR(10)).
PROFIT TARGET HIT. Covered at 10.36, for a gain of 5.56%


AGU - Scored 5/6 on Conners filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
In on the open at 58.39, stop loss at 60.25 and profit target at 56.53 (set at open price +/- 1 ATR(10)).
PROFIT TARGET HIT. Covered at 56.53, for a gain of 3.18%


PM - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and gave a BB(16,2.5) SELL signal.
In on the open at 48.57, stop loss at 49.50 and profit target at 47.63 (set at open price +/- 1 ATR(10)).
Closed at 48.84, for a loss of 0.56%


HAFC - Scored 5/6 on the Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
In on the open at 1.64, stop loss at 1.78 and profit target at 1.50 (set at open price +/- 1 ATR(10)).
PROFIT TARGET HIT. Covered at 1.51, for a gain of 7.92%



Kevin_in_GA
4,557 posts
msg #94734
Ignore Kevin_in_GA
7/12/2010 8:39:33 PM

New Short Plays to Replace Today's Closed Trades

EEFT - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.

APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99.

NRF - Scored 5/6 on Conners filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.

BP - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99.

misfithab
6 posts
msg #94739
Ignore misfithab
7/12/2010 10:47:36 PM

OK so resuming my last post I figured out the moving average exit and was able to backtest a filter that picked 71% winners by my count...here is the last filter I tested....

Close is above MA(200)
Close is below MA(10)
Close is above 5
close is below 50
where close is near lower bollinger band(20)
Average volume(50) above 500,000
where Fast Stochastic(5,3) Fast %K is below 10
where Slow Stochastic(5,3) Slow %D is below 10

RSI(2) 1 day ago below 2
RSI(2) below 1

where ^DJI above MA (10)

I tried to skew every possible way I knew how to scan for stocks ready to bounce (stochastics, BB, RSI from the Connors filter etc) plus tried to build in a movie average exit so if the market tanked it wouldn't crush the chosen stocks too badly...besides the two exits Kevin listed in his original post I added a third exit (when DJI went below MA (30)...

Since 2002 this filter has only yielded 266 (!) picks to the long side with 190 winners...meaning you could go months without getting a hit on this filter...but your odds of success if you do are over 70% so to make this worthwhile at all you need to bet large when the filter gets a hit...

I've tested the long side a lot more than the short side but so far I don't see and relationship between the long and short trades....meaning the bad periods on the long side didn't necessarily mean that the short side saw any benefit...but that's just my take quick take...

If anyone can offer improvements I'd be happy to test them out...


misfithab
6 posts
msg #94743
Ignore misfithab
7/13/2010 2:50:19 AM

Obviously my last post was based on your original filter at the start of the thread Kevin, and I see you've moved well past that...

One question, does your filter take into account gaps (up/down?)...meaning if ABC closed at 50.00 and the filter gave you a buy signal but it gaps up to 51.00 the next day does that affect entry...stop...profit target...etc

Thanks

jhar3
23 posts
msg #94745
Ignore jhar3
7/13/2010 7:49:18 AM

kevin, great thread,I find this so informative. on the web site,tradingmarkets.com on the right side of the blue toolbar, look under free tools, then open rsi solver, this will show stock prices with rsi levels so you can set your stops. the stock scanner is also a great tool.

Kevin_in_GA
4,557 posts
msg #94746
Ignore Kevin_in_GA
7/13/2010 9:07:30 AM

One question, does your filter take into account gaps (up/down?)...meaning if ABC closed at 50.00 and the filter gave you a buy signal but it gaps up to 51.00 the next day does that affect entry...stop...profit target...etc
+++++++++++

Not really. All of the stock selection is based on the prior day's action. I am currently experimenting (for lack of a better word) with using the ATR(10) as the stop loss and profit stop settings. In essence, wherever the stock opens in the morning, just add 1 ATR(10) to that price for your profit target (for longs, and for shorts this becomes the stop loss).

In all likelihood I will be exiting from many trades earlier than I should, since some of these setups have played out very well over a few days time span. However, locking in a decent profit (3-7%) over a short window and then moving on to the next good setup works as well.

Normally, one would set their stops and targets to have a high reward/risk ratio - here it is deliberately set at 1.0. The underlying thinking here is that these trades are statistically very likely to mean-revert, and often have just closed outside of the Bollinger Bands. So while the reward/risk is set at 1.0 the likelihood of the profit target being hit is much higher than the likelihood of getting stopped out (I hope).

Again, this is a work in progress.

Kevin_in_GA
4,557 posts
msg #94747
Ignore Kevin_in_GA
7/13/2010 9:08:09 AM

kevin, great thread,I find this so informative. on the web site,tradingmarkets.com on the right side of the blue toolbar, look under free tools, then open rsi solver, this will show stock prices with rsi levels so you can set your stops. the stock scanner is also a great tool.
+++++

Thanks. I'll take a look at this.

Kevin_in_GA
4,557 posts
msg #94748
Ignore Kevin_in_GA
7/13/2010 10:04:10 AM

New Short Plays - Entries and Proposed Exits

EEFT - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
In on the open at 14.94, stop loss at 15.37 and profit target at 14.51 (set at open price +/- 1 ATR(10)).

APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99.
In on the open at 47.59, stop loss at 49.64 and profit target at 45.54 (set at open price +/- 1 ATR(10)).

NRF - Scored 5/6 on Conners filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY.
In on the open at 3.10, stop loss at 3.21 and profit target at 2.99 (set at open price +/- 1 ATR(10)).

BP - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99.
In on the open at 37.71, stop loss at 39.34 and profit target at 36.08 (set at open price +/- 1 ATR(10)).

StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 ... 4 5 6 7 8 ... 22 >>Post Follow-up

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