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mmaurice
51 posts
msg #104718
Ignore mmaurice
1/30/2012 9:49:23 AM

For the long system I show
CPHD
PPO
HW
ISTA
PNX
ENZ
PVA

confirm?

mahkoh
891 posts
msg #104720
Ignore mahkoh
modified
1/30/2012 9:57:24 AM

Confirmed, PVA and PNC have lowest gapfill% so they drop from the list.

Gapups: TLB, CYTX, MNKD, GTXI (all already filled) and MNTA

Edit: GTXI obviously hasn't filled that 22.08 % gap yet..

Kevin_in_GA
4,548 posts
msg #104732
Ignore Kevin_in_GA
modified
1/30/2012 3:07:30 PM

Guys:

I just realized something that is fairly important - in my long and short filters at the start of this thread, they are missing a specific gap criterion from the original filter, and one that is present in the backtests. That is, that the open must be BELOW the previous week's high for the Gap Up, or ABOVE the previous week's low for the Gap Down.

I noticed this after Mahkoh's post about GTXI's 22% gap up. I immediately realized that this was NOT to be traded since it violated that rule, then noticed it was not in the new filter syntax.

This has been corrected for all filters I posted in this thread as of lunch today.

The result of this is that the list of candidate stocks is smaller for both filters, and rank ordered differently. This of course changes the trades one would consider. My apologies - hopefully people listened to my comments on page 3 about waiting to trade this until the open price issue was resolved.

I will update the sharedlists as soon as SF let's me (I've tried several times but not had any luck so far ).

EDIT: Sharedlists are now updated with the correct selections.

Kevin

Kevin_in_GA
4,548 posts
msg #104746
Ignore Kevin_in_GA
modified
1/31/2012 10:53:12 AM

Here are the gap up and gap down review filters - again I am concerned about the SF open price info, in that when I ran the gap down filter yesterday I had three hits, and as of this morning I only have two.

This is a real issue if not resolved - the filter and strategy work, but only if the open price data is accurate.

Here is the gap Down review filter:

Fetcher[

apply to sharedlist(Monday_gap_down)

/*FIRST, SET KEY VARIABLES*/
set{horizontal1, weekly close 1 week ago}
set{horizontal, horizontal1*0.98}
set{trigger, close *0.98}
set{open1, weekly open}
set{prevlow, weekly low 1 week ago}

/*SECOND, DETERMINE IF A GAP DOWN OCCURS, AND IF IT WAS SUBSEQUENTLY FILLED*/
set{gapdown1, count(weekly open below horizontal,1)}
set{gapdown2, count(weekly open above weekly low 1 week ago,1)}
set{gapdown, gapdown1 * gapdown2}
set{stats, count(weekly high above horizontal1, 1)}
set{gapfill, gapdown * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS DOWN THAT WERE FILLED OVER THE LAST 80 WEEKS*/
set{gapdown80, count(gapdown above 0.5,80)}
set{gapfill80, count(gapfill above 0.5,80)}
set{pct_gapfill, gapfill80 / gapdown80}


/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column gapdown80 {Gaps down}
add column gapfill80 {gaps filled}
add column pct_gapfill {% of gaps filled}

set{trigger1, weekly close 1 week ago}
set{trigger2, trigger1 * 0.98}
set{gapfilled, count(weekly high above trigger1,1)}

/*IF GAP IS FILLED, PROFIT IS ...*/
set{gapprof1, trigger1 - weekly open}
set{gapprof2, gapprof1 / weekly open}
set{gapprof, gapprof2 * 100}

/*IF GAP IS NOT FILLED, PROFIT OR LOSS IS ...*/
set{profit1, close - weekly open}
set{profit2, profit1 / weekly open}
set{profit, profit2 *100}

weekly open below trigger2
weekly open above weekly low 1 week ago
add column pct_gapfill {% gaps filled}
add column gapfilled
add column gapprof {profit if gap filled}
add column profit {profit if gap not filled}

Chart-display is weekly

]



and the Gap Up review filter:

Fetcher[

apply to sharedlist(Monday_gap_up)

/*FIRST, SET KEY VARIABLES*/
set{horizontal1, weekly close 1 week ago}
set{horizontal, horizontal1*1.02}
set{trigger, close *1.02}
set{open1, weekly open}

/*SECOND, DETERMINE IF A GAP UP OCCURS, AND IF IT WAS SUBSEQUENTLY FILLED*/
set{gapup1, count(weekly open above horizontal,1)}
set{gapup2, count(weekly open below weekly high 1 week ago, 1)}
set{gapup, gapup1 * gapup2}
set{stats, count(weekly low below horizontal1, 1)}
set{gapfill, gapup * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS UP THAT WERE FILLED OVER THE LAST 80 WEEKS*/
set{gapup80, count(gapup above 0.5,80)}
set{gapfill80, count(gapfill above 0.5,80)}
set{pct_gapfill, gapfill80 / gapup80}


/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column gapup80 {Gaps up}
add column gapfill80 {gaps filled}
add column pct_gapfill {% of gaps filled}

set{trigger1, weekly close 1 week ago}
set{trigger2, trigger1 * 1.02}
set{gapfilled, count(weekly low below trigger1,1)}

/*IF GAP IS FILLED, PROFIT IS ...*/
set{gapprof1,weekly open - trigger1}
set{gapprof2, gapprof1 / weekly open}
set{gapprof, gapprof2 * 100}

/*IF GAP IS NOT FILLED, PROFIT OR LOSS IS ...*/
set{profit1, weekly open - close}
set{profit2, profit1 / weekly open}
set{profit, profit2 *100}
weekly open above trigger2
weekly open below weekly high 1 week ago
add column pct_gapfill {% gaps filled}
add column gapfilled
add column gapprof {profit if gap filled}
add column profit {profit if gap not filled}

Chart-display is weekly
]



Note that both gap down candidates have closed profitably, and right now 2 of the 3 gap up stocks have closed as well.

mahkoh
891 posts
msg #104749
Ignore mahkoh
1/31/2012 4:57:12 PM

Kevin, what made you decide to limit the candidates to those trading in the Russell 2000?


Kevin_in_GA
4,548 posts
msg #104750
Ignore Kevin_in_GA
1/31/2012 6:06:59 PM

Frequency and the right amount of volatility. The number of trades for the Large Caps was too few, and I wanted a larger pool of candidates.

I didn't want stocks that are thinly traded or below $2, so I avoided doing a larger screen.

mahkoh
891 posts
msg #104751
Ignore mahkoh
1/31/2012 6:35:56 PM

Agreed. But you already have a volume and price restriction built in. Does "market is Russell 2000" add more value to the candidates than a volume upgrade, e.g. average volume(30) above 400000?

Kevin_in_GA
4,548 posts
msg #104758
Ignore Kevin_in_GA
1/31/2012 11:08:31 PM

Either would work, but by restricting it to the R2K, I do not get ETFs in the mix. Leveraged ETFs offer more risk than reward IMO.

Kevin

mahkoh
891 posts
msg #104759
Ignore mahkoh
2/1/2012 7:17:00 AM

Kevin,

Adding the "open above prevlow" to the filter reduces the number of hits from 366 tot 102. I can hardly imagine that many stocks having gapped below last weeks low, could it be that the filter now disregards stocks that have EVER gapped below the low during the last 80 weeks?

Kevin_in_GA
4,548 posts
msg #104761
Ignore Kevin_in_GA
2/1/2012 8:52:59 AM

I don't think so. Stratasearch has a similar screening ability - I noticed that the number of stocks using it was about the same as what this new syntax shows.

One thing to look at as well - the number of gaps is for a given stock is significantly reduced when the "open above prevlow" is added, but the stocks are not eliminated, meaning it must be filtering as expected.

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