StockFetcher Forums · Filter Exchange · Mean Reversion Filter ??<< 1 2 >>Post Follow-up
hcwaustria
10 posts
msg #57479
Ignore hcwaustria
12/3/2007 8:51:45 PM

nikoschopen,
i spent some time looking at different industries and sectors for some good pair trades. i have found a few but it had to be done more on a bottom-up-approach. it was more of a trial and error to see if the +1 and -1 that i picked would be a fit for a good market neutral trade. i may be asking for much here but is there a way, as a top-down-approach, to create a filter that spits out different pairs trades that fit the criteria with +1 and -1 in standard deviation. like for example (c) was +1 and (jpm) was -1, (amr) was +1 and (dal) was -1, and so on; and from there decide which pairs trades would be good to choose. again any further input will be appreciated, thanks

nikoschopen
2,824 posts
msg #57485
Ignore nikoschopen
modified
12/3/2007 9:32:52 PM

Sorry, but I don't quite catch what you mean by "top-down-approach". If what you mean is to have the screener automatically match two stocks as a likely pair, then my answer is no. However, we could further refine the filter using other indicators like Bollinger Band that uses standard deviation in its calculation.

For example, the following filter will use the Bollinger Band crossover to screen for a likely stock pair. A value of 1 will be assigned to those stocks that have traded 2 standard deviation above their 20-day moving average BUT have recently crossed below the upper Bollinger Band. A value of -1 will be assigned to those stocks that have traded 2 standard deviation below their 20-day moving average BUT have recently crossed above the lower Bollinger Band.

Fetcher[
set{up, count(Bollinger %B(20,2.0) crossed below 1,1) * 1}
set{down, count(Bollinger %B(20,2.0) crossed above 0,1) * -1}
set{both, up + down}
set{Xover, 1 - count(both equals 0,1)}
Xover above 0
apply to Sector(FINANCIAL SERVICES)
add column both{Mean}
add column industry
sort column 6 descending
draw ma(20)
draw Bollinger Bands(20,2.0)
]


At this stage, you can drill down further by adding other technical indicators of ure choice as well as fundamental data like P/E to compare likely pair for further analysis.

I suggest that you play with my filter for it will get you up and running with the basics. However, by adding further criteria, you can go a lot further. I would be happy to assist you further should you need it.

hcwaustria
10 posts
msg #57488
Ignore hcwaustria
12/3/2007 9:48:31 PM

again thanks for your quick response.....i will try it and also may add more indicators and may come back for some more help

StockFetcher Forums · Filter Exchange · Mean Reversion Filter ??<< 1 2 >>Post Follow-up

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