StockFetcher Forums · Filter Exchange · Middle of the Range...<< 1 2 3 4 5 ... 7 >>Post Follow-up
TheRumpledOne
6,362 posts
msg #43728
Ignore TheRumpledOne
modified
5/15/2006 1:41:49 AM

Fetcher[
/* Middle Correlation */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}

set{dd1, count(close above middle ,1) + count(close 1 day ago above middle ,1)}
set{dd2, count(close below middle ,1) + count(close 1 day ago below middle ,1)}
set{Mcorr, count( max(dd1,dd2) equal 2,100)}

/* column displays */

and add column Mcorr

and add column Middle

close above 20
volume above 1000000
avgvol(5) above 1000000
avgvol(30) above 1000000

market is nasdaq
sort by column 5 descending
]



Mcorr is how many days out of the last 100 the stock went up if the price closed above the previous day's middle and the stock went down if the price closed below the previous day's middle.

MAY ALL YOUR FILLS BE COMPLETE.



TheRumpledOne
6,362 posts
msg #43729
Ignore TheRumpledOne
5/15/2006 1:54:28 AM

Fetcher[
/* Middle Correlation */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}

set{dd1, count(close above middle ,1) + count(close 1 day ago above middle ,1)}
set{ddhc, dd1 + count(close above close 1 day ago , 1 ) }


set{dd2, count(close below middle ,1) + count(close 1 day ago below middle ,1)}
set{ddlc, dd2 + count(close below close 1 day ago , 1 ) }

set{Mcorr, count( max(ddhc,ddlc) equal 3,100)}



/* column displays */

and add column Mcorr


and add column Middle

close above 20
volume above 1000000
avgvol(5) above 1000000
avgvol(30) above 1000000

market is nasdaq
sort by column 5 descending
]



I added another criteria - the close had to be higher/lower than the previous day's. This would be what the swing trader's would look for.

What this shows it that there are stocks that give you better than a 50% chance.

That's called an "edge".






fixme1too
7 posts
msg #43746
Ignore fixme1too
5/15/2006 4:35:22 PM

hey tro is there a bug in this filter. I get this message "Your StockFetcher filter exceeds filter performance restrictions"


TheRumpledOne
6,362 posts
msg #43937
Ignore TheRumpledOne
modified
5/20/2006 9:04:26 AM

Fetcher[
/* Middle of the Range Filter Display - ENHANCED */

set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxMid
and add column CLxMid 1 day ago

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */

and close above open

and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

draw CLxMid


/* and date offset is 1 */
]



Added the white candle selection statement:

and close above open.

Remember:

When CLxMid = 3 or -3, look for a reversal.

When CLxMid = 1 or -1, look for continuation.

MAY ALL YOUR FILLS BE COMPLETE.




TheRumpledOne
6,362 posts
msg #43942
Ignore TheRumpledOne
5/20/2006 9:56:24 AM

Fetcher[
/* Middle of the Range Filter Display - ENHANCED */


set{WKMidLx1, weekly high 1 week ago + weekly low 1 week ago }
set{WKMiddle, WKMidLx1 / 2}
set{HiWKMid, weekly high - WKMiddle}
set{WKMidLo, WKMiddle - weekly low}

set{CWKMDiff, weekly close - WKMiddle}

set{xWKRange, weekly high 1 week ago - weekly low 1 week ago }

set{CWKMb,days(weekly close is above WKmiddle , 100)}
set{CWKMa,days(weekly close is below WKmiddle ,100)}
set{CLxWKMid, CWKMa - CWKMb}


set{MidLx1, high 1 day ago + low 1 day ago }
set{Middle, MidLx1 / 2}
set{HiMid, high - Middle}
set{MidLo, Middle - low}

set{CMDiff, close - Middle}

set{xRange, high 1 day ago - low 1 day ago }

set{CMb,days(close is above middle , 100)}
set{CMa,days(close is below middle ,100)}
set{CLxMid, CMa - CMb}

set{MaxCXM, CLxMid 19 week high}
set{MinCXM, CLxMid 19 week low}

set{HM100, count(HiMid above 1 , 100)}
set{ML100, count(MidLo below -1 , 100)}


set{HM050, count(HiMid above .50 , 100)}
set{ML050, count(MidLo below -.50 , 100)}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{u1, T200 * 1}
Set{u2, T60 * 10}
Set{u3, T10 * 100}

Set{uu, u1 + u2}
Set{TREND, uu + u3}

/* column displays */


and add column CLxWkMid
and add column xWKRange

and add column CLxMid
and add column CLxMid 1 day ago

and add column MaxCxM
and add column MinCxM
and add column CMDiff

and add column HM050
and add column HM100
and add column ML050
and add column ML100

and add column Middle
and add column HiMid
and add column MidLo
and add column xRange

and add column Trend

and add column industry

/* selection criteria */

and close above open

and close above 20
and xrange above 1

and volume > 1000000
and average volume(5) > 2000000
and average volume(30) > 2000000

/* sort criteria */

and sort column 5 descending

and market is nasdaq

draw CLxMid
draw CLxWkMid

/* and date offset is 1 */
]




I added weekly columns.


woodstock
10 posts
msg #43945
Ignore woodstock
5/20/2006 3:46:19 PM

Sorry but this idea does not work.
Results from filter -
price is above 5
and average volume(5) is above 500000
and Market is Nasdaq

Entry Rule - Day Position(0.51) 1 Day ago
Exit Rule - Open Next Day

As we see - our chances 50/50. We have no edge.

Approach Information
Approach Name: CrossMidPoint
Test started on 04/01/2004 ended on 03/31/2006, covering 503 days
Filter used:
CrossMidPoint (saved filter)

Trade Statistics
There were 12575 total stocks entered. Of those, 12550 or 99.80% were complete and 25 or 0.20% were open.
Of the 12550 completed trades, 6310 trades or 50.28%resulted in a net gain.
Your average net change for completed trades was: 0.06%.
The average draw down of your approach was: -1.78%.
The average max profit of your approach was: 1.91%
The Reward/Risk ratio for this approach is: 1.08
Annualized Return on Investment (ROI): 14.60%, the ROI of ^SPX was: 7.35%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 12550 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg5 day chg10 day chg
Winners:631060966123624963046237
Losers:620664336428630662616332
Win/Loss Ratio:1.02:10.95:10.95:10.99:11.01:10.98:1
Net Change:0.06%-0.04%-0.00%0.01%0.03%0.05%

Statistics By Variable: Match Price
 <20<40<60<80<100<120<140<160<180<200
Completed2756:27572517:2450775:753208:19725:2811:513:105:6--
1 day chg2640:28792446:2522750:781206:20124:309:715:86:5--
2 day chg2640:28892458:2521759:773209:19826:2813:315:83:8--
3 day chg2699:28312502:2478788:745205:20327:2713:312:113:8--
5 day chg2724:28112546:2442792:739194:21325:2911:59:143:8--
10 day chg2709:28252563:2428758:774165:24316:388:811:127:4--

Statistics By Variable: Average Volume
 <20.0M<40.0M<60.0M<80.0M<100.0M<120.0M<140.0M<160.0M<180.0M<200.0M
Completed5621:5451237:246199:252142:16076:7331:181:21:12:3-
1 day chg5446:5633224:263189:265132:17073:7528:211:21:12:3-
2 day chg5454:5642231:258187:266146:15874:7627:221:20:23:2-
3 day chg5579:5520230:259190:264143:16174:7630:191:20:22:3-
5 day chg5638:5471231:258177:278154:14971:7930:191:20:22:3-
10 day chg5569:5544237:252177:277161:14350:10040:92:11:10:5-



fixme1too
7 posts
msg #43964
Ignore fixme1too
5/21/2006 12:23:07 AM

TRO can you explain how to interpret the two new col. you added
"When CLxMid = 3 or -3, look for a reversal. When CLxMid = 1 or -1", look for continuation we now have 2 CLxMid col. does this new rule relate to each column respectively. EX when column 1, shows CLxMid= 3 or -3 would I look for reversal only if CLxMid =3 or - 3 in col. 1 does it matter which CLxMid col. I see the 3 or -3 is the question. I hope this makes sence.


TheRumpledOne
6,362 posts
msg #43975
Ignore TheRumpledOne
5/21/2006 10:29:40 AM


"TRO can you explain how to interpret the two new col. you added
"When CLxMid = 3 or -3, look for a reversal. When CLxMid = 1 or -1", look for continuation we now have 2 CLxMid col. does this new rule relate to each column respectively. EX when column 1, shows CLxMid= 3 or -3 would I look for reversal only if CLxMid =3 or - 3 in col. 1 does it matter which CLxMid col. I see the 3 or -3 is the question. I hope this makes sence."

If you are refering to the WEEKLY columns, I was thinking of Mark Crisp, who likes weekly charts.

My "rules" were for the daily because that's what I ran statistics on.

I just coded the weekly and have NOT run stats .... yet.




TheRumpledOne
6,362 posts
msg #43976
Ignore TheRumpledOne
5/21/2006 10:31:34 AM

Woodstock:

You put close above 5.

I use close above 20.

You exit open next day.

I exit intraday ( with profit ).

Just look at the value of HIGH - MIDDLE and you will see the profit potential.

HTH.


clam61
92 posts
msg #43991
Ignore clam61
5/21/2006 3:52:57 PM

TRO

I am going to use this method tommorrow

Typically, what is your profit percentage for this method?

I have about 50K in my account and usually day trade about 5K at a time for each stock. I take profit at about 2.5% or more for a quick couple hundred bucks


StockFetcher Forums · Filter Exchange · Middle of the Range...<< 1 2 3 4 5 ... 7 >>Post Follow-up

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