StockFetcher Forums · Filter Exchange · NEW SYSTEM WITH INTEGRATED 5% STOP LOSS<< 1 2 3 4 5 >>Post Follow-up
Kevin_in_GA
4,536 posts
msg #112326
Ignore Kevin_in_GA
3/19/2013 5:42:11 PM

Frank: I feel your pain - literally in the case of ARNA since I am in that one as well. Remember that the issue with the scary drops in the Connors system is what prompted me to put THIS variation together, which limits your loss to only 1% of your trading capital on any trade (5 positions with a 5% stop loss on each = 1% at risk).

Staying in the trade until breakeven is not actually what you should do, but it is your money and your call. I doubled down on ARNA yesterday at 8.03 to get my average price at 8.36 (first position was at 8.70). Still it dropped another 5% today which really sucks. Now might be a good time to think about adding to these positions to lower your average entry price. I did and fingers crossed it will work out for me. I would consider adding more but I am in other trades and don't have enough cash right now. Hoping we both can break even on this one.

StinkiePhish
2 posts
msg #112327
Ignore StinkiePhish
3/19/2013 6:35:04 PM

I haven't had an opportunity to read the entire ConnorsRSI thread, but was it or this new filter tested without survivorship bias? I've seen promising catch-a-falling-knife strategies that looked great until I used a more complete historical database.

Kevin_in_GA
4,536 posts
msg #112328
Ignore Kevin_in_GA
3/19/2013 7:30:02 PM

There is survivorship bias here - the programs I use all rely on Yahoo data as their source, which does not have any bankrupt stocks still in it (e.g., Enron, Bear Stearns, etc.). Same with SF data, so caveat if that is an issue for you.

riverrun83716
15 posts
msg #112335
Ignore riverrun83716
3/20/2013 11:06:52 AM

I have backtested Kevins 2 filters on page 1 of the thread with a different approach on Stock Fetcher. Buy 2 stocks per day with a maximum of 6 ten thousand dollar positions. Instead of buying on a limit order--buy the close day1----hold day 2---hold day 3----sell the open day 4. Also sort the list of potential buys with Average Day Range % (5). You use no stop but have a time stop as in the positon 2 market days plus overnite holds.
To setup the back test use the folloowing: Starting cash 60,000. Exit setup-----Maimum holding days 3. Advanced options---Selection Method---select by average day range % (5) descending. Use Match Date Close---Yes (this must be yes to buy the close). Exit Price----open. Max trades per day --2. Max open positions 6.
If you do this back test click on trades and sort the Gain/Loss % column by both the gains and losses. You will see there are very high % winners and loosers. I think a key to this is sticking with the system. The tendency is to cut winners short and let the loosers run and with the magnitude of these gains and losses you will loose if you dont get the big winners.
I also question some of the Stock Fetcher data such as as buying TERX at 185.26 on 3/08/05 and selling for 1981.14 on 3/11/05. Not a lot of those but with compounding it throws the backtest way off if that is an error.
One more point--- the Average Day Range % (5) must be added to the filter along with Last ---Chg%---Volume etc.
My conclusion is this is a viable system if done in this manner but extreme discipline to follow the system is required --if you cut winners short and let loosers run it will eat you up. Also the early years in general 2002 to 2007 test better than the later years 2008 to present.
Kevin and anyone else--would appreciate comments on this.

StinkiePhish
2 posts
msg #112337
Ignore StinkiePhish
3/20/2013 11:43:43 AM

Thanks, Kevin. I appreciate the follow up and the work you put into these systems.

riverrun83716
15 posts
msg #112339
Ignore riverrun83716
3/20/2013 11:52:59 AM

One more factor on my post above. Since there is a delay in Stock Fetcher the stocks selected and you buy can change in the last 20 minutes because of this delay. Don't know how much difference this will make in actual stocks selected in real time and what the back test shows but would be a factor to some degree.

Kevin_in_GA
4,536 posts
msg #112340
Ignore Kevin_in_GA
modified
3/20/2013 12:07:45 PM

@oldsmar52:

Frank:

Just following up on our shared trade in ARNA. You likely entered on 1/22 at the limit order of 9.18. I waited and got in the next day at 8.70.

If we both had strictly followed the original Connors system rules, we would have exited at the open on 2/1 at 8.65 when the rsi(2) closed above 55. You would have been out at a 5% loss and I would have been essentially breakeven. Neither of us did what we were supposed to do, and thus any criticism of the system must also reflect our lack of actually following the system rules.

This is a common lesson I keep relearning. Follow a validated system exactly as it was developed, no deviation from the exit rules.

oldsmar52
104 posts
msg #112349
Ignore oldsmar52
3/20/2013 4:54:43 PM

For Kevin: The date you mention is probably right regarding ARNA, I got in at $9.01. To me its not worth researching when the 5% stop loss idea was brought up....may not have been mentioned prior to 1 February. I had thought this system would be great for me given the time I can be on a computer during the day. But....there are too many falling knives & then they continue to fall hard past the entry price.

Kevin_in_GA
4,536 posts
msg #112351
Ignore Kevin_in_GA
3/20/2013 7:07:13 PM

Frank - that exit would have been triggered from the original system rule "RSI(2) above 55". It was not related to the stop-loss system described here. I just want to point out that neither of us followed the actual exit rule, and that we are both slightly poorer as a result. However, I completely understand your response and have no issue with your comments. Trading involves loss as often as gain - but as humans we respond very differently to each.

oldsmar52
104 posts
msg #112357
Ignore oldsmar52
3/20/2013 9:41:46 PM

Kevin, I did look up a few things & I bought ARNA on 22 Jan @ $9.01 and it tanked. What you're saying is that I should have sold when RSI(2) got to 55, which it did a week or so later at something around $8.45 which is about a 7% loss. That wouldn't fit me at all, that would be like saying that today I bought stock XYZ at $50.00 & for whatever terrible reason it opened tomorrow at $25 & the following day its RSI(2) got to 55 at price $28.50, so I should sell. No way, I personally, would go by those rules. Thanks anyway, will keep watching for something that may fit my needs. Catching falling knives is just too dangerous as it has shown, especially in the past couple of weeks. You're losing 5% of everything you buy.

StockFetcher Forums · Filter Exchange · NEW SYSTEM WITH INTEGRATED 5% STOP LOSS<< 1 2 3 4 5 >>Post Follow-up

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