StockFetcher Forums · Filter Exchange · New Bearish Signal on SPY and QQQQ<< 1 2 3 >>Post Follow-up
acfncp3
59 posts
msg #91907
Ignore acfncp3
5/1/2010 2:50:19 PM

Sorry I lost who wrote this but someone wrote this great code that I have been watching, I really thank them, it has kept me in bullish trades, even though the pullbacks.


set{LRItrigger, CEMA(CEMA(LRI(7),7),7)}
set{LRIsignal, slope of CEMA(CEMA(LRI(7),7),7)}

set{BUY, count(sign(LRIsignal) above 0,1)}
set{SELL, count(sign(LRIsignal) below 0,1)}
set{trigger,0}

draw SELL on plot trigger
draw BUY on plot trigger
draw LRItrigger on plot price

draw LRIsignal line at 0
symlist(sso,spy,dia,qqqq)
chart-time is 3 months

add column BUY
add column SELL
add column ema(10)
add column ema(50)


After this long bullish signal it has finally given a sell signal on the spy on the Q's.

I was wondering if there were any really good bearish filters that people have posted in SF. Most of the posts I've followed seem to be bullish. Perhaps a Bear Flag type of filter or bouncing down from R1 type. I've mostly done bullish trades.

Thanks,

Bill





Kevin_in_GA
4,539 posts
msg #91908
Ignore Kevin_in_GA
5/1/2010 3:05:43 PM

Glad to see someone using this filter. The challenge was getting it smooth enough (since you are looking at slope changes in the LRI) but also responsive enough to get you out when you are still up a few bucks.

Try looking at the four horsemen filter as well - this is based on broad market breadth and volume signals. I also added a modified VIX signal that has been pretty good at calling buy and sell signals. Best to trade when at least two are giving a change signal (e.g., the VIX and the up/down volume).

Fetcher[

/*THE FOUR HORSEMEN - OVERALL MARKET INDICATORS*/

/*SET ADVANCING - DECLINING STOCKS ON NYSE AS A VARIABLE AND CREATE A MOVING AVERAGE OSCILLATOR*/
set{var1, ind(^advn,close)}
set{var2, ind(^decn,close)}
set{var3a, var1 - var2}
set{AD_19, CEMA(var3a,19)}
set{AD_39, CEMA(var3a,39)}
set{AD_McClellan, AD_19 - AD_39}

set{summation1, sum( AD_McClellan,2)}
set{AD_summation, CEMA(summation1,20)}
set{as12, summation1 - AD_summation}

/*SET NYSE ADVANCING VOLUME / DECLINING VOLUME RATIO AS SECOND VARIABLE AND CREATE A SIMILAR OSCILLATOR*/
set{var3,ind(^nvlu,close)}
set{var4,ind(^nvld,close)}

set{advancing_volume, sum(var3,10)}
set{declining_volume, sum(var4,10)}
set{volume_oscillator, advancing_volume / declining_volume}

/*SET NEW HIGHS - NEW LOWS AS THIRD INDICATOR*/
set{newh,ind(^hign,close)}
set{newl,ind(^lown,close)}
set{range, newh + newl}
set{newhighs_minus_newlows,newh-newl}
set{HighLow_osc, newhighs_minus_newlows / range}

/*SET SPX VIX BID / ASK RATIO AS A VARIABLE AND CREATE A 10 PERIOD EMA*/
set{VIXbid,ind(^vvvb,close)}
set{VIXask,ind(^vwa,close)}
set{VIXratio, VIXbid / VIXask}
set{trigger_line, CEMA(VIXratio,10)}

/*DEFINE VIX OSCILLATOR AROUND ZERO*/
set{VIX_oscillator, VIXratio / trigger_line}

draw AD_McClellan line at 0
draw volume_oscillator line at 1
draw newhighs_minus_newlows line at 0
draw VIX_oscillator line at 1

add column AD_McClellan {McClellan Oscillator}
add column volume_oscillator {up/down volume 10 day ratio}
add column newhighs_minus_newlows {new highs - new lows}
add column VIX_oscillator {VIX bid-to-ask oscillator}

symlist(spy)
chart-time is 6 months
]



Not surprisingly, it is giving a SELL signal right now. However, these have been more indicative of minor pullbacks over the last few months, so trade accordingly. Shorting the market this high above its 200 day, 100 day and 50 day MAs is generally not a great idea.

Kevin

chetron
2,817 posts
msg #91909
Ignore chetron
modified
5/1/2010 3:08:05 PM

KEVIN WROTE IT...


Kevin_in_GA
4,539 posts
msg #91910
Ignore Kevin_in_GA
5/1/2010 3:17:41 PM

By the way, still a BUY signal on QQQQ, as well as IWM and DIA. Of the "Big 4", only SPY is giving a SELL signal using the LRI filter right now.

Also look at the sector ETFs that comprise the SPY - only 5 of 9 are giving a SELL signal, barely a majority, which does not indicate broad support for a sell-off.

alf44
2,025 posts
msg #91922
Ignore alf44
modified
5/1/2010 8:43:25 PM


Kevin ... did you not get the memo ???

Uhhhhh ... HELLO ... the "TOP" ... is in place !!!

-----

It occurred on ...

April 26th !!!

-----

Ya might wanna write that date down !!! fwiw

(perhaps on your palm ... or, forehead ... or, something) ...

-----

Please ... try to keep up !!!


TIA :)


acfncp3
59 posts
msg #91930
Ignore acfncp3
5/2/2010 9:54:19 AM

I agree we have to be careful that this might not be a bearish trend yet. On the spy the -di is expanding above the +di but the adx is still moving down. So I won't actually try to put on bearish trades right now until the adx begins to increase.

But I was really interested in what are the better bearish filters on SF to start examining now. If anyone could provide any insight on that I'd appreciate it. Put trades are always harder for me for some reason.

Thanks,

Bill

four
3,995 posts
msg #91947
Ignore four
5/2/2010 7:04:45 PM

http://www.investopedia.com/articles/forex/08/rsi-rollercoaster.asp

Bear strategy comes after bull strategy

guymar
113 posts
msg #91960
Ignore guymar
5/3/2010 5:59:32 AM

Kevin, for the four horsemen, how do I read the signals?

Kevin_in_GA
4,539 posts
msg #91965
Ignore Kevin_in_GA
modified
5/3/2010 8:57:41 AM

When any of them cross below the threshold line, it is a signal that the market may be correcting - the most important ones seem to be the VIX bid-to-ask ratio (should be above 1 for the market to advance) and the up/down volume (market cannot advance unless there is more buying than selling, thus the ratio should remain above 1 for the market to rise).

The new highs - new lows is a longer term indicator - if it goes below 0, the market is in a correction. Notice that this has not happened except in March 2009, and it almost went negative in Early february of this year, at the bottom of the most recent dip. Same thing for the McClellan Oscillator, although it is more like a MACD for the broad market.

guymar
113 posts
msg #92043
Ignore guymar
5/4/2010 12:32:09 PM

Actually I didn't realize you built the McLellan oscillator here - did you use it as standalone strategy in the past?

StockFetcher Forums · Filter Exchange · New Bearish Signal on SPY and QQQQ<< 1 2 3 >>Post Follow-up

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