StockFetcher Forums · Filter Exchange · Pivot Point -14 day low<< 1 2 >>Post Follow-up
four
4,012 posts
msg #89586
Ignore four
modified
3/15/2010 1:58:54 AM

Fetcher[
CLOSE CROSSED ABOVE PP 14 DAY LOW
PP EQUALS PP 14 DAY LOW 1 DAY AGO

HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW

VOLUME > 10000
CLOSE > 1

]



-- added entry calculation -- 3/25/2010

Fetcher[
CLOSE CROSSED ABOVE PP 14 DAY LOW
PP EQUALS PP 14 DAY LOW 1 DAY AGO

HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW

VOLUME > 10000
CLOSE > 1

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy
]



March 22, 2010 - UDN was not bought and continued to fall down...

Question: anyway to backtest with the added entry calculation?

----------------- pp 28/14 ----------------
Fetcher[

CLOSE CROSSED ABOVE PP 28 DAY LOW
PP EQUALS PP 28 DAY LOW 1 DAY AGO

HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW

VOLUME > 10000
CLOSE > 1

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy
]



------------- 4/1/2010 added
Fetcher[
symlist(schb,schx,schg.schv,scha,schf,schc,sche) /*Schwab free etfs*/

CLOSE CROSSED ABOVE PP 14 DAY LOW
PP EQUALS PP 14 DAY LOW 1 DAY AGO

HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW

VOLUME > 10000
CLOSE > 1

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy
]



enderfusion
4 posts
msg #90326
Ignore enderfusion
3/25/2010 12:32:07 PM

Using a 5% stop profit/ 8% stop loss strategy, this has been quite successful. I hit 5% this week on IKAN, CHLN, DRN. Success rate is about 80% over the last few weeks.

miketranz
716 posts
msg #90359
Ignore miketranz
3/25/2010 5:13:21 PM

Any filter that returns that kind of % I'd like to know about.What time frame are you trading?Mind sharing the details,like entry,exit,ect.Thanks,Mike....

Kevin_in_GA
4,557 posts
msg #90366
Ignore Kevin_in_GA
modified
3/25/2010 7:07:01 PM

Quick backtest on this since the beginning of the year:

Test started on 12/31/2009 ended on 03/25/2010, covering 57 days
Filter used:

CLOSE CROSSED ABOVE PP 14 DAY LOW
PP EQUALS PP 14 DAY LOW 1 DAY AGO

HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW

VOLUME > 10000
CLOSE > 1

Trade Statistics
There were 129 total stocks entered. Of those, 107 or 82.95% were complete and 22 or 17.05% were open.
Of the 107 completed trades, 78 trades or 72.90% resulted in a net gain.
Your average net change for completed trades was: 1.53%.
The average draw down of your approach was: -5.16%.
The average max profit of your approach was: 5.01%
The Reward/Risk ratio for this approach is: 1.76
Annualized Return on Investment (ROI): 47.17%, the ROI of ^SPX was: 15.05%.

Exit Statistics
Stop Loss was triggered 26 times or 24.30% of the time.
Stop Profit was triggered 68 times or 63.55% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 13 times or 12.15% of the time.


HOWEVER - looking at the equity summary, you didn't do very well after almost 4 months:

Available Cash: $100676.84
Total (Cash + Market): $100676.84

You only netted 0.67% on 129 total trades, and SF's equity summary does not take commission costs into account.

four
4,012 posts
msg #90379
Ignore four
modified
3/26/2010 12:14:08 AM

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy

- add above to filter
- retest and you get ?

Thanks for the help, again


- OR -

set{var1, day point range / 5}
set{buy, min(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy

- add above to filter
- retest and you get ?

Thanks for the help, again

--

----------------- pp 28/14 ---------------- new filter posted, see first msg

enderfusion
4 posts
msg #90546
Ignore enderfusion
modified
3/29/2010 5:27:16 PM

True, I guess you have to count on a little bit of savvy to pick out the losers. The backtest equity results are because of the 10% stop loss. In reality I would examine the chart and probably call it quits around 5% if the chart was turning bearish. Overall this filter has been picking out some nice pivot plays though. Here are the ones for the last 2 weeks.

Symbol------ Buy------ Sell--------- Percent ------ Days held
DRN------ 185.24 ----- 197.31 ---- 6.51% ------ 4
CHLN ------ 3.96 ------ 4.17 ----- 5.30% -------- 5
IKAN ------- 2.54 ------ 2.95 ----- 16.14% ------- 4
DYN ------- 1.43 ------ 1.36 ----- -4.89% --------- 2
WRB ------- 25.69 ------ ---------- 1.90%
ABAT ------- 3.88 ------ ------------ 3.35%

I trade mostly at the open of the day, so prices are not quite at the stop profit limit of the backtesting. I just entered WRB and ABAT so we'll see how those do. WRB has been trending slowly up. ABAT looks good too.



enderfusion
4 posts
msg #90586
Ignore enderfusion
3/30/2010 5:02:08 PM

ABAT just hit its 5% stop profit. Another winner.

enderfusion
4 posts
msg #90650
Ignore enderfusion
4/1/2010 11:19:27 AM

GAZ up %5.

four
4,012 posts
msg #90660
Ignore four
4/1/2010 1:35:35 PM

@enderfusion

Glad you like the filter.
Have fun playing it with your style and preferences.

duke56468
683 posts
msg #90677
Ignore duke56468
modified
4/1/2010 9:23:25 PM

CLOSE CROSSED ABOVE PP 28 DAY LOW
PP EQUALS PP 28 DAY LOW 1 DAY AGO

HIGH > PP
CLOSE > PP
LOW < PP
OPEN < PP
HIGH > PP 14 DAY LOW
LOW < PP 14 DAY LOW

VOLUME > 10000
CLOSE > 1

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column var1
add column buy



Trade Statistics
There were 58 total stocks entered. Of those, 49 or 84.48% were complete and 9 or 15.52% were open.
Of the 49 completed trades, 40 trades or 81.63%resulted in a net gain.
Your average net change for completed trades was: 2.72%.
The average draw down of your approach was: -3.70%.

The average max profit of your approach was: 5.79%
The Reward/Risk ratio for this approach is: 2.85
Annualized Return on Investment (ROI): 117.36%, the ROI of ^SPX was: 15.05%.

Exit Statistics
Stop Loss was triggered 9 times or 18.37% of the time.
Stop Profit was triggered 40 times or 81.63% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $102636.02
Total (Cash + Market): $102636.02

Kevin when I run the same dates that you did with the PP 28 day, the results do seem better. I also used max 5 trades/day and max 50 positions

StockFetcher Forums · Filter Exchange · Pivot Point -14 day low<< 1 2 >>Post Follow-up

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