StockFetcher Forums · Filter Exchange · RSI Filter, my best one!<< >>Post Follow-up
judgetrade
106 posts
msg #98917
Ignore judgetrade
2/5/2011 4:12:54 AM

It does not trade very ofthen, the volatility is killing you, but it is very profitable if you have the nerves.
I would not put more then 5% of portfolio value in in trade, not more then 7500 Dollar per trade (otherwise
liquidity is not substantial). Hold for 3 Days, it fires around 45 times a year, it gives you a 75% percent of winning trades.

Show stocks where RSI(2) is below 1
price below 1
and roc (10) 4 day ago < -15%
and roc (1) one day ago < -5%
and roc (1) < -10%
close below open
and average price (2) * average volume (2) > 200000
and average price (10) * average volume (10) > 200000
where volume reached a new 2 day high
Price is above 0.1

This is my best rsi filter I ever made, it made me about 45.000 Dollars (it would have been much more,
if I would have had the nerves to trade every signal).

I publish it, because I found something that fits better my trading style at
a different plattform.

This one gives you more hits, 65% winners, hold 3 Days

Show stocks where RSI(2) is below 1
price below 1
and roc (1) one day ago < -5%
and roc (1) < -10%
close below open
and average price (2) * average volume (2) > 200000
and average price (10) * average volume (10) > 200000
where volume reached a new 2 day high
Price is above 0.1

Hav fun trading and tweaking it!

Thank you for all the support I found here for the last 6 years, I learned a ton!!!
Thank you all again.

Andreas

duke56468
683 posts
msg #98922
Ignore duke56468
2/5/2011 9:37:32 AM

judgetrade
msg #98917
Thanks for the interesting filters. Did you use any stop loss in real life?
duke

duke56468
683 posts
msg #98942
Ignore duke56468
2/7/2011 7:08:00 AM

While these filters backtest very well in all markets, its hard to see how to make money in the real market since the backtest does not take into account the spread which is wicked in the pennies often up to 40% and seldom as low as 10%. Maybe someone else has some ideas.

judgetrade
106 posts
msg #98977
Ignore judgetrade
2/9/2011 5:27:56 AM

Belive me, its tradeable, I did it.
I used a stop loss of 30% (end of day basis)

Billirider321
62 posts
msg #104610
Ignore Billirider321
1/23/2012 10:56:12 PM

I tried this and here are the stats. This can be used with 10000 dollars and 1000 dollars per trade.
Here is what I get.

Approach Information
Approach Name: RSI Filter my best one_Judgetrade
Test started on 12/31/2009 ended on 12/30/2011, covering 504 days
Filter used:
RSI Filter my best one_Judgetrade (saved filter)



Trade Statistics
There were 46 total stocks entered. Of those, 46 or 100.00% were complete and or 0.00% were open.
Of the 46 completed trades, 29 trades or 63.04%resulted in a net gain.
Your average net change for completed trades was: 14.88%.
The average draw down of your approach was: -15.52%.
The average max profit of your approach was: 31.50%
The Reward/Risk ratio for this approach is: 3.09
Annualized Return on Investment (ROI): 1224.71%, the ROI of ^SPX was: 5.70%.

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 (3 days) 46 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.



Performance
Symbol Trigger Date Entry Price Exit Date Exit Price Draw Down Max Profit Gain/
Loss 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Exit Type
AMLM 01/04/2010 0.52 01/08/2010 1.29 -1.92% 146.15% 148.08% 82.69% 111.54% 117.31% 98.08% 90.38% BUY-HOLD
DFVS 01/11/2010 0.10 01/15/2010 0.08 -14.90% 20.00% -17.80% 0.00% -20.00% -35.00% 60.00% 50.00% BUY-HOLD
CCTC 01/19/2010 0.12 01/25/2010 0.13 -37.50% 58.33% 8.33% 8.33% -8.00% -41.67% 25.00% 4.17% BUY-HOLD
ENZR 01/29/2010 0.28 02/04/2010 0.34 -1.75% 19.30% 19.30% 4.91% 12.28% 61.40% 59.65% 35.09% BUY-HOLD
BRGO 02/05/2010 0.17 02/11/2010 0.11 -46.97% 6.06% -33.33% -45.45% -46.06% -63.64% -71.52% -75.76% BUY-HOLD
AFYG 03/10/2010 0.41 03/16/2010 0.46 -23.46% 23.46% 13.58% 4.91% -16.05% -8.64% -60.49% -77.78% BUY-HOLD
CSRE 03/25/2010 0.24 03/31/2010 0.22 -16.67% 8.33% -6.25% -6.25% -12.50% 4.17% -25.00% -42.08% BUY-HOLD
LTUM 04/06/2010 0.69 04/12/2010 0.70 -0.78% 10.08% 1.39% 5.74% -10.20% 1.39% 12.98% 2.84% BUY-HOLD
LTUM 04/14/2010 0.50 04/20/2010 0.69 0.00% 40.00% 38.00% 34.00% 40.00% 72.00% 54.00% 16.00% BUY-HOLD
ZBB 05/19/2010 0.27 05/25/2010 0.43 0.00% 114.81% 59.26% 85.19% 96.30% 85.19% 92.59% 122.22% BUY-HOLD
MCHI 05/21/2010 0.12 05/27/2010 0.14 0.00% 41.67% 16.67% 16.67% 16.67% -15.83% -25.00% -33.33% BUY-HOLD
AAPH 06/08/2010 0.39 06/14/2010 0.50 -2.56% 28.21% 28.21% 25.64% 17.95% 5.13% -2.56% -25.64% BUY-HOLD
IEVM 06/10/2010 0.27 06/16/2010 0.41 0.00% 55.56% 51.85% 50.00% 44.44% 29.63% 44.07% 85.19% BUY-HOLD
BLIAQ 06/14/2010 0.22 06/18/2010 0.29 -4.55% 40.91% 31.82% 27.27% 27.27% 18.18% -44.09% -22.77% BUY-HOLD
IBCP 06/24/2010 0.40 06/30/2010 0.39 -15.00% 5.00% -2.50% -2.50% -7.50% -32.50% -12.50% -45.00% BUY-HOLD
CANO 07/07/2010 0.47 07/13/2010 0.54 0.00% 23.40% 14.89% 4.26% 19.15% 12.77% 59.57% 70.21% BUY-HOLD
IMGG 07/19/2010 0.24 07/23/2010 0.31 -5.82% 29.76% 31.02% 15.15% 38.13% 23.48% 13.02% 44.41% BUY-HOLD
OOGI 08/04/2010 0.15 08/10/2010 0.10 -39.60% 2.00% -36.00% -4.00% -30.80% -60.00% -60.00% -33.33% BUY-HOLD
IMGG 08/12/2010 0.21 08/18/2010 0.27 -4.76% 33.33% 28.57% 19.05% 23.81% 33.33% 71.90% 42.86% BUY-HOLD
TRMAQ 08/17/2010 0.32 08/23/2010 0.33 -21.87% 3.13% 3.13% -6.25% -12.50% -15.62% -45.31% -57.81% BUY-HOLD
ABKFQ 11/22/2010 0.14 11/29/2010 0.15 0.00% 14.29% 7.14% 10.71% -7.14% 0.00% -14.29% -17.86% BUY-HOLD
GSDC 11/29/2010 0.16 12/03/2010 0.11 -37.50% 0.00% -31.25% -25.00% 6.25% -6.25% 0.00% 9.38% BUY-HOLD
LQMT 12/07/2010 0.33 12/13/2010 0.42 0.00% 27.27% 27.27% 18.18% 54.55% 51.52% 72.73% 86.36% BUY-HOLD
CHIO 12/07/2010 0.80 12/13/2010 2.20 0.00% 175.00% 175.00% 100.00% 198.00% 150.00% 250.00% 225.00% BUY-HOLD
GAPTQ 12/16/2010 0.24 12/22/2010 0.16 -43.51% 2.51% -33.47% -28.87% -33.05% -12.13% 6.69% -16.32% BUY-HOLD
ATNNF 02/02/2011 0.32 02/08/2011 0.20 -37.50% 3.13% -37.50% -28.12% -34.38% -34.38% -49.69% -46.87% BUY-HOLD
AENYQ 03/14/2011 0.18 03/18/2011 0.14 -27.78% 0.00% -22.22% -22.22% -27.78% -27.78% -8.06% 33.33% BUY-HOLD
MDST 05/03/2011 1.00 05/09/2011 0.86 -32.00% 5.00% -14.00% -18.00% -11.00% -7.80% 14.00% -8.00% BUY-HOLD
RAMPF 05/05/2011 0.50 05/11/2011 0.53 -0.89% 9.02% 4.86% 6.05% 1.09% -8.82% 1.09% -2.87% BUY-HOLD
PWSVD 06/10/2011 0.35 06/16/2011 0.63 -43.00% 150.00% 80.00% 50.00% -10.00% 50.00% 250.00% 50.00% BUY-HOLD
KBLB 06/28/2011 0.10 07/05/2011 0.13 0.00% 23.30% 26.21% 7.77% 33.01% 11.65% 10.68% -7.77% BUY-HOLD
ABAT 06/29/2011 0.80 07/06/2011 1.14 0.00% 42.50% 42.50% 33.75% 33.75% 33.75% 43.75% 53.75% BUY-HOLD
JAMN 07/20/2011 0.58 07/26/2011 0.71 -5.50% 47.77% 22.34% 37.99% 11.68% 37.46% 38.83% 4.81% BUY-HOLD
PEIX 08/10/2011 0.53 08/16/2011 0.42 -22.64% 0.00% -20.75% -15.09% -32.08% -35.85% -28.30% -45.28% BUY-HOLD
LGFTY 09/01/2011 0.36 09/08/2011 0.35 -13.89% 5.56% -2.78% -8.33% -25.00% -41.67% -55.56% -40.28% BUY-HOLD
PUDA 09/15/2011 0.75 09/21/2011 0.65 -29.33% 13.33% -13.33% -20.00% -20.00% -26.67% -46.67% -49.33% BUY-HOLD
HEVV 09/19/2011 0.25 09/23/2011 0.19 -36.00% 0.00% -24.00% -32.00% -20.00% -24.00% 8.00% -52.00% BUY-HOLD
GSAT 09/20/2011 0.47 09/26/2011 0.42 -12.77% 8.51% -10.64% -8.51% -8.51% -14.89% 27.66% -14.89% BUY-HOLD
BWEN 09/22/2011 0.37 09/28/2011 0.42 -5.41% 16.22% 13.51% 13.51% -18.92% 2.70% 18.92% 40.54% BUY-HOLD
UURAF 09/22/2011 0.42 09/28/2011 0.50 -5.66% 19.81% 17.92% 6.13% 12.43% 15.33% 17.92% 22.88% BUY-HOLD
SCEI 09/29/2011 0.90 10/05/2011 0.93 -27.78% 3.33% 3.33% -11.11% 31.11% 27.78% 26.67% 33.33% BUY-HOLD
GRBE 10/03/2011 0.39 10/07/2011 0.38 -10.26% 2.56% -2.56% 0.00% 10.26% 10.26% 12.82% -28.21% BUY-HOLD
EVEI 11/22/2011 0.24 11/29/2011 0.43 -45.83% 100.00% 79.17% -12.50% 41.67% -50.00% -72.96% 0% BUY-HOLD
BNVI 11/22/2011 0.30 11/29/2011 0.34 -10.00% 16.67% 13.33% 13.33% -3.33% 16.67% -16.67% 0% BUY-HOLD
DPTRQ 12/15/2011 0.21 12/21/2011 0.17 -28.57% 28.57% -19.05% -14.29% -14.29% -54.76% 0% 0% BUY-HOLD
ENER 12/16/2011 0.20 12/22/2011 0.21 0.00% 25.00% 5.00% 10.00% 20.00% 0.00% 0% 0% BUY-HOLD
1 to 46 of 46 -

Mactheriverrat
958 posts
msg #104612
Ignore Mactheriverrat
1/24/2012 8:13:29 AM

I've had better trades with a simple RSI over RSI filter

Show stocks where the rsi(14) is above RSI(14) 1 day ago
Price is above 1 and price is below 99


sohailmithani
192 posts
msg #104617
Ignore sohailmithani
1/24/2012 1:36:58 PM

Judetrade,

Thanks for sharing. Backtesting looks excellent but practically?????

Spread is a big big ?

How do you manage that. Do u buy on open when filter triggers after market of do EOD buy and sell open after 3 days?

Pls explain how u actually do this.

If this works and results are as backtest shows then why do a day job instead just trade with this filter, enjoy life and live happily.

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