StockFetcher Forums · Filter Exchange · Range Contraction/Expansion Filter<< 1 2 3 4 5 ... 12 >>Post Follow-up
alf44
2,025 posts
msg #40860
Ignore alf44
modified
2/1/2006 6:05:15 PM

nikoschopen,

This particular "filter" (ie. Range Contraction/Expansion Filter) is NOT a filter in the usual sense of the term. It doesn't identify Oscillator Overbought or Oversold conditions or Signal Line crosses or Moving Average Crossovers. It JUST focuses on PRICE !

Specifically...PRICE ACTION !!!


It simply makes me aware of certain Market phenomena !


Range Contraction (Narrow Range Days)

Range Expansion (Wide Range Days)

Inside Days

Outside Days

Gaps

dogis


...and others as well...


Any ONE of these patterns is a subject unto itself ! Each requires a different approach and a different set of trading rules !

When I set out to create this thing I wanted to be able to scan a Watchlist of Stocks (daily) for a variety of Short-Term Price Patterns (1, 2, 3 day patterns) that exist in ALL charts...occur ALL the time...and frequently identify "AREAS" where Range Expansion (ie. volatility) is most likely to happen.

And...I wanted to be able to incorporate ALL of these short-term patterns into ONE FILTER !

In addition to the Patterns that are "flagged" (when I post my latest version there are now 13)...I have also added some of my favorite Technical Indicators (as you mentioned) but, also...a group of "other columns." These "other columns" have not yet been posted here on this thread (ie. included in the "filter") but WILL be at some future date. fwiw

The indicators AND the information contained in the "other columns" give valuable insight and further the decision making process. Ultimately, it takes a "chart read" to fully assess the situation...and to determine whether a trade set-up exists ! I look at this "filter" as more of a Daily Trading Sheet that I evaluate each night...then leave UP (and refer to) during the trading day !

It's definitely NOT for everybody !

It requires abilities and expertise that most are either unaware of...OR...are unwilling to learn !


Regards,

alf44







nikoschopen
2,824 posts
msg #40967
Ignore nikoschopen
modified
2/4/2006 1:18:21 AM

Alfie,

I broke ure "range contraction/expansion" filter down to its components and ran each of them on its own with the date offset to determine the results over the past 1, 5, and 10 days. I ain't a statistics guru, but from a cursory glance, the overall result seems pretty damn good. However, the results alone should not be construed as an accurate reflection of what you might reap in practice since they are merely an average of all the stocks in question -- Unless you have a very deep pocket to scoop up every one of them.

In the coming days (although I can't be sure how long), I would like to mix and match one of the component filters with another to see which one will prove to be the most optimal money cruncher.

1) IDs (Inside Days -> H/L Range inside H/L Range 1 day ago)
Fetcher[
date offset 10
set{IDhi, count(High below High 1 day ago, 1)}
set{IDlo, count(Low above Low 1 day ago, 1)}
set{ID, IDhi * IDlo}
ID above 0
]

_____

1 Day Performance: +0.30%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 502/398

5 Day Performance: +2.49%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 627/329

10 Day Performance: +3.04%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 611/363
_____

2) NR4s (Narrowest Range of the last 4 days)
Fetcher[
date offset 10
set{NR4, count(Day Point Range reached a new 4 day Low, 1)}
NR4 above 0
]

_____

Advance/Decline: 757/579
1 Day Performance: +0.21%
vs. IXIC: +0.03%
vs. DJIA: +0.20%

5 Day Performance: +2.23%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 906/473

10 Day Performance: +3.10%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 611/363
_____

3) NR7s (Narrowest Range of the last 7 days)
Fetcher[
date offset 10
set{NR7, count(Day Point Range reached a new 7 day Low, 1)}
NR7 above 0
]

_____

1 Day Performance: +0.03%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 362/287

5 Day Performance: +2.09%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 434/237

10 Day Performance: +2.56%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 411/275
_____

4. WR4s (Widest Range of the last 4 days)
Fetcher[
date offset 10
set{WR4, count(Day Point Range reached a new 4 day High, 1)}
WR4 above 0
]

_____

1 Day Performance: +0.45%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 1531/1002

5 Day Performance: +3.50%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 1968/765

10 Day Performance: +4.34%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 1708/1053
_____

5. WR7s (Widest Range of the last 7 days)
Fetcher[
date offset 10
set{WR7, count(Day Point Range reached a new 7 day High, 1)}
WR7 above 0
]

_____

1 Day Performance: +0.46%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 1107/649

5 Day Performance: +3.09%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 1390/497

10 Day Performance: +3.34%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 1193/710
_____

6. ODs (Outside Days -> H/L Range outside H/L Range 1 day ago)
Fetcher[
date offset 10
set{ODhi, count(High above High 1 day ago, 1)}
set{ODlo, count(Low below Low 1 day ago, 1)}
set{OD, ODhi * ODlo}
OD above 0
]

_____

1 Day Performance: +0.31%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 626/432

5 Day Performance: +3.39%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 821/284

10 Day Performance: +3.18%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 696/422
_____

7. Windups (Outside Day followed by an Inside Day)
Fetcher[
date offset 10
set{WUp_ODhi, count(High 1 day ago above High 2 days ago, 1)}
set{WUp_ODlo, count(Low 1 day ago below Low 2 days ago, 1)}
set{WUp_ODhilo, WUp_ODhi * WUp_ODlo}

set{WUp_IDhi, count(High below High 1 day ago, 1)}
set{WUp_IDlo, count(Low above Low 1 day ago, 1)}
set{WUp_IDhilo, WUp_IDhi * WUp_IDlo}

set{WUp, WUp_ODhilo * WUp_IDhilo}
WUp above 0
]

_____

1 Day Performance: +0.55%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 89/69

5 Day Performance: +3.03%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 114/54

10 Day Performance: +5.01%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 111/61
_____

8. Shark Pattern (3 Consecutive Inside Days)
Fetcher[
date offset 10
set{IDhi_3, count(High 2 days ago is below High 3 days ago, 1)}
set{IDlo_3, count(Low 2 days ago is above Low 3 days ago, 1)}
set{IDhilo_3, IDhi_3 * IDlo_3}

set{IDhi_2, count(High 1 day ago is below High 2 days ago, 1)}
set{IDlo_2, count(Low 1 day ago is above Low 2 days ago, 1)}
set{IDhilo_2, IDhi_2 * IDlo_2}

set{IDhi_1, count(High is below High 1 day ago, 1)}
set{IDlo_1, count(Low is above Low 1 day ago, 1)}
set{IDhilo_1, IDhi_1 * IDlo_1}

set{ID32, IDhilo_3 * IDhilo_2}
set{ID21, ID32 * IDhilo_1}
ID21 above 0
]

_____

1 Day Performance: +1.16%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 3/0

5 Day Performance: +1.76%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 2/1

10 Day Performance: +0.89%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 3/0
_____

9. Doji(H/L Rng above .20 w/Candle Body less than 30% of H/L Rng)
Fetcher[
date offset 10
set{HiLoRng, High - Low}
set{ClOpRng, abs(Close minus Open)}
set{ClOp_HiLo_ratio, ClOpRng / HiLoRng}
set{Range, count(HiLoRng is above .20, 1)}
set{Body, count(ClOp_HiLo_ratio is less than .30, 1)}
set{doji, Range * Body}
doji above 0
]

_____

1 Day Performance: +0.46%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 564/389

5 Day Performance: +2.28%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 666/318

10 Day Performance: +2.36%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 593/402
_____

10 Day Position Calculations for 85/15 Days
Fetcher[
date offset 10
set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
dayposop above 0
]

_____

1 Day Performance: +0.47%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 3989/2685

5 Day Performance: +3.10%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 4924/2063

10 Day Performance: +3.48%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 4354/2701
_____

11. 85/15 Day with an UP Close
Fetcher[
date offset 10
set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
set{dpCloUp, count(dayposcl is above .85, 1)}
set{dpOpUp, count(dayposop is below .15, 1)}
set{Up8515, dpCloUp * dpOpUp}
Up8515 above 0
]

_____

1 Day Performance: +0.71%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 204/307

5 Day Performance: +0.24%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 280/322

10 Day Performance: +2.07%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 294/332
_____

12. 85/15 Day with a DOWN Close
Fetcher[
date offset 10
set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
set{dpOpDwn, count(dayposop is above .85, 1)}
set{dpCloDwn, count(dayposcl is below .15, 1)}
set{Dwn8515, dpOpDwn * dpCloDwn}
Dwn8515 above 0
]

_____

1 Day Performance: +1.01%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 1105/523

5 Day Performance: +3.74%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 1352/369

10 Day Performance: +3.58%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 1158/579
_____

13. PatternFetcher
Fetcher[
date offset 10
set{IDhi, count(High below High 1 day ago, 1)}
set{IDlo, count(Low above Low 1 day ago, 1)}
set{ID, IDhi * IDlo}

set{NR4, count(Day Point Range reached a new 4 day Low, 1)}
set{NR7, count(Day Point Range reached a new 7 day Low, 1)}
set{WR4, count(Day Point Range reached a new 4 day High, 1)}
set{WR7, count(Day Point Range reached a new 7 day High, 1)}

set{ODhi, count(High above High 1 day ago, 1)}
set{ODlo, count(Low below Low 1 day ago, 1)}
set{OD, ODhi * ODlo}

set{WUp_ODhi, count(High 1 day ago above High 2 days ago, 1)}
set{WUp_ODlo, count(Low 1 day ago below Low 2 days ago, 1)}
set{WUp_ODhilo, WUp_ODhi * WUp_ODlo}
set{WUp_IDhi, count(High below High 1 day ago, 1)}
set{WUp_IDlo, count(Low above Low 1 day ago, 1)}
set{WUp_IDhilo, WUp_IDhi * WUp_IDlo}
set{WUp, WUp_ODhilo * WUp_IDhilo}

set{IDhi_3, count(High 2 days ago is below High 3 days ago, 1)}
set{IDlo_3, count(Low 2 days ago is above Low 3 days ago, 1)}
set{IDhilo_3, IDhi_3 * IDlo_3}
set{IDhi_2, count(High 1 day ago is below High 2 days ago, 1)}
set{IDlo_2, count(Low 1 day ago is above Low 2 days ago, 1)}
set{IDhilo_2, IDhi_2 * IDlo_2}
set{IDhi_1, count(High is below High 1 day ago, 1)}
set{IDlo_1, count(Low is above Low 1 day ago, 1)}
set{IDhilo_1, IDhi_1 * IDlo_1}
set{ID32, IDhilo_3 * IDhilo_2}
set{ID21, ID32 * IDhilo_1}
ID21 above 0

set{HiLoRng, High - Low}
set{ClOpRng, abs(Close minus Open)}
set{ClOp_HiLo_ratio, ClOpRng / HiLoRng}
set{Range, count(HiLoRng is above .20, 1)}
set{Body, count(ClOp_HiLo_ratio is less than .30, 1)}
set{doji, Range * Body}

set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
set{dpCloUp, count(dayposcl is above .85, 1)}
set{dpOpUp, count(dayposop is below .15, 1)}
set{Up8515, dpCloUp * dpOpUp}
set{dpOpDwn, count(dayposop is above .85, 1)}
set{dpCloDwn, count(dayposcl is below .15, 1)}
set{Dwn8515, dpOpDwn * dpCloDwn}
set{8515upORdwn, Up8515 + Dwn8515}

set{I_Day, ID * 1}
set{NR_4, NR4 * 1}
set{NR_7, NR7 * 1}
set{WR_4, WR4 * 1}
set{WR_7, WR7 * 1}
set{O_Day, OD * 1}
set{W_Up, WUp * 1}
set{Shrk_321, ID21 * 1}
set{Do_Ji, doji * 1}
set{85_15, 8515upORdwn * 1}

set{A1, I_Day + NR_4}
set{A2, A1 + NR_7}
set{A3, A2 + WR_4}
set{A4, A3 + WR_7}
set{A5, A4 + O_Day}
set{A6, A5 + W_Up}
set{A7, A6 + Shrk_321}
set{A8, A7 + Do_Ji}
set{A9, A8 + 85_15}
A9 above 0
]

_____

1 Day Performance: +1.16%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 3/0

5 Day Performance: +1.76%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 2/1

10 Day Performance: +0.89%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 3/0
_____



nikoschopen
2,824 posts
msg #40970
Ignore nikoschopen
2/4/2006 3:24:44 AM

When the same filter components were applied to the Nasdaq 100, results of strikingly different contrast emerged. Quite a contrast in comparison to the previous results for sure. Overall, 5-day results had the best performance while the 1-day fared the worst.


1) IDs (Inside Days -> H/L Range inside H/L Range 1 day ago)
Fetcher[
date offset 10
set{IDhi, count(High below High 1 day ago, 1)}
set{IDlo, count(Low above Low 1 day ago, 1)}
set{ID, IDhi * IDlo}
ID above 0
Market is NASDAQ 100
]

_____

1-Day Performance: +0.19%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 2/2

5-Day Performance: +1.68%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 3/1

10-Day Performance: +1.04%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 2/2
_____

2) NR4s (Narrowest Range of the last 4 days)
Fetcher[
date offset 10
set{NR4, count(Day Point Range reached a new 4 day Low, 1)}
NR4 above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.71%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 0/5

5-Day Performance: -0.32%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 2/3

10-Day Performance: -0.25%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 2/3
_____

3) NR7s (Narrowest Range of the last 7 days)
Fetcher[
date offset 10
set{NR7, count(Day Point Range reached a new 7 day Low, 1)}
NR7 above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.72%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 0/3

5-Day Performance: -0.11%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 1/2

10-Day Performance: -0.31%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 1/2
_____

4. WR4s (Widest Range of the last 4 days)
Fetcher[
date offset 10
set{WR4, count(Day Point Range reached a new 4 day High, 1)}
WR4 above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.05%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 26/35

5-Day Performance: +3.60%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 48/14

10-Day Performance: +1.24%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 30/32
_____

5. WR7s (Widest Range of the last 7 days)
Fetcher[
date offset 10
set{WR7, count(Day Point Range reached a new 7 day High, 1)}
WR7 above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.03%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 21/25

5-Day Performance: +4.03%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 39/8

10-Day Performance: +1.78%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 24/23
_____

6. ODs (Outside Days -> H/L Range outside H/L Range 1 day ago)
Fetcher[
date offset 10
set{ODhi, count(High above High 1 day ago, 1)}
set{ODlo, count(Low below Low 1 day ago, 1)}
set{OD, ODhi * ODlo}
OD above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.86%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 5/12

5-Day Performance: +2.47%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 12/5

10-Day Performance: +0.78%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 7/10
_____

7. Windups (Outside Day followed by an Inside Day)
Fetcher[
date offset 10
set{WUp_ODhi, count(High 1 day ago above High 2 days ago, 1)}
set{WUp_ODlo, count(Low 1 day ago below Low 2 days ago, 1)}
set{WUp_ODhilo, WUp_ODhi * WUp_ODlo}

set{WUp_IDhi, count(High below High 1 day ago, 1)}
set{WUp_IDlo, count(Low above Low 1 day ago, 1)}
set{WUp_IDhilo, WUp_IDhi * WUp_IDlo}

set{WUp, WUp_ODhilo * WUp_IDhilo}
WUp above 0
Market is NASDAQ 100
]

_____

1-Day Performance: +0.53%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 2/0

5-Day Performance: +3.58%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 2/0

10-Day Performance: +1.44%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 1/1
_____

8. Shark Pattern (3 Consecutive Inside Days)
Fetcher[
date offset 10
set{IDhi_3, count(High 2 days ago is below High 3 days ago, 1)}
set{IDlo_3, count(Low 2 days ago is above Low 3 days ago, 1)}
set{IDhilo_3, IDhi_3 * IDlo_3}

set{IDhi_2, count(High 1 day ago is below High 2 days ago, 1)}
set{IDlo_2, count(Low 1 day ago is above Low 2 days ago, 1)}
set{IDhilo_2, IDhi_2 * IDlo_2}

set{IDhi_1, count(High is below High 1 day ago, 1)}
set{IDlo_1, count(Low is above Low 1 day ago, 1)}
set{IDhilo_1, IDhi_1 * IDlo_1}

set{ID32, IDhilo_3 * IDhilo_2}
set{ID21, ID32 * IDhilo_1}
ID21 above 0
Market is NASDAQ 100
]

_____

0 matching stocks
_____

9. Doji(H/L Rng above .20 w/Candle Body less than 30% of H/L Rng)
Fetcher[
date offset 10
set{HiLoRng, High - Low}
set{ClOpRng, abs(Close minus Open)}
set{ClOp_HiLo_ratio, ClOpRng / HiLoRng}
set{Range, count(HiLoRng is above .20, 1)}
set{Body, count(ClOp_HiLo_ratio is less than .30, 1)}
set{doji, Range * Body}
doji above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.20%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 4/7

5-Day Performance: +1.32%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 7/5

10-Day Performance: -2.10%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 3/9
_____

10 Day Position Calculations for 85/15 Days
Fetcher[
date offset 10
set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
dayposop above 0
Market is NASDAQ 100
]

_____

1-Day Performance: -0.17%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 42/56

5-Day Performance: +2.80%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 72/27

10-Day Performance: +0.15%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 43/56
_____

11. 85/15 Day with an UP Close
Fetcher[
date offset 10
set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
set{dpCloUp, count(dayposcl is above .85, 1)}
set{dpOpUp, count(dayposop is below .15, 1)}
set{Up8515, dpCloUp * dpOpUp}
Up8515 above 0
Market is NASDAQ 100
]

_____

0 matching stocks
_____

12. 85/15 Day with a DOWN Close
Fetcher[
date offset 10
set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
set{dpOpDwn, count(dayposop is above .85, 1)}
set{dpCloDwn, count(dayposcl is below .15, 1)}
set{Dwn8515, dpOpDwn * dpCloDwn}
Dwn8515 above 0
Market is NASDAQ 100
]

_____

1-Day Performance: +0.10%
vs. IXIC: +0.03%
vs. DJIA: +0.20%
Advance/Decline: 11/15

5-Day Performance: +3.53%
vs. IXIC: +2.52%
vs. DJIA: +2.25%
Advance/Decline: 17/9

10-Day Performance: +1.26%
vs. IXIC: +0.66%
vs. DJIA: +1.18%
Advance/Decline: 13/13
_____

13. PatternFetcher
Fetcher[
date offset 10
set{IDhi, count(High below High 1 day ago, 1)}
set{IDlo, count(Low above Low 1 day ago, 1)}
set{ID, IDhi * IDlo}

set{NR4, count(Day Point Range reached a new 4 day Low, 1)}
set{NR7, count(Day Point Range reached a new 7 day Low, 1)}
set{WR4, count(Day Point Range reached a new 4 day High, 1)}
set{WR7, count(Day Point Range reached a new 7 day High, 1)}

set{ODhi, count(High above High 1 day ago, 1)}
set{ODlo, count(Low below Low 1 day ago, 1)}
set{OD, ODhi * ODlo}

set{WUp_ODhi, count(High 1 day ago above High 2 days ago, 1)}
set{WUp_ODlo, count(Low 1 day ago below Low 2 days ago, 1)}
set{WUp_ODhilo, WUp_ODhi * WUp_ODlo}
set{WUp_IDhi, count(High below High 1 day ago, 1)}
set{WUp_IDlo, count(Low above Low 1 day ago, 1)}
set{WUp_IDhilo, WUp_IDhi * WUp_IDlo}
set{WUp, WUp_ODhilo * WUp_IDhilo}

set{IDhi_3, count(High 2 days ago is below High 3 days ago, 1)}
set{IDlo_3, count(Low 2 days ago is above Low 3 days ago, 1)}
set{IDhilo_3, IDhi_3 * IDlo_3}
set{IDhi_2, count(High 1 day ago is below High 2 days ago, 1)}
set{IDlo_2, count(Low 1 day ago is above Low 2 days ago, 1)}
set{IDhilo_2, IDhi_2 * IDlo_2}
set{IDhi_1, count(High is below High 1 day ago, 1)}
set{IDlo_1, count(Low is above Low 1 day ago, 1)}
set{IDhilo_1, IDhi_1 * IDlo_1}
set{ID32, IDhilo_3 * IDhilo_2}
set{ID21, ID32 * IDhilo_1}
ID21 above 0

set{HiLoRng, High - Low}
set{ClOpRng, abs(Close minus Open)}
set{ClOp_HiLo_ratio, ClOpRng / HiLoRng}
set{Range, count(HiLoRng is above .20, 1)}
set{Body, count(ClOp_HiLo_ratio is less than .30, 1)}
set{doji, Range * Body}

set{Range1, High - Low}
set{CloLodiff, Close - Low}
set{OpLodiff, Open - Low}
set{dayposcl, CloLodiff / Range1}
set{dayposop, OpLodiff / Range1}
set{dpCloUp, count(dayposcl is above .85, 1)}
set{dpOpUp, count(dayposop is below .15, 1)}
set{Up8515, dpCloUp * dpOpUp}
set{dpOpDwn, count(dayposop is above .85, 1)}
set{dpCloDwn, count(dayposcl is below .15, 1)}
set{Dwn8515, dpOpDwn * dpCloDwn}
set{8515upORdwn, Up8515 + Dwn8515}

set{I_Day, ID * 1}
set{NR_4, NR4 * 1}
set{NR_7, NR7 * 1}
set{WR_4, WR4 * 1}
set{WR_7, WR7 * 1}
set{O_Day, OD * 1}
set{W_Up, WUp * 1}
set{Shrk_321, ID21 * 1}
set{Do_Ji, doji * 1}
set{85_15, 8515upORdwn * 1}

set{A1, I_Day + NR_4}
set{A2, A1 + NR_7}
set{A3, A2 + WR_4}
set{A4, A3 + WR_7}
set{A5, A4 + O_Day}
set{A6, A5 + W_Up}
set{A7, A6 + Shrk_321}
set{A8, A7 + Do_Ji}
set{A9, A8 + 85_15}
A9 above 0
Market is NASDAQ 100
]

_____

0 matching stocks
_____


heise
11 posts
msg #40973
Ignore heise
2/4/2006 12:18:28 PM

Hi Alf44,

I just started using Fetcher and I picked up quite a bit of knowledge seeing how you wrote your code. Thank you for posting it.

I am trying to find/write a scan to find individual stocks that are optionable with the following characteristics: Very gradual, but steady, trend up (or down) for 20 consecutive trading days and with a history of a "large" price range in a year period prior to the past 20 days. The trading application for me is longer term swing trading using options straddles and strangles. I am looking for an edge in volatility skews beyond what I get from volatility scans such as that available from "ivolatility.com" and others like it.

Have you wrote (or can you easily write) code to accomplish this? I don't have the skills at this point write the program. I would like you to help me. I don't expect to get something for nothing from you, so please let me know what I do for you in exchange. You can email me directly using garyheise@hotmail.com.

Thanks in advance.

Gary Heise


alf44
2,025 posts
msg #40975
Ignore alf44
modified
2/4/2006 1:29:53 PM

heise,

Thanks for the comments !

Let me begin by asking a favor of YOU !

Please create a NEW thread...of your own...and post your desired scan criteria there !

This thread's focus is "Range Contraction/Expansion" !

I want to keep it that way.

I'm sure you understand. I don't want the focus of THIS thread to be diverted away from it's intended purpose !

Now, if you do as I request...you will be amazed at the wealth of knowledge from the SF users that will flow to YOUR thread with suggestions and answers to your questions !

And I will definitely try to help as well ! tia


Regards,

alf44





nikoschopen
2,824 posts
msg #40977
Ignore nikoschopen
2/4/2006 2:47:09 PM

Alf,

Excuse my slopiness. I should have caught those that you allude to. Apparently the filter, in its entirety, is bigger than what I can chew off in one sitting. I'll keep you abreast of other likely oversight. LOL


alf44
2,025 posts
msg #40986
Ignore alf44
2/4/2006 10:10:34 PM

nikoschopen,

"...Apparently the filter, in its entirety, is bigger than what I can chew off in one sitting..."

---------------------

Wait till you see the NEXT version...with the NEW ADDITIONS !

It's freaking HUGE !!! LOL


Regards,

alf44


PS. This thing has pushed (and in some instances exceeded) the limits of the SF platform ! fwiw




alf44
2,025 posts
msg #40974
Ignore alf44
modified
2/4/2006 11:17:13 PM

nikoschopen,

Kinda interesting !

I appreciate your efforts !

I must say that what I know about the Backtest Feature here at SF could easily fit into a thimble...and still have room left over. That is to say...I haven't spent a great deal of time using it.

Make that...NO TIME using it.

*(Note to self...become more familiar with the SF Backtest Feature)


As a point of clarification (in case one is needed)...in your post(s) the :

#10 - "8515 Day Position Calculation" is code for "defining" the criteria for an "8515" (specifically the Day Positon criteria) and NOT a scan for an "8515"

#11 - is the actual scan for an "8515 with an UP Close" !

#12 - is the actual scan for an "8515 with a DOWN Close" !

(These are BOTH then combined into an either/or set statement so that BOTH will be flagged)

#13 - "PatternFetcher" is NOT a "scanned for pattern" ! It is a name I chose to describe the GROUP of set statements that actually pull together ALL the "scanned for patterns"...combine them...and allow them to be displayed in user defined columns !

-----------------------

Also, let me say that to do a backtest of the "contraction patterns"...and to assume a LONG position is taken...is NOT altogether realistic. For example, the Range Contraction Patterns (IDs, NR4s, NR7s, Sharks, Windups) would be played as "breakouts"...and as such would be played LONG on a break ABOVE the previous Day's HIGH...or...SHORT on a break BELOW the previous Day's LOW ! fwiw

Nevertheless, as I said at the outset...I appreciate your efforts...and there IS some valuable insight to be gleaned from it !

I'm impressed by your work !


Regards,

alf44


*(Note to self...remember the earlier Note to self)




heise
11 posts
msg #40990
Ignore heise
2/5/2006 9:47:54 AM

Alf,

Re: Please create a NEW thread...of your own...and post your desired scan criteria there !

Thanks a bunch. Will do.

heise


riggs
313 posts
msg #41375
Ignore riggs
2/19/2006 1:53:42 AM

Here's mr version of Range tractor/extractor or whatever....LOL....


Fetcher[show stocks where close is between 0 and 3000
and average volume(90)is above 100000
and volume is above 100000
draw Bollinger Bands(20)
Set{Bullpower, high minus ema(13)}
Set{Bearpower, low minus ema(13)}
Bullpower has been decreasing the last 1 day
Bearpower has been increasing the last 1 day
Draw Bullpower
Draw Bearpower
sort column 2 descending
offset 20 days

/* MP RSIWLR ANALYZER DISPLAY */

/* NORMALIZE accumulation distribution */

set{adval, INDPOSITION(accumulation distribution, 60) * 100 }

/* NORMALIZE momentum(12) */

set{moval, INDPOSITION(momentum(12), 60) * 100}

/* NORMALIZE rsi(2) */

set{rsval, RSI(2) }

/* NORMALIZE williams %r(10) */

set{wrval, INDPOSITION(williams %r(10), 60) * 100 }


/* DRAW THE MP RSIWLR CHART */

and draw wrval
and draw adval on plot wrval
and draw moval on plot wrval
and draw rsval on plot wrval

add column adval
add column rsval
add column moval
add column wrval
]




THE MIGHTY RIGGS!!!!! LOL....


StockFetcher Forums · Filter Exchange · Range Contraction/Expansion Filter<< 1 2 3 4 5 ... 12 >>Post Follow-up

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