StockFetcher Forums · Filter Exchange · Remarkable "Strenth Filter"<< >>Post Follow-up
louie6digits
34 posts
msg #97902
Ignore louie6digits
12/9/2010 9:20:03 AM

"Strenth Filters" define when a stock is overbought or oversold. Macd(12,26,9) is a strenth filter. Above 0, and the stock
is STRONG. Below 0, and the stock is WEAK. If you add Correction and Direction filters, then you have a complete
trading formula for success. I am posting a Strenth Filter here!


Fetcher[
/* Brand New - Strenth Filter */
25 day slope of wma(40) above 0
price less than 1% above ma(30)
linear regression slope(10) above -0.10
macd(12,26,1) above macd histogram(12,26,9)
close above ma(30)
]




After posting this filter here, I didn't realize how good this filter was. I backtested this filter with the following results.


TRADE STATISTICS

There were 3075 total stocks entered. Of those, 2967 or 96.49% were complete and 108 or 3.51% were open.
Of the 2967 completed trades, 1878 trades or 63.30%resulted in a net gain.
Your average net change for completed trades was: -0.03%.
The average draw down of your approach was: -3.50%.
The average max profit of your approach was: 2.05%
The Reward/Risk ratio for this approach is: 0.98
Annualized Return on Investment (ROI): -1.75%, the ROI of ^SPX was: 4.81%.


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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 2967 times or 100.00% of the time.

Exit Trigger #1: macd(12,26,1) 1 day ago below macd(12,26,1)


DOES ANYONE HERE KNOW HOW TO IMPROVE THIS FILTER SO THAT ROI TURNS A POSITIVE NET WIN %?

mikes2010
16 posts
msg #97917
Ignore mikes2010
12/10/2010 12:18:12 AM


Can you also include Correction and Direction filters?

Thanks
Mike

louie6digits
34 posts
msg #97953
Ignore louie6digits
12/11/2010 10:14:20 AM

You hit the nail on the HEAD Mike. I need breakout filters that can pair this Strength Filter. I want to eliminate all those
stocks that breakout to the downside. Any ideas that could jump start this filter can help. Thanks!

louie6digits
34 posts
msg #97962
Ignore louie6digits
12/11/2010 1:25:20 PM

Allow me to amaze myself! I added the super enhanced EXIT filter to the STRENGHT Filter. AMAZING!

EXIT TRIGGER:
Fetcher[linear regression slope(10) above 0.20]



Fetcher[/* Brand New - Strenth Filter */
25 day slope of wma(40) above 0
price less than 1% above ma(30)
linear regression slope(10) above -0.10
macd(12,26,1) above macd histogram(12,26,9)
close above ma(30)
]






Trade Statistics
There were 682 total stocks entered. Of those, 432 or 63.34% were complete and 250 or 36.66% were open.
Of the 432 completed trades, 300 trades or 69.44%resulted in a net gain.
Your average net change for completed trades was: 3.07%.
The average draw down of your approach was: -7.16%.
The average max profit of your approach was: 7.33%
The Reward/Risk ratio for this approach is: 2.59
Annualized Return on Investment (ROI): 29.80%, the ROI of ^SPX was: 4.81%.

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 (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 432 times or 100.00% of the time.



StockFetcher Forums · Filter Exchange · Remarkable "Strenth Filter"<< >>Post Follow-up

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