StockFetcher Forums · Filter Exchange · Run Forest, Run<< 1 ... 52 53 54 55 56 >>Post Follow-up
1 posts
msg #106425
Ignore rrobin
5/26/2012 9:22:04 AM


1 posts
msg #114841
Ignore dave_r
8/11/2013 8:27:24 PM

I have a question about the risk side ofTheRumpledOne's one percent pop filter (see below).

Currently Today's filter is showing for LITB:

1% Pops = 94%
Last = 20.94
AvgRng = 1.96

... so the average range is approx 10% of the stock price. Over a hundred days, I would expect to make 1% on 94 of those days. But on 6 of those days lose up to 10%, if I set my stop loss to the average range.


win = 1% x 94 = 94%
max loss = 10% x 6 = 60%

expected profit = 94 - 60 = 34% x amount staked.

However, I may not always be stopped out, when I do not make 1%, so maybe a more realistic figure is probably a loss of 40%, giving expected profit of around 54% x stake.

Can anyone, see holes in this calculation?


/* Long Profit Percent Statistics Display */

set{xRange, high - low}
set{AvgRng, cma(xRange,5) }

set{ONEPCT, close 1 day ago / 100}

set{Long_Profit, high - close 1 day ago }

set{B10A, count(Long_Profit > ONEPCT , 100)}

set{A10A, count(Long_Profit > ONEPCT , 1)}
set{chg, sum( A10A - A10A 1 day ago ,5)}

and add column B10A {1% POPS}
and add column AvgRng

add column chg{(wk)}
add column chg 1 week ago{(-1wk)}
add column chg 2 weeks ago{(-2wk)}
add column chg 3 weeks ago{(-3wk)}
add column chg 4 weeks ago{(-4wk)}
add column chg 5 weeks ago{(-5wk)}
add column chg 6 weeks ago{(-6wk)}
add column chg 7 weeks ago{(-7wk)}
add column chg 8 weeks ago{(-8wk)}
and add column separator
add column industry
add column sector
and add column separator


B10A above 70

close above 1
avg volume(90) above 1000000

sort column 5 descending

637 posts
msg #114852
Ignore mahkoh
8/12/2013 4:43:37 PM

You can take the gaps up that were over 1% into account, those will close at the open for a larger profit.
As you'll be dealing with lower priced stocks you may want to consider commissions.

I tried this strategy and even created a short version to be "market neutral", choosing an equal number of overnight pops and drops. Worked like a charm for three weeks on paper, and then for some reason it stopped working the minute I started trading it with real money.

6,358 posts
msg #127141
Ignore TheRumpledOne
2/4/2016 12:02:48 PM

Still works after all these years!

930 posts
msg #127152
Ignore Mactheriverrat
2/4/2016 5:01:25 PM

Welcome back TRO
Yes RFR still works real well. I use the /* RUN FOREST, RUN for 1 day 8 pct gain or more*/

and 13th_floors Deadly Combo

273 posts
msg #127369
Ignore SFMc01
2/20/2016 11:44:41 AM

TheRumpledOne: Respectfully to clarify things, after 554 posits and many years, would you mind posting the "Run Forest Run" filter that you presently use?

Thank you,

StockFetcher Forums · Filter Exchange · Run Forest, Run<< 1 ... 52 53 54 55 56 >>Post Follow-up

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