StockFetcher Forums · Filter Exchange · Statistics on tails<< >>Post Follow-up
894 posts
msg #122585
Ignore mahkoh
1/22/2015 5:03:35 PM

Tails are an interesting phenomenon. The tail tells a story of early selling that was countered by buying pressure later in the session. The filter below tells you if there was a tail today and something about how the stock has historically performed the next day.

Run the filter near session end and buy the top performer(s) at the close. You may want to focus on stocks that have large tails or stocks that made a new 3 day low. Or buy one of the top performers at tomorrow's open if it opens lower for extra juice.

avg volume(30) above 400000
price above 7

/*Check if there is a tail today*/

set{RangeA, High - Low}
set{MinCloOp, min(Close,Open)}
set{TailRngA, MinCloOp - Low}
set{TailRatioA, TailRngA / RangeA}
set{trig,count(tailratioA above 0.5,1)}
trig above 0.5

/*Check the number of tails in the last 100 days, and how many times you could have made 1.5 % the next day if you had bought the close*/

set{tails,count(tailratioA above 0.5,100)}
add column tails
set {tail,count(tailratioA 1 day ago above 0.5,1)}
set{prof1,high / close 1 day ago}
set{prof2,count(prof1 above 1.015,1)}
set{prof,tail * prof2}
set{profit,count(prof above 0.5,100)}
add column profit

/* look for stocks with at least 10 tails in the last 100 days and sort by percent profitable*/

set {perc,profit / tails}
set{perc1,perc * 100}
add column perc1{% profitable}
sort column 7 descending
tails above 10 do not draw tails

set{target,close * 1.015}
add column target

158 posts
msg #122597
Ignore fotchstecker
1/23/2015 11:00:14 PM

makhoh, is this a strategy you personally use?

4,005 posts
msg #122598
Ignore four
1/23/2015 11:44:01 PM

of interest ?

894 posts
msg #122600
Ignore mahkoh
1/24/2015 4:48:38 PM

I am not actually trading this. I am however gathering data for open, close, low and high to first determine if this is something that is profitable at all, and if it is find an optimal entry setting. Price action on CTP on Jan 23 suggests that a stop might not be a bad idea. But the problem with incorporating a stop is that when dealing with daily data the only way to find out whether the target or the stop was hit first is by checking intraday price action.

I only consider stocks that have a historical success rate of at least 75%. The first day was not very encouraging with number six on the list being the only one to hit the target and return a profit.

716 posts
msg #122604
Ignore miketranz
1/25/2015 12:54:19 PM

Tails or hammer patterns that follow through to the upside for a 1-3 day hold that I have had the most success with.1)Stock must make at least a 60 day low.2)The longer the tail or hammer the better.3)Volume must be the highest within that period.4)Buy on the close when these conditions are met.A lot of times the stock will gap open the next day.This is what is called an exhaustion pattern.Place a stop right under the previous day high.Good luck.Miketranz...

716 posts
msg #122605
Ignore miketranz
1/25/2015 1:31:23 PM

Basic: set{body_bottom,min(open,close)}
set{body_size,body_top - body_bottom}
set{lshadowsize, body_bottom - low}
/* *********** had a typo here ********* */
set{body_size2, body_size * 2}
set{tshadowsize, high - body_top}
lshadowsize is greater then .2
and lshadowsize is greater then body_size2
and body_size is greater then 0
and price is greater then .5
and open is less then Lower Bollinger Band(20)
and close is greater then open
and offset 0 days ago

273 posts
msg #122609
Ignore novacane32000
1/25/2015 7:01:18 PM

Very nice filter, the challenge being what to do on the days the target is not hit.

StockFetcher Forums · Filter Exchange · Statistics on tails<< >>Post Follow-up

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