StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 2 3 4 5 6 ... 33 >>Post Follow-up
Kevin_in_GA
4,553 posts
msg #108400
Ignore Kevin_in_GA
10/16/2012 7:59:45 PM

Note that the qst filter triggered a buy today, and that the cmf(14) filter trade is now positive.

I'll be entering a long trade in SPY tomorrow at the open.

Kevin_in_GA
4,553 posts
msg #108449
Ignore Kevin_in_GA
modified
10/20/2012 3:09:40 PM

Just a follow up - been on the road for work and did not get to enter the above trade - a good thing considering yesterday's session. I got into SSO at 61.50 around noon yesterday, thinking the the bottom was in. It wasn't, but by the end of the day four more divergence filters had triggered.

Friday's close saw the William's %R, RSI, Q-Stick, and RMI divergence filters all trigger to enter long at the open on Monday.

The CMF filter triggered on 10/9 and following this system you would have entered long on the open on 10/10 (^SPX open that day was 1441.48). At the close on Friday the ^SPX was 1433.19, so that trade is currently down 0.58%.

tarun766
50 posts
msg #108450
Ignore tarun766
10/20/2012 7:35:10 PM

Kevin what other Divergence filter are there?

mahkoh
894 posts
msg #108454
Ignore mahkoh
10/21/2012 4:42:41 AM

I have noticed the qst filter to generally trigger as one of the first over the last half year, and usually there were better entry points after that.

Kevin_in_GA
4,553 posts
msg #108455
Ignore Kevin_in_GA
10/21/2012 9:03:14 AM

@TARUN: They are all listed on the first post in this thread.

@MAHKOH: Looking at the Maximum Adverse Excursion for this filter (basically the drawdown seen for each trade) most of the qst trades see less than a 1% DD. Many see less than a 0.5% drawdown - not sure that wating for a better entry is the best option here unless you are using tight limit positions, like 0.5% below the closing value on the day of the trigger.

frsrblch
35 posts
msg #108465
Ignore frsrblch
10/22/2012 11:27:29 AM

In on SPY this morning at 143.20 based on the entry signals from last Friday.

Kevin_in_GA
4,553 posts
msg #108466
Ignore Kevin_in_GA
10/22/2012 12:59:40 PM

I have been getting a lot of requests for the Stratasearch code for these filters, and thought it might be easiest just to post the code here for everyone to have. I did include the entry code for each filter in the first post on this thread, but I noticed I did not post the common exit code. So here you go ...

CMF Divergence filter

Entry
(diverge(cmf(14), mov(close, 3, simple), 2, 7) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

SMI Divergence filter

Entry
(diverge(smi(3, 6, 6), mov(close, 3, simple), 7, 11) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

William's %R Divergence filter

Entry
(diverge(wlr(14), mov(close, 3, simple), 1, 12) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

PDI (+DI) Divergence filter

Entry
(diverge(pdi(10), mov(close, 3, simple), 10, 8) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

Aroon Up Divergence filter

Entry
(diverge(aroonu(6), mov(close, 3, simple), 4, 4) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

Linear Regression Slope Divergence Indicator

Entry
(diverge(lrs(close,8), mov(close, 3, simple), 10, 10) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

Q-Stick Divergence filter

Entry
(diverge(qst(12), mov(close, 3, simple), 2, 12) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

RSI Divergence filter

Entry
(diverge(rsi(10), mov(close, 3, simple), 3, 12) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

RMI Divergence filter

Entry
(diverge(rmi(8, 2), mov(close, 3, simple), 1, 12) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)

Stochastic %D Divergence filter

Entry
(diverge(stochd(3, 2, 5, simple), mov(close, 3, simple), 2, 11) = -1)

Exit
close = high(close, 10) and proc(close, 15) <> high(proc(close, 15), 10)



canl925
2 posts
msg #108468
Ignore canl925
10/22/2012 1:56:47 PM

Thank you for the code and all your contributions Kevin.
Chris

jackmack
334 posts
msg #108618
Ignore jackmack
10/30/2012 7:43:54 AM

Kevin
Have you ever thought of trying to make one "super filter" combining the Stoch Indicator or the Stoch momentum indicator listed in this thread with your SSO/SDS Stoch filter to see if entry and exits were improved (or diminished) any by combining?
Just thought about it while re-reading the threads and just though I'd ask.
Thank you


Kevin_in_GA
4,553 posts
msg #108619
Ignore Kevin_in_GA
10/30/2012 8:39:38 AM

@jackmack: Not sure that I could get much better stats than what these are aready showing. By combining filters you will reduce the total number of trades. Given the high win percentage and positive expectancy seen in these I want to go the opposite direction and get as many more trades like these as possible.



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