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Frank460
4 posts
msg #115847
Ignore Frank460
10/11/2013 8:44:21 PM

Marco, I think I found the TRO information at
http://www.stockfetcher.com/sfforums/?q=byuser&author=TheRumpledOne??

If this is wrong please let me know. Thanks for you help.


Frank Hopkins
Houston,Tx



bjfeen
24 posts
msg #115848
Ignore bjfeen
modified
10/11/2013 9:23:55 PM

Here is a slight modification of Kevin's streamlined filter of TRO's original. Its not a filter per se, but rather a means of backtesting Kevin's streamlined filter by pulling in all the matches from LAST week Friday, and testing to see which ones were triggered by THIS week Friday...

Fetcher[
/*calculate percent difference between weekly high and weekly open (1 WEEK AGO)*/
set{weekhigh, weekly high 1 week ago}
set{weekopen, weekly open 1 week ago}
set{highminusopen, weekhigh - weekopen}
set{pctdiff, highminusopen / weekopen}


/*calculate how many times in the last 52 weeks the weekly high has been 1%, 2%, 3%, 4%, and 5% above the weekly open (1 WEEK AGO)*/
set{1pct, count(pctdiff > .01, 52)}
set{2pct, count(pctdiff > .02, 52)}
set{3pct, count(pctdiff > .03, 52)}
set{4pct, count(pctdiff > .04, 52)}
set{5pct, count(pctdiff > .05, 52)}


/*which selections from LAST WEEK FRIDAY have hit their target THIS week?*/
set{hiopen, weekly high - weekly open}
set{pctdiffthiswk, hiopen / weekly open}
set{1pcttarget, count(pctdiffthiswk > .01, 1)}
set{2pcttarget, count(pctdiffthiswk > .02, 1)}
set{3pcttarget, count(pctdiffthiswk > .03, 1)}
set{4pcttarget, count(pctdiffthiswk > .04, 1)}
set{5pcttarget, count(pctdiffthiswk > .05, 1)}

/*criteria*/
2pct above 44
close above 5
average volume(90) above 500000
add column hiopen {high - open}
add column separator
add column weekhigh {weekly high last week}
add column weekopen {weekly open last week}
add column separator
add column weekly high {weekly high this week}
add column weekly open {weekly open this week}
add column separator
add column 1pct {1% 52 wks}
add column 2pct {2% 52 wks}
add column 3pct {3% 52 wks}
add column 4pct {4% 52 wks}
add column 5pct {5% 52 wks}
add column separator
add column 1pcttarget {1% target hit}
add column 2pcttarget {2% target hit}
add column 3pcttarget {3% target hit}
add column 4pcttarget {4% target hit}
add column 5pcttarget {5% target hit}

chart-display is weekly
]

Why can I not make this clickable??

Kevin_in_GA
4,538 posts
msg #115849
Ignore Kevin_in_GA
10/11/2013 10:23:18 PM

Fetcher[
/*calculate percent difference between weekly high and weekly open (1 WEEK AGO)*/
set{weekhigh, weekly high 1 week ago}
set{weekopen, weekly open 1 week ago}
set{highminusopen, weekhigh - weekopen}
set{pctdiff, highminusopen / weekopen}
set{1pct, count(pctdiff > .01, 52)}
set{2pct, count(pctdiff > .02, 52)}
set{3pct, count(pctdiff > .03, 52)}
set{4pct, count(pctdiff > .04, 52)}
set{5pct, count(pctdiff > .05, 52)}
set{hiopen, weekly high - weekly open}
set{pctdiffthiswk, hiopen / weekly open}
set{1pcttarget, count(pctdiffthiswk > .01, 1)}
set{2pcttarget, count(pctdiffthiswk > .02, 1)}
set{3pcttarget, count(pctdiffthiswk > .03, 1)}
set{4pcttarget, count(pctdiffthiswk > .04, 1)}
set{5pcttarget, count(pctdiffthiswk > .05, 1)}


2pct above 44
close above 5
average volume(90) above 500000
add column hiopen {high - open}
add column separator
add column weekhigh {weekly high last week}
add column weekopen {weekly open last week}
add column separator
add column weekly high {weekly high this week}
add column weekly open {weekly open this week}
add column separator
add column 1pct {1% 52 wks}
add column 2pct {2% 52 wks}
add column 3pct {3% 52 wks}
add column 4pct {4% 52 wks}
add column 5pct {5% 52 wks}
add column separator
add column 1pcttarget {1% target hit}
add column 2pcttarget {2% target hit}
add column 3pcttarget {3% target hit}
add column 4pcttarget {4% target hit}
add column 5pcttarget {5% target hit}

chart-display is weekly
]



This sometimes happens when you have a lot of comment lines - I just took most of them out and it now works.

DMUNCASTER
34 posts
msg #115851
Ignore DMUNCASTER
10/12/2013 2:49:31 PM

Are you testing this manually? Is this that the weekly high, regardless of what day it falls on, is used or is it only the Monday high? For backtesting one could try the same thing using the prior week high, but that is probably something outside of the topic of this thread.

I am using only the high of the Friday filter, not consecutive days. I'm not sure the historical statistical argument applies here. If you go in at the open on Monday, you enter at a fixed point from which the price can go up or down. If you enter only when the high of the previous Friday is breached, you're entering during an upward swing. The chances are that you haven't entered on the high for the day. I'm backtesting manually and it works for me, so far. I am using the following Friday close to exit any losers, and cancelling any GTC buy stops that haven't hit by Thursday close. Is it possible in SF to scan some weeks in 2008 to early 2009? I'd love to see how this works in serious down markets. And thank you for responding to my posts. I'm amazed at all the things you manage to get to. Is there a Mrs. Kevin that puts up with all of this?

Kevin_in_GA
4,538 posts
msg #115855
Ignore Kevin_in_GA
10/13/2013 11:58:32 AM

Just thinking about this approach, and it came to me that these stats are most likely wrong. As an example, the current filter calculates the number of times a given stock hits the 2% target from the weekly open, and requires that the weekly open be above X and the weekly volume be above Y. Seems reasonable.

But in actuality you are comparing apples and oranges - while it is true that a given stock hit the 2% target 48 times over the last 52 weeks, it likely was not also meeting the screening criteria when it did so. Example - CSIQ seems to have hit the 2% target 49 times over the last 52 weeks, but you also required that the close be above 5 and the average volume(90) be above 500000 to enter the trade. If you apply those criteria to each week, you'll quickly see that it only would have qualified as a potential trade 24 times. EVC is another example - the current filter shows 47 times the target was hit, but in reality it would have only done it 15 times since it did not meet the screening criteria for price and volume.

Look at HSOL - how many times over the last 52 weeks did it meet the price and volume criteria? Not 48 times as this filter would lead you to believe, but only 4 times since it only broke above $5 a few weeks ago.

I still think that this concept is valid and can be very profitable if executed properly, but it is statistically-driven and therefore you must always meet the entry criteria before you can count win frequencies. Now you can lower the entry price requirement, but you soon get to a point where the bid/ask spread will take 1 percent back, and then after commissions you make next to nothing while still assuming the same downside risk.

I rewrote TRO's original code to correct for this, and will post it in a new thread later today.




oldsmar52
104 posts
msg #115884
Ignore oldsmar52
10/14/2013 11:30:09 AM

I mentioned an option if you didn't like the "buy at open on Monday" method. Today was a rather big down opening & I'd said you might want to choose to wait & when the stock went below its Monday open you could put in a buy stop to get in at its original open price. That's what I did today & got in and out of CSIQ, DUST, HSOL, CPRX & STP with 2% on each. That was on Avery's original filter in this thread, not the one in the other thread that I think Kevin started. Anyone pay attention to that option? Frank

compound_gains
152 posts
msg #116084
Ignore compound_gains
modified
10/19/2013 4:26:44 PM

Filter: TRO STAT SCAN for SWING TRADERS
Sort: twopcnt descending
Start date: 09March2012
End date: 18October2013
Period: 84 weeks; 1.64 years
Starting capital: $20,000
Investment: Compounded equal investment weekly in top 5 stocks
Entry: Weekly opening price
Exit: Sell limit or end of week close
Commission: $6.95 x 2 for each trade
Total trades: 420
Check picks w/o 14OCTOBER
CSIQ High: 20.53% Close: 19%
EVC High: 4.86% Close 1%
HSOL High 4.78% Close -1%
GMCR High 2.92% Close -4%
PACB High 9.4% Close 7%

Sell Limit Gain CWGR CAGR
None 71.8% 0.65% 39.8%
1% -39.2% 0.59% -26.5%
2% -27.5% -0.38% -18.0%
3% -41.1% -0.63% -28.0%
4% -22.0% -0.30% -14.3%
5% -11.9% -0.15% -7.6%
6% 12.1% 0.14% 7.3%
7% 30.0% 0.31% 17.6%
8% 43.3% 0.43% 25.0%
9% 59.1% 0.55% 33.3%
10% 77.0% 0.68% 42.4%
15% 89.8% 0.77% 48.7%
20% 94.5% 0.08% 51.0%

Two scenarios here: (1) I've done my back testing wrong; or (2) there's no way you can "nibble" small gains each week and make money using this filter. Raising the sell limit percent looks tasty, but can you tolerate the monster losses that happen from time to time? Don't have the time or interest to test a stop loss because that's a real manual job with SF to figure out which hits occurs first...sell limit, stop loss or neither.

Update: Fixing some silly typos.

Kevin_in_GA
4,538 posts
msg #116085
Ignore Kevin_in_GA
10/19/2013 4:53:33 PM

Compound: I am finding the same results as I manually back test this approach. I kept coding this in Stratasearch and getting negative returns - I was sure I was doing this wrong. Now I think the code is correct but the system is not as profitable as it appears.

I keep getting high win % but the 1 in 7 big loss (usually between 10-20% on the week) and trading costs on each trade wipe out any gains. This is why a stop loss on this system is required, and you have to shoot for larger gains (like 3-5%) to offset the losses. Even at high gain targets (5%) and loose stops I think you are challenged over time to beat the market.

tennisplayer2
179 posts
msg #116090
Ignore tennisplayer2
modified
10/20/2013 12:17:10 AM

Frank, did you have any big losing trades using this filter, since you held some stocks for a long time?

compound_gains
152 posts
msg #116095
Ignore compound_gains
10/20/2013 8:44:27 AM

I'm cherry picking, but there are other examples. If I'm correct, FREE was top of the list for w/o 01 April. It opened @ $1.44 and never reached a 2% gain.

If you had closed out the trade end of week you would have taken a 15% loss. Obviously if you were using some kind of stop loss your loss would have been less.

Since then, FREE has never reached a 2% gain over $1.44 and It closed Friday @ $0.42 (-58% before commissions). So what if you happened to be in a phase where you're trading just five stocks? 20% of your equity has been tied up since April doing nothing and congratulations, right now you're sitting on a monster paper loss.

Maybe you got lucky and didn't trade that week. Maybe it was earnings week for FREE (I didn't check) and you don't trade stocks in earnings week. Maybe, maybe, maybe.

I think I do well day trading, but it's a grind and the concept of this filter is awesome IMO. But I have tried all kinds of combinations and I haven't been able to find anything that offers a respectable risk/reward. I will keep searching, however.



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