StockFetcher Forums · Filter Exchange · The Best Deal to invest is call "call"<< 1 2 3 >>Post Follow-up
bkhurana43
103 posts
msg #104454
Ignore bkhurana43
1/17/2012 12:34:22 PM

Hi LA.
Let me say thank you for posting such a great filter for the benefit of Option Players.

Do you have any solution for the reverse strategy for PUT lovers (buyers)?

Thanks again
bob

levamit
101 posts
msg #104463
Ignore levamit
1/17/2012 3:14:05 PM

Hi bkhurana43,

I'm glad to hear it ,
I'm working on it in these days as soon as I finish i will share him too,
and good luck with your trade you can post here all your planned entry to discuss.

L.A

Billirider321
62 posts
msg #104477
Ignore Billirider321
1/18/2012 12:44:45 AM

I made some changes and tested.
added a filter to only select close > ma(200)
***************
Stocks Optionable
stocks are not otcbb
stocks are not etf
set{vix, ind(^VIX, close)}
set{vix10ma, cma(ind(^VIX,close),10)}
set{ratio,vix / vix10MA}
set{var, 1 - ratio}

draw DMA(10)
add column RSI(2)
add column SMI(5,3,1)

show stocks where close is above 5
average volume(30) > 1500000
volume > 400000
volume < volume 1 day ago
and close > MA(200)

StochRSI(18,2) below 0.25 within last 5 days
rsi(2) crossed below 1 within last 5 days
rsi(2) dropped more then 3 days ago

Stochastic Momentum Indicator(5,3,1) below -70
Stochastic Momentum Indicator(5,3,1) dropped more then 3 days ago

Williams %R(21) crossed below -97 within last 5 days
Williams %R(21) dropped more then 1day ago
var < 0



chart-time 95-days


***************
RESULT
*********************
Statistics Performance Chart Trades Equity Summary new! System Summary Edit Backtests Backtest Forum Help
Approach Information
Approach Name: highoption_bottom_filter
Test started on 12/31/2010 ended on 01/13/2012, covering 261 days
Filter used:
highoption_bottom_filter (saved filter)



Trade Statistics
There were 29 total stocks entered. Of those, 29 or 100.00% were complete and or 0.00% were open.
Of the 29 completed trades, 21 trades or 72.41%resulted in a net gain.
Your average net change for completed trades was: 1.96%.
The average draw down of your approach was: -2.86%.
The average max profit of your approach was: 3.92%
The Reward/Risk ratio for this approach is: 3.94
Annualized Return on Investment (ROI): 154.01%, the ROI of ^SPX was: 2.43%.

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 (25 days) 0 times or 0.00% of the time.
An exit trigger was executed 29 times or 100.00% of the time.



Billirider321
62 posts
msg #104478
Ignore Billirider321
1/18/2012 12:48:43 AM

some more test ---
Approach Information
Approach Name: highoption_bottom_filter
Test started on 12/31/2008 ended on 12/31/2010, covering 504 days
Filter used:
highoption_bottom_filter (saved filter)



Trade Statistics
There were 64 total stocks entered. Of those, 63 or 98.44% were complete and 1 or 1.56% were open.
Of the 63 completed trades, 52 trades or 82.54%resulted in a net gain.
Your average net change for completed trades was: 3.22%.
The average draw down of your approach was: -3.33%.
The average max profit of your approach was: 4.50%
The Reward/Risk ratio for this approach is: 11.72
Annualized Return on Investment (ROI): 250.32%, the ROI of ^SPX was: 20.20%.

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 (25 days) 0 times or 0.00% of the time.
An exit trigger was executed 63 times or 100.00% of the time.



1 to 64 of 64 - Download CSV
Performance
Symbol Trigger Date Entry Price Exit Date Exit Price Draw Down Max Profit Gain/
Loss 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Exit Type
PRU 06/16/2009 35.99 06/19/2009 38.29 -2.53% 5.67% 6.39% 3.03% -0.86% 3.42% 9.84% 31.37% TRIGGER
BIG 06/18/2009 20.89 06/26/2009 20.81 -4.88% 1.24% -0.38% -1.53% 0.19% -2.73% 9.24% 11.49% TRIGGER
SLW 06/18/2009 8.44 06/25/2009 8.44 -8.41% 4.86% 0.00% -5.57% 4.38% -0.47% 9.36% 18.72% TRIGGER
TV 06/22/2009 16.30 06/26/2009 16.63 -1.41% 4.17% 2.02% -0.18% 5.83% 0.00% 8.65% 6.87% TRIGGER
JNPR 06/22/2009 21.38 06/25/2009 22.63 -0.70% 8.00% 5.85% 6.03% 10.52% 7.48% 21.47% 12.35% TRIGGER
CAM 06/22/2009 27.01 06/26/2009 28.87 -3.18% 8.15% 6.89% -1.07% 6.33% -5.33% 13.92% 23.99% TRIGGER
NUE 07/07/2009 41.01 07/10/2009 40.79 -4.41% 3.19% -0.54% 1.05% 4.24% 8.78% 12.02% 6.49% TRIGGER
AMT 09/01/2009 31.04 09/04/2009 32.03 -0.61% 3.19% 3.19% 3.06% 10.41% 15.27% 18.91% 20.10% TRIGGER
CI 09/25/2009 28.50 10/06/2009 28.87 -5.86% 3.23% 1.30% 0.35% -2.39% 3.58% -2.32% 5.37% TRIGGER
MMR 09/25/2009 7.28 09/29/2009 7.75 -3.85% 6.87% 6.46% 5.36% -0.82% 9.48% 5.63% -2.61% TRIGGER
STLD 10/01/2009 14.32 10/06/2009 15.38 -4.19% 6.01% 7.40% 5.31% 9.22% 12.71% 0.70% 16.20% TRIGGER
ISIL 10/23/2009 13.42 11/04/2009 12.65 -9.46% 3.20% -5.74% -1.86% -6.48% -2.53% -3.73% 9.54% TRIGGER
CIEN 10/28/2009 12.08 10/30/2009 12.21 -0.66% 2.48% 1.08% -2.90% -2.57% 3.15% 0.25% -7.20% TRIGGER
GFI 10/28/2009 12.91 11/04/2009 14.07 -3.87% 8.83% 8.99% -1.24% 6.20% 13.48% 19.36% 4.03% TRIGGER
BAC 10/28/2009 15.21 10/30/2009 15.70 -0.85% 3.75% 3.22% -4.14% -3.35% 8.02% 3.62% 0.26% TRIGGER
AKS 10/28/2009 16.86 11/06/2009 16.27 -10.85% 2.67% -3.50% -5.87% -5.99% 4.86% 19.45% 32.56% TRIGGER
XCO 10/28/2009 16.52 11/04/2009 17.09 -9.75% 4.48% 3.45% -5.45% 1.27% 5.08% 4.54% 32.51% TRIGGER
X 10/28/2009 36.76 11/04/2009 36.50 -9.55% 4.05% -0.71% -6.18% -3.29% 6.91% 22.28% 54.68% TRIGGER
CTXS 10/28/2009 37.70 11/04/2009 38.04 -2.52% 2.10% 0.90% -2.49% -1.11% 3.95% 2.18% 11.80% TRIGGER
FCS 10/28/2009 7.65 11/04/2009 7.77 -7.19% 3.27% 1.57% -2.22% 3.27% 11.76% 24.31% 33.33% TRIGGER
CBG 10/30/2009 10.40 11/06/2009 10.51 -4.04% 5.19% 1.06% 3.65% 3.17% 6.35% 16.63% 32.69% TRIGGER
DDR 11/04/2009 7.64 11/10/2009 8.64 0.00% 13.61% 13.09% 3.53% 18.06% 34.82% 16.10% 21.07% TRIGGER
GMCR 12/03/2009 20.25 12/09/2009 21.07 -2.01% 4.67% 4.03% -0.71% 4.36% 11.02% 33.89% 41.53% TRIGGER
DELL 12/07/2009 13.21 12/11/2009 13.36 -3.56% 1.67% 1.14% -0.76% -0.23% 6.81% 14.08% -1.51% TRIGGER
BVN 12/17/2009 32.91 12/24/2009 34.50 -6.26% 5.86% 4.83% -4.13% 3.31% 6.20% -1.37% 2.28% TRIGGER
NLY 12/31/2009 17.45 01/07/2010 17.52 -1.60% 0.63% 0.40% -0.17% 0.46% -1.55% 2.46% 4.81% TRIGGER
MED 01/21/2010 19.37 01/26/2010 21.30 -4.08% 12.91% 9.96% 9.65% -6.97% -12.85% 9.14% 28.55% TRIGGER
LTD 01/22/2010 18.60 01/27/2010 19.35 -1.13% 6.56% 4.03% 4.30% 2.26% 10.05% 21.13% 35.97% TRIGGER
PAYX 01/22/2010 29.75 02/02/2010 29.36 -3.80% 0.03% -1.31% -1.28% -2.55% -2.72% 1.82% 9.21% TRIGGER
TIF 01/22/2010 41.87 02/02/2010 41.20 -3.18% 0.33% -1.60% -0.96% -3.01% -5.18% 8.88% 13.23% TRIGGER
STM 01/22/2010 8.53 02/02/2010 8.58 -5.04% 1.41% 0.59% -0.35% -4.57% -4.92% 3.40% 8.32% TRIGGER
RRD 01/25/2010 19.72 02/02/2010 20.15 -1.88% 3.25% 2.18% 1.57% 1.67% -3.50% 1.57% 8.06% TRIGGER
ODP 01/26/2010 5.81 02/02/2010 5.92 -4.65% 1.89% 1.89% -2.58% 4.82% -2.93% 24.96% 37.87% TRIGGER
FWLT 01/28/2010 29.46 02/03/2010 30.30 -5.47% 1.83% 2.85% -1.93% -6.14% -8.59% -12.05% -8.66% TRIGGER
IR 01/28/2010 33.40 02/03/2010 34.24 -2.84% 4.16% 2.51% -1.11% -1.02% 1.74% 1.62% 3.71% TRIGGER
CENX 01/29/2010 11.57 02/02/2010 12.45 -0.95% 6.31% 7.61% 9.33% -3.89% 9.16% 29.90% 26.10% TRIGGER
EGO 01/29/2010 11.90 02/03/2010 12.64 -0.17% 9.33% 6.22% 6.64% 3.78% 5.88% 10.50% 2.18% TRIGGER
IVN 01/29/2010 13.93 02/02/2010 15.44 -1.08% 10.19% 10.84% 7.47% -2.01% 5.81% 11.84% 22.68% TRIGGER
FCX 01/29/2010 34.06 02/02/2010 36.63 -0.12% 5.15% 7.53% 6.43% 3.08% 8.15% 18.33% 21.65% TRIGGER
MOS 01/29/2010 54.08 02/03/2010 57.35 -0.06% 5.12% 6.05% 4.20% 2.03% 8.78% 13.50% 11.35% TRIGGER
UN 03/25/2010 29.38 03/31/2010 30.42 -0.75% 2.21% 3.54% 0.31% 6.50% 5.72% 3.00% -6.91% TRIGGER
NE 03/25/2010 39.82 03/30/2010 40.48 -1.48% 2.46% 1.66% 1.96% 6.53% 4.57% -0.83% -18.58% TRIGGER
CAR 05/07/2010 12.74 05/12/2010 13.18 -4.71% 4.79% 3.45% 3.14% -0.31% -13.03% -10.83% -31.63% TRIGGER
CLF 05/20/2010 46.40 05/25/2010 48.13 0.00% 12.41% 3.73% 8.32% 24.33% 6.08% 21.49% 0.26% TRIGGER
RAS 05/20/2010 6.24 05/27/2010 7.17 -3.85% 17.79% 14.90% 7.21% 22.12% 2.40% 0.96% -3.37% TRIGGER
USG 05/24/2010 16.19 05/27/2010 17.68 -2.59% 13.03% 9.20% 6.49% 2.90% -4.94% -22.61% -19.21% TRIGGER
DOV 05/24/2010 42.75 05/28/2010 45.49 -1.29% 6.69% 6.41% 2.34% 2.27% -1.08% -1.96% 3.63% TRIGGER
FDO 06/07/2010 37.48 06/10/2010 38.74 -0.88% 2.83% 3.36% 1.52% 4.00% 4.16% -2.51% 10.49% TRIGGER
BC 06/28/2010 13.40 07/08/2010 12.98 -12.54% 0.52% -3.13% -7.24% -9.18% 11.72% 25.52% -1.49% TRIGGER
SHW 06/28/2010 70.55 07/07/2010 69.91 -3.73% 0.77% -0.91% -1.93% -1.03% 3.78% -0.09% -4.82% TRIGGER
HNT 06/30/2010 24.35 07/08/2010 24.55 -4.76% 0.66% 0.82% -0.49% 1.72% 4.85% 6.41% 0.12% TRIGGER
MAR 06/30/2010 29.91 07/08/2010 31.09 -3.24% 2.88% 3.95% -1.20% 2.57% 5.85% 18.19% 6.72% TRIGGER
TDC 06/30/2010 30.39 07/08/2010 30.90 -3.36% 1.41% 1.68% -1.78% 2.50% 5.53% 7.54% 3.29% TRIGGER
DTV 06/30/2010 34.05 07/07/2010 34.25 -2.35% 1.38% 0.59% -1.20% 4.43% 5.08% 13.95% 10.93% TRIGGER
YUM 06/30/2010 38.95 07/08/2010 39.86 -1.80% 2.11% 2.34% -1.08% 2.64% 5.78% 8.88% 8.75% TRIGGER
MCD 06/30/2010 66.72 07/08/2010 67.80 -2.11% 0.97% 1.62% -0.87% 3.45% 6.91% 5.59% 9.65% TRIGGER
UHS 07/02/2010 37.12 07/09/2010 36.72 -2.80% 2.02% -1.08% -1.02% -1.94% -1.29% 2.37% -16.33% TRIGGER
PXD 07/02/2010 59.46 07/08/2010 61.11 -5.11% 1.61% 2.77% -0.42% 2.07% -0.32% 1.75% -2.24% TRIGGER
CAT 08/26/2010 64.76 08/30/2010 66.14 -2.16% 2.15% 2.13% -0.45% 5.84% 10.04% 20.78% 20.95% TRIGGER
SNY 11/15/2010 33.40 11/19/2010 34.06 -1.95% 2.81% 1.98% -0.21% 0.72% -8.62% -3.29% 0.93% TRIGGER
SAP 11/15/2010 49.30 11/19/2010 49.89 -1.18% 1.50% 1.20% -0.63% 0.20% -4.81% 1.74% 3.81% TRIGGER
GOOG 11/16/2010 585.00 11/19/2010 597.00 -0.62% 2.56% 2.05% 1.98% -0.34% -3.53% 3.50% 5.42% TRIGGER
MPEL 12/15/2010 5.64 12/17/2010 6.13 0.00% 8.69% 8.69% 10.64% 12.59% 11.70% 28.90% 27.30% TRIGGER
LLNW 12/27/2010 5.97 - - -2.01% 0.50% -% -0.50% 0.17% 4.69% 8.38% 23.28% OPEN
1 to 64 of 64 -






gmg733
619 posts
msg #104507
Ignore gmg733
1/18/2012 10:39:46 PM

Billi

What did you use for the exit trigger?

Regards,

wkloss
230 posts
msg #104510
Ignore wkloss
1/19/2012 12:43:21 AM

BarTune1

When you say you tweaked levamit's filter, do you mean that you simply added your code to levamit's code?

Bill

Billirider321
62 posts
msg #104511
Ignore Billirider321
1/19/2012 1:01:07 AM

I used close > Ma(5)

BarTune1
404 posts
msg #104515
Ignore BarTune1
1/19/2012 9:00:42 AM

Yes, quite often I play with the filters that are posted ..... I have my entry preferences as to timing (would rather buy when the market is oversold) and I have my standard exit which I use on all directional trades ..... I also have some liquidity preferences also (I am not fond of thinly traded stocks either)

If nothing else, my own backtesting results are consistent (at least there is a standard by which I can measure one filter against another) because I usually use the same criteria ... so I am not mixing apples and oranges.

wkloss
230 posts
msg #104523
Ignore wkloss
1/19/2012 11:40:16 AM

BarTune1

I recall the thread on VIX and liked that concept very much so I was just trying to verify that you didn't change any of leavamit's code...just added some of your own.

Bill

BarTune1
404 posts
msg #104532
Ignore BarTune1
1/19/2012 6:51:56 PM

Yes there were a number of VIX threads a year ago or more .... its one of my favorite indicators of where the market is .... Kevin spent alot of time (maybe a couple months) working on refining it to time market entries .... his optimal bollinger band setting on it was (9,2) .... i still use that and a few others to try and time entries and it works more often than not ....

StockFetcher Forums · Filter Exchange · The Best Deal to invest is call "call"<< 1 2 3 >>Post Follow-up

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