StockFetcher Forums · Filter Exchange · The Ron Groenke V Theory<< 1 2 >>Post Follow-up
SAFeTRADE
413 posts
msg #124548
Ignore SAFeTRADE
modified
7/28/2015 12:49:53 PM

Fetcher[ Set{bla, high 10 day high - low 10 day low}
set{blb, bla * .25}
set{bl, low 10 day low + blb}

set{bra, bl - close}
set{brb, bra / blb}
set{br, 10 * brb}

set{taa, ma(20) * 2}
set{tab, taa - close}
set{tac, ma(20) / tab }
set{tad, tac + 1}
set{tai, br * tad}

set{pointb1, bla * .125}
set{pointb, bl + pointb1}

set{pointc, low 10 day low + pointb1}



symlist(spy,xiv,xlf,xlv,xlu,xli,xlp,xlk,xle,xlb,xly,xtl,gld,vnq,dbc,vxx,AAPL,TSLA)


set{MBB%, Ma(20) / bl}
set{UBB%, upper bollinger band(20,2) / bl}
set{cls, close}
add column separator
add column tai
add column bl
add column separator
add column ma(20){MBB}
add column mBB%
add column upper bollinger band(20,2){UBB}
add column UBB%
add column separator

draw tai line at 10
draw tai line at -5
draw tai line at -31


draw bl on plot price




draw pointb on plot cls
draw pointc on plot cls

draw ma(20)

draw Bollinger %B(20,2) line at .65
draw Bollinger %B(20,2) line at .23


set{gr, count(tai above 10,1)}
set{ta, count(tai between -5 and 10,1)}
set{wait, count(tai between -10 and -4.9,1)}
set{bad_idea, count(tai below -10,1)}
add column gr{get_ready}
add column ta{take_action}
add column wait
add column bad_idea
add column separator


set{a, close - close 50 days ago}
set{b, a / close}
set{c, b * 100}

set{bi?, count(close crossed above low 2 days ago,1)}/*Bottom Indicator*/
draw bi?
add column c{alpha}
add column bi?/*With Bollinger %B(20,2) crossing .23 or .65*/
add column Bollinger %B(20,2)
add column separator
sort column 6 descending
]

The rules can be had at the link below for constructing the filter. Maybe someone can check to see if I have
coded it correctly.

http://www.rongroenke.com/vision_v_theory.pdf




jimvin
98 posts
msg #124596
Ignore jimvin
8/4/2015 6:11:24 PM

Playing with numerous variations of this model over the last 3 (granted, terrible) days, the most profitable play from my perspective (whatever that may be worth) was to leave it wide open (i.e. no set list of candidates) and to invest an equal amount in the top 10 selections generated.

I also note that I have found no correlation between other indicators (for example, MACD) and the returns; the only real correlation is that the winning group (i.e. 10 stocks with the highest cumative return) were those ranging in a "tai" score of 10 to 9.6.

This does not mean that there is no correlation, but I didn't find it in the limited time I had for analysis.

Candidate stock list generated Thursday at 2 am was: BEAV, CALA, FNB, MIN, WBMD, TRST, OFC, CMO, BGFV, WCC, COG,
TSEM, WNR, PBYI, SF, LLL, BANC, UNM, IDRA, CPA, VIAB, AEO, TFM, CATY, JOE

Total quanitity selected for tracking was set at 25 as I thought this a reasonable number for analysis.

Total return for the the first 10 selected as of Market close on Tuesday was: 1.36%; not bad for some very challenging days...

SAFeTRADE
413 posts
msg #124610
Ignore SAFeTRADE
modified
8/5/2015 4:44:42 PM

JIm I use this strictly as a long filter, but I am sure someone could find shorts to trade by looking at
the bad_idea column as they are extended.

Jim I don't blindly trade this filter. It is more of an idea generator. The bad idea list keeps me out of
trouble by not entering any trades or rarely entering any trades from this group as they are extended.

I did trade NFLX from the take action column. I made 8% as I got out on the second up day. I
set my profit stop at the high of the red candle on July 20.

I am waiting for a pull back to see what pops up in the take action column. Today it is GLD not going
to touch that now. I generally look for at least a 5% difference from the price to the median bollinger
and 5% from the close to the upper bollinger if price is above the median bollinger. I set my stop
at either the median or the upper bollinger band. I try not to be greedy. My stop is usually the 4 day
low. I like to trade XIV as it gives me more bang for the buck.

Thanks for looking.

jimvin
98 posts
msg #124628
Ignore jimvin
8/9/2015 1:26:18 AM

An interesting and apparently profitable stragtegy.

My approach is a momentum strategy, in at open Monday, out no later than close Tuesday which lets me back in the follwing Monday, with a nod to free-rider limitations.

With a few tweaks to fit that approach, your model looks to have real potential; the results of reasonably timed trades were good in the very challenging week we passed.

That said, the question looming over the longer-term use is: Did the tweaked model perform well this week because the Market was generally negative, or in spite of the market being generally negative...?

In any case, thanks for your hard work and a very sophisticated (and potentially very profitable) filter.

jimvin
98 posts
msg #124631
Ignore jimvin
8/9/2015 11:20:42 PM

One additional note: Groenke's Model indicates that the stock should trade up the last three days before investing; one of my modificaitons was to add "Close has been increasing for 2 days"; the three-day rule didn't return a large enough pool of choices - not suprising in this market...

SAFeTRADE
413 posts
msg #124632
Ignore SAFeTRADE
8/10/2015 12:00:11 AM

That is correct Jim, I do not pay too much attention to that rule however. If I were using the 50 day MA
I might consider doing that, however after 3 days using the 20 day MA the move might be over.

Thanks Jim

jimvin
98 posts
msg #124658
Ignore jimvin
modified
8/14/2015 11:59:53 AM

Interesting...

Hard to get a reasonable read in this fantastically jumpy market, but I'm paper-trading your baseline a dozen different ways to see what tweaks offer what resutls.

Look very promising even during this whacky week.

Thanks again -

jm.v.

jimvin
98 posts
msg #139327
Ignore jimvin
11/15/2017 8:41:33 PM

True to my word, I've been hitting this (among other models) with a variety of approaches...and I may be closing in on victory. For those few (if any) still listening, please stay tuned.

SAFeTRADE
413 posts
msg #139330
Ignore SAFeTRADE
11/15/2017 11:11:59 PM

You got me looking at this again my self Jim, now that you have reintroduced me to it.

One could have caught just about every Etf listed if a buy was made during or just after

a pass between 10 and -5 on the way lower coinciding with a close either between points

b and c or a cross above b. Also you would have been in proximity to the BL(Buy Line).

I will have to take closer look at this. Also an exit could be a close below pointc which

also coincides with a close below Bollinger %B(16,2). Very Interesting.

Thanks Jim for shining a light on this again.

Safetrade

SAFeTRADE
413 posts
msg #139332
Ignore SAFeTRADE
modified
11/15/2017 11:36:57 PM

Jim there were two buys today in the Dow 30. JPM and CSCO. XLF was bought today and JPM was one of them in KBE. Also I noticed for the next two days expected move on the SPX is + or - 20 points. High
Volatility. UP or Down?

StockFetcher Forums · Filter Exchange · The Ron Groenke V Theory<< 1 2 >>Post Follow-up

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