StockFetcher Forums · Filter Exchange · Very simple RSI Filter that is working thus far in 2012<< 1 2 >>Post Follow-up
novacane32000
273 posts
msg #105260
Ignore novacane32000
modified
3/5/2012 10:43:05 AM

Fetcher[RSI (3) crossed above : 25 and volume > 600000 and
close > 20
market is not etf
]



Use a 10% stop loss
Hold for max of 10 days
Or exit trigger: RSI (3) crossed below : 70
select by volume descending

Test started on 12/30/2011 ended on 03/02/2012, covering 42 days
Filter used:
RSI (3) crossed above : 25 (saved filter)



Trade Statistics
There were 45 total stocks entered. Of those, 39 or 86.67% were complete and 6 or 13.33% were open.
Of the 39 completed trades, 32 trades or 82.05%resulted in a net gain.
Your average net change for completed trades was: 2.05%.
The average draw down of your approach was: -2.15%.
The average max profit of your approach was: 3.83%
The Reward/Risk ratio for this approach is: 9.25
Annualized Return on Investment (ROI): 76.55%, the ROI of ^SPX was: 49.74%.

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 (10 days) 11 times or 28.21% of the time.
An exit trigger was executed 28 times or 71.79% of the time.

Maximum Entries Per Day: Maximum: 2

Maximum Open Positions: Maximum: 7

Max Selected stocks per day 7







duke56468
683 posts
msg #105261
Ignore duke56468
3/5/2012 11:55:04 AM

Many filters look good during the nice uptrends. What is hard to find are filters that work equally well, or at least stay positive during the down markets like 5/1/2011 to 9/1/2011.
Here is one from Levamit that seems to work


Fetcher[
Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
Lower Keltner Band(5)dropped more then 3 percent
Day Position(0.5,1)below day position 2 days ago
do not draw day position (-1.00,5)
do not draw day position
average Volume(4) > 120000
close > 1.20
IMI(4) below 9
add column IMI(4)
sort on column 5 ascending
]


Approach Type: Long
Start Date: 04/29/2011
End Date: 08/31/2011
Benchmark Symbol: ^SPX

Exit Setup
Stop Loss: 10%
Profit Stop: N/A
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 3

Advanced Options
Selection Method:
Entry Price: close
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 10
Maximum Selected Stocks: 1
Close all OPEN positions: Yes
Trade Statistics
There were 65 total stocks entered. Of those, 65 or 100.00% were complete and or 0.00% were open.
Of the 65 completed trades, 31 trades or 47.69%resulted in a net gain.
Your average net change for completed trades was: 1.24%.
The average draw down of your approach was: -7.88%.
The average max profit of your approach was: 9.67%
The Reward/Risk ratio for this approach is: 1.37
Annualized Return on Investment (ROI): 111.51%, the ROI of ^SPX was: -29.83%.

Exit Statistics
Stop Loss was triggered 12 times or 18.46% 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 (3 days) 53 times or 81.54% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Summary
Invested In Stock: $0.00
Market Value of Stock: $0.00
Market Value - Invested: - $0.00
Available Cash: $107982.34
Total (Cash + Market): $107982.34


Anyone else have a better filter during this period?

levamit
101 posts
msg #105266
Ignore levamit
modified
3/5/2012 5:07:27 PM

HI Duke,

You Can try this:
Fetcher[
Stocks are not OTCBB
Bollinger Width Oscillator(5,2) below -50 in last day
Lower Acceleration Band(5) dropped more than 3.5 Percent
CCI(4) < -80
Day Position(0.05,1)below day position 2 days ago
do not draw day position (-1.00,5)
do not draw day position
average Volume(4) > 120000
close > 1.20
RSI(2) < 1
]



Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 10
Maximum Selected Stocks: 1


Regards,
LA

teoteoVN
9 posts
msg #105273
Ignore teoteoVN
modified
3/5/2012 9:06:59 PM

Thank you very much for sharing this Levamit, This filter is very interesting.
Something I would like to share when I did backtesting for this.

1) This is long strategy, so it doesn't work during down trend, try to avoid it if you can or use a tight stoploss. If not the backtest was telling that the up trend is strong enough to save it.

2) Most of the winner are penny stock, you can read deanengle's post in this thread, but be strong if you strongly believe in the magic of statistics.
http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=105230&qrid=

3) This works well with 2% stoploss also, best stoploss so far is 7% which looks quite safe to trade.
Good luck guys.

tombrown1
61 posts
msg #105363
Ignore tombrown1
3/10/2012 11:02:16 PM

novacane,
I tested your strategy back for 2 years, and it didn't go well - it's equity summary gained about 2% total. One of the problems I think is that your strategy has a ton of hits because your criteria isn't very specific.

As for penny stocks - levamit's strategy only uses stocks greater than $1.20.

tombrown1
61 posts
msg #105364
Ignore tombrown1
modified
3/10/2012 11:04:55 PM

levamit,
What is your exit for this last strategy? Is it still hold for 3 days no matter what?

I did some testing and found that the 3 day hold didn't do so well.

However, putting in this exit: rsi(2) crosses above 55
gives excellent results - especially the last 2 years. Equity summaries for this latest method with my exit from equity summary:

11-12: 208%
10-11: 220%
9-10: 367%
8-9: 5%
7-8: 76%
6-7: 96%
5-6: 153%
4-5: 463%
3-4: 390%
2-3: 796%

Results from 2008-2009 are disheartening at 5% whereas your last method returned 421% from the same year. Otherwise, this seems to be superior.

Best,

Tom

bkhurana43
103 posts
msg #105366
Ignore bkhurana43
3/11/2012 9:47:58 AM

Thanks levamit,

Is there anyway to modify your filter to pickup optionable stocks with close above 10?
Bob

tombrown1
61 posts
msg #105371
Ignore tombrown1
3/11/2012 5:46:37 PM

Bob,
Just add one line and change one line.

Add:

stocks are optionable

Change his line of code that reads "close > 1.20" to "close > 10"





duke56468
683 posts
msg #105373
Ignore duke56468
3/11/2012 5:59:55 PM

@ tombrown1....Thank you for your input, your exit does seem to fit the filter well. Did you ever find a stop loss that did not hurt the results? Some of the losses in the 20% range would get pretty scary.

tombrown1
61 posts
msg #105374
Ignore tombrown1
3/11/2012 6:20:51 PM

Duke,
I did try some stops, and they kill the results. Why so attached to stops? The strategy only risks 20% each trade, so a 20% loss on a stock only gives you an overall hit of 4%. And if you know that overall the strategy will make a ton, then you have no worries about that 20% loss.

After a lot of testing, I still find levamit's older system (the one without the CCI and RSI requirements; and a simple 3-day hold for the exit) to be a touch better. But only a touch. In fact, I'm curious to know which numbers you think are better. Here are results for levamit's older system (equity summary):

11-12: 38%
10-11: 185%
9-10: 540% !!!
8-9: 421% !!!
7-8: 59%
6-7: 85%
5-6: 399% !!!
4-5: 177%
3-4: 343%
2-3: 917% !!!

Levamit's system in this thread with my exit:

11-12: 208% !!!
10-11: 220% !!!
9-10: 367%
8-9: 5%
7-8: 76% !!!
6-7: 96% !!!
5-6: 153%
4-5: 463% !!!
3-4: 390% !!!
2-3: 796%

(!!! indicates it was the higher number for that year)

The second strategy has 6 wins to the first one's 4, but the 1st one makes quite a bit more money if you had traded it from the beginning and compounded it.
The 2nd one also has better numbers in the last two years which is huge.

Which numbers would you rather have in a system?


StockFetcher Forums · Filter Exchange · Very simple RSI Filter that is working thus far in 2012<< 1 2 >>Post Follow-up

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