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arthur702
38 posts
msg #36273
Ignore arthur702
6/10/2005 9:00:32 PM

the following strategy has been working well for me; buy at the money put options 2 months out:

Show stocks where ma(13) crossed below MA(26) within the last 1 days and +DI(14) crossed below -DI(14) within the last 5 days and Average Volume(90) is above 500000 and show stocks that are optionable and close is between 9 and 250

Pick 10 stocks a month and buy the put options 2 months out and 7 out of 10 go in your favor and the others dont, so you wind up with a gain at the end of 2 months.

let me know your opinions.





TheRumpledOne
6,362 posts
msg #36280
Ignore TheRumpledOne
6/11/2005 5:22:16 PM

You started with:

Fetcher[
Show stocks where ma(13) crossed below MA(26) within the last 1 days and +DI(14) crossed below -DI(14) within the last 5 days and Average Volume(90) is above 500000 and show stocks that are optionable and close is between 9 and 250
]



DEAD ON!!

HolyGrail taught me the ema(13) x ema(26) as a trend indicator on the daily charts. Works like a charm. I also use it on the www.prophet.net 10day/60 min chart.

I expanded your filter into BULLISH and BEARISH FILTERS:

Fetcher[
/* BULLISH EMA/DI CROSSOVER */

set{E1326b,days(ema(13) is above ema(26),100)}
set{E1326a,days(ema(13) is below ema(26),100)}
set{E13xE26, E1326a - E1326b}

set{pDI, +DI(14)}
set{nDI, -DI(14)}

set{bDI,days(ema(13) is above ema(26),100)}
set{aDI,days(ema(13) is below ema(26),100)}
set{xDI, aDI - bDI}

stocks that are optionable

Volume above 500000

close above 1

E13xE26 above 0
E13xE26 below 2
xDI above 0
xDI below 6

add column E13xE26
add column xDI
]





Fetcher[
/* BEARISH EMA/DI CROSSOVER */

set{E1326b,days(ema(13) is above ema(26),100)}
set{E1326a,days(ema(13) is below ema(26),100)}
set{E13xE26, E1326a - E1326b}

set{pDI, +DI(14)}
set{nDI, -DI(14)}

set{bDI,days(ema(13) is above ema(26),100)}
set{aDI,days(ema(13) is below ema(26),100)}
set{xDI, aDI - bDI}

stocks that are optionable

Volume above 500000

close above 1

E13xE26 below 0
E13xE26 above -2
xDI below 0
xDI above -6

add column E13xE26
add column xDI
]



Notes:

1) The +DI and -DI do funny things instead some SET statements, that's the reason for the pDI and nDI variables.

2) I know above 0 and below 2 is the same as equal 1 but this allows for tweaking so I don't have to add lines later.

3) I changed the volume and price from the original.

4) I use the EMA instead of the MA.



MAY ALL YOUR FILLS BE COMPLETE.





TheRumpledOne
6,362 posts
msg #36281
Ignore TheRumpledOne
6/11/2005 6:14:02 PM

DANG IT!

Due to a SF limitation, I found a small "bug" in my crossover calculations!

Since SF returns a -1 when an event doesn't occur, a -1 in the resulting column can be misleading!!

It told me FORD had a crossover to the downside.. when I viewed the chart that is NOT what happened (by the way, it was on another filter that uses the same code where I discovered this. NOW I HAVE LOTS OF WORK TO DO. I WISH WE HAD MACROS OR A COPY LIBRARY SO I COULD STORE THIS CODE IN ONE PLACE AND ONLY HAVE TO CHANGE IT ONCE.. END OF RANT)



Fetcher[
/* BULLISH EMA/DI CROSSOVER */

set{E1326b,days(ema(13) above ema(26),100)}
set{E1326b1, count(E1326b above -1 , 1)}
set{E1326b2, E1326b * E1326b1}
set{E1326a,days(ema(13) below ema(26),100)}
set{E1326a1, count(E1326a above -1 , 1)}
set{E1326a2, E1326a * E1326a1}
set{E13xE26, E1326a2 - E1326b2}

set{pDI, +DI(14)}
set{nDI, -DI(14)}

set{bDI,days(ema(13) is above ema(26),100)}
set{aDI,days(ema(13) is below ema(26),100)}
set{xDI, aDI - bDI}

stocks that are optionable

Volume above 500000

close above 1

E13xE26 above 0
E13xE26 below 2
xDI above 0
xDI below 6

add column E13xE26
add column xDI
]







Fetcher[
/* BEARISH EMA/DI CROSSOVER */

set{E1326b,days(ema(13) above ema(26),100)}
set{E1326b1, count(E1326b above -1 , 1)}
set{E1326b2, E1326b * E1326b1}
set{E1326a,days(ema(13) below ema(26),100)}
set{E1326a1, count(E1326a above -1 , 1)}
set{E1326a2, E1326a * E1326a1}
set{E13xE26, E1326a2 - E1326b2}

set{pDI, +DI(14)}
set{nDI, -DI(14)}

set{bDI,days(ema(13) is above ema(26),100)}
set{aDI,days(ema(13) is below ema(26),100)}
set{xDI, aDI - bDI}

stocks that are optionable

Volume above 500000

close above 1

E13xE26 below 0
E13xE26 above -2
xDI below 0
xDI above -6

add column E13xE26
add column xDI
]



How it works...

The result from the DAYS should always be greater than or equal to zero.

If you take a COUNT of that result for greater than -1 and
it returns zero, you know the event didn't occur because it was -1.

You multiply the DAYS result by zero, any -1 will give you zero for your answer. Otherwise, the COUNT is 1 and any number multiplied by 1 is itself.
Aren't you glad you studied algebra? LOL!!

A zero in the E13X26 column means it has been over 100 days since the last crossover.


MAY ALL YOUR FILLS BE COMPLETE.

P.S. Cegis, are you proud of me figuring this one all by myself? LOL!


arthur702
38 posts
msg #36297
Ignore arthur702
6/12/2005 3:55:55 PM

thanks, your like the sf guru. That formula is entirely too confusing for me :)

This past weekend ive been racking my brain and found the following filter to be a great way to trade put options for a short period of time (30-40 days):

Show stocks where MA(8) crossed below MA(13) within the last 1 days
and Average Volume(90) is above 500000
and close is between 10 and 250

only pick those stocks where there hasnt been a ma(8)/ma(13) crossover in the last 2 months, this ensures the trend is stronger.

backtesting the filter using different periods resulted in 84% win percentage with a max holding period of 40 days

The way one should trade this is to buy an in the money put option 1-2 months out.

let me know if you guys/gals agree!


TheRumpledOne
6,362 posts
msg #36330
Ignore TheRumpledOne
6/14/2005 4:00:50 PM

Your original

Fetcher[

Show stocks where MA(8) crossed below MA(13) within the last 1 days
and Average Volume(90) is above 500000
and close is between 10 and 250

]





Fetcher[
Fetcher[
/* BEARISH MA(8) X MA(13) CROSSOVER */

set{E813b,days(MA(8) above MA(13),100)}
set{E813b1, count(E813b above -1 , 1)}
set{E813b2, E813b * E813b1}
set{E813a,days(MA(8) below MA(13),100)}
set{E813a1, count(E813a above -1 , 1)}
set{E813a2, E813a * E813a1}
set{E8xE13, E813a2 - E813b2}


stocks that are optionable

Volume above 500000

close above 1

E8xE13 below 0

add column E8xE13

]







MrBid
16 posts
msg #36349
Ignore MrBid
6/15/2005 11:32:16 AM

arthur702,

How have you found a 83% win by backtesting your filter ?
Which parameters have you used ?

MrBid


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