StockFetcher Forums · Filter Exchange · my stock and option lessions<< 1 2 3 4 >>Post Follow-up
MARY4MONEY
806 posts
msg #78216
Ignore MARY4MONEY
8/29/2009 10:00:52 AM

lession#1---- the indicators i use on my filters-------daily rsi(2)----set{A, rsi(2)} and add column A----weekly rsi(2)------set{weekly-A,weekly rsi(2)} and add column weekly-A--------x%--the profit indicator------set{x%, weekly atr(8)/weekly ma(8)}and add column x% ------daily volume spike--set{v%, volume/average volume(100)} and add column v%
---weekly volume spike-----set{wv,average volume(5)/average volume(100)} and add column wv--------% above 50 day low to find recent moving stocks--set{low1,close - low 50 day low}set{low2, low1 / low 50day low} set{%above50daylow, low2 * 100}and add column %above50daylow-----------------------------------finding stocks that have have a higher % of movement for the last 5 days- smaller version of x%------------set{d%, atr(5)/ema(5)} and add column d%------at major bottoms you want have stocks <10% on weekly rsi(2) and use higher x% stocks- lets look at what you get when you look at the last major bottom on 7-10-09-- using x% above 0.15 and weekly rsi-2 belwo 10 and average volume above 500000------Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +2.46% 1555 (+3.23%) 207 (-2.94%)
35 +2.12% +2.27%
2 Days +3.72% 1611 (+4.59%) 171 (-4.15%)
15 +2.49% +2.61%
3 Days +7.57% 1696 (+8.44%) 86 (-8.33%)
15 +6.09% +5.77%
4 Days +8.64% 1685 (+9.79%) 102 (-9.43%)
10 +7.35% +6.94%
1 Week +8.43% 1667 (+9.71%) 120 (-8.58%)
10 +7.44% +7.33%
1 Month +23.23% 1641 (+26.65%) 153 (-12.91%)
3 +13.82% +14.92%
Current +27.42% 1640 (+31.44%) 152 (-15.07%)
5 +15.53% +17.16%
1797 matching stocks
the above does not have the belwo 10% on the weekly rsi-2---now below we will add it and see the dramatic difference(by adjusting the weekly rsi-2 lower and the x% higher we get stock that will make bigger moves up and a higher % of winners--Performance results for your filter covering the dates:
Friday July 10, 2009 to Friday August 28, 2009

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +4.24% 116 (+6.13%) 20 (-5.45%)
6 +2.12% +2.27%
2 Days +7.09% 122 (+9.01%) 16 (-5.83%)
4 +2.49% +2.61%
3 Days +14.03% 130 (+15.65%) 6 (-7.02%)
6 +6.09% +5.77%
4 Days +14.08% 129 (+16.72%) 10 (-15.66%)
3 +7.35% +6.94%
1 Week +13.20% 128 (+15.91%) 13 (-12.45%)
1 +7.44% +7.33%
1 Month +40.17% 136 (+42.55%) 6 (-13.73%)
0 +13.82% +14.92%
Current +51.25% 135 (+54.49%) 7 (-11.23%)
0 +15.53% +17.16%
142 matching stocks

and you can do it by sectors too- like adding banks to above--Performance results for your filter covering the dates:
Friday July 10, 2009 to Friday August 28, 2009

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +7.48% 33 (+7.48%) 0 (n/a)
0 +2.12% +2.27%
2 Days +7.58% 31 (+8.85%) 2 (-12.09%)
0 +2.49% +2.61%
3 Days +12.48% 31 (+14.26%) 2 (-15.20%)
0 +6.09% +5.77%
4 Days +11.30% 30 (+14.52%) 3 (-20.90%)
0 +7.35% +6.94%
1 Week +5.91% 25 (+11.54%) 8 (-11.68%)
0 +7.44% +7.33%
1 Month +38.42% 31 (+41.40%) 2 (-7.86%)
0 +13.82% +14.92%
Current +40.76% 30 (+46.13%) 3 (-12.94%)
0 +15.53% +17.16%
33 matching stocks

or we could ass financial stocks--Performance results for your filter covering the dates:
Friday July 10, 2009 to Friday August 28, 2009

Change Offset
<< Week Day Previous Next Day Week >>
Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%)
1 Day +5.24% 27 (+5.87%) 1 (-11.76%)
0 +2.12% +2.27%
2 Days +6.40% 27 (+6.73%) 1 (-2.62%)
0 +2.49% +2.61%
3 Days +12.14% 28 (+12.14%) 0 (n/a)
0 +6.09% +5.77%
4 Days +10.55% 27 (+13.65%) 1 (-73.20%)
0 +7.35% +6.94%
1 Week +9.88% 27 (+12.25%) 1 (-54.25%)
0 +7.44% +7.33%
1 Month +40.50% 27 (+42.61%) 1 (-16.34%)
0 +13.82% +14.92%
Current +50.58% 26 (+55.07%) 2 (-7.69%)
0 +15.53% +17.16%
28 matching stocks



chetron
2,817 posts
msg #78217
Ignore chetron
modified
8/29/2009 10:36:04 AM

CLEANED AND PRESSED....

Fetcher[


/* lession 1---- the indicators i use on my filters------- */
/* TACHIKAWA */
/* daily rsi(2) */
set{A, rsi(2)}
add column A

/* ----weekly rsi(2)------ */
set{weekly-A,weekly rsi(2)}
add column weekly-A

/* --------x%--the profit indicator------ */
set{x%, weekly atr(8)/weekly ma(8)}
add column x%

/* ------daily volume spike-- */
set{v%, volume/average volume(100)}
add column v%

/* ---weekly volume spike----- */
set{wv,average volume(5)/average volume(100)}
add column wv

/* --------% above 50 day low to find recent moving stocks-- */
set{low1,close - low 50 day low}
set{low2, low1 / low 50day low}
set{%above50daylow, low2 * 100}
add column %above50daylow

/* -------------------------finding stocks that have have a higher % of movement for the last 5 days- smaller version of x%---- */
set{d%, atr(5)/ema(5)}
add column d%
SET{VARMA,SHARES OUTSTANDING * 1000000}
SET{TRADEVOUT,VOLUME / VARMA}
DRAW TRADEVOUT

/* ------at major bottoms you want have stocks <10% on weekly rsi(2) and use higher x% stocks- lets look at what you get when you look at the last major bottom on 7-10-09-- using */

x% above 0.15
weekly rsi(2) belOw 10
average volume above 500000
CLOSE ABOVE .1

/* ------Change Offset */

the above does not have the belwo 10% on the weekly rsi-2---now below we will add it and see the dramatic difference(by adjusting the weekly rsi-2 lower and the x% higher we get stock that will make bigger moves up and a higher % of winners--
*/



]





hawkeyes002
49 posts
msg #78228
Ignore hawkeyes002
8/29/2009 1:41:04 PM

could you post the filter with rsi weekly below 10 and x% above 0.15? thanks

trendscanner
265 posts
msg #78232
Ignore trendscanner
modified
8/29/2009 2:42:41 PM

Hey M4M, thanks for offering to pass on your hard-won knowledge. I've read most of your posts on this board and the yahoo bac message board as well. I opened accounts this week at optionshouse and thinkorswim and was planning on learning to trade options in the upcoming weeks, so your decision to help out those of us who want to learn is very fortuitous.

Was planning on working with RSI(2) in multiple time frames and using linear regression lines, per your posts on the yahoo bac board. Definitely interested in any further insights you have to offer.



Kevin_in_GA
4,536 posts
msg #78234
Ignore Kevin_in_GA
modified
8/29/2009 4:31:15 PM

I would rather have the following as selection criteria:

1. close is above 1
2. close is below close 1 day ago
3. average volume(50) is above 100000

Fetcher[

/* daily rsi(2) */
set{A, rsi(2)}
add column A

/* ----weekly rsi(2)------ */
set{weekly-A,weekly rsi(2)}
add column weekly-A

/* --------x%--the profit indicator------ */
set{x%, weekly atr(8)/weekly ma(8)}
add column x%

/* ------daily volume spike-- */
set{v%, volume/average volume(100)}
add column v%

/* ---weekly volume spike----- */
set{wv,average volume(5)/average volume(100)}
add column wv

/* --------% above 50 day low to find recent moving stocks-- */
set{low1,close - low 50 day low}
set{low2, low1 / low 50day low}
set{%above50daylow, low2 * 100}
add column %above50daylow

close is below close 1 day ago
close is above 1
and average volume(50) is above 100000
x% is above 0.15
weekly RSI(2) is below 10

and draw weekly-a
and draw x%
and sort on column 6 ascending
display is weekly
]



Using these criteria I get 21 hits. If you add "stock is optionable" it drops to 6.

yenaledd
15 posts
msg #78235
Ignore yenaledd
8/29/2009 4:51:05 PM

Kevin,
Trying to backtest your modification. What are you using for entry and exit points on this screen?
TIA

Kevin_in_GA
4,536 posts
msg #78236
Ignore Kevin_in_GA
8/29/2009 5:16:55 PM

Beats me.

I haven't even figured out how to select from this one yet - it is derived from M4M's strategy, but I think there is still some interpretation that needs to be done before pulling any triggers.

I did look backwards a few times using the offset, and if you went back before 3/9, it doesn't appear to produce a lot of explosive hits. My concern is that we are nrear or at the top of the markets for now, and that an all-long strategy might be risky.

What I do like is that this screen picks stocks that may have bottomed.

yenaledd
15 posts
msg #78238
Ignore yenaledd
8/29/2009 5:57:35 PM

Is it possible to add your entry triggers on the filter? For example, on Kevin's modifcation in this thread, if entry had to wait for a close above the close on the day of signal, and this close above the close on signal day had to occur within 3 trading days of the signal. I tried to accomplish this in backtesting but didn't have any success. Can it be done within the filter?

Kevin_in_GA
4,536 posts
msg #78240
Ignore Kevin_in_GA
8/29/2009 6:56:17 PM

offset is X

Dump those stock results into a new WL, then run your confirmation signal scan on them

Close is above close X days ago

trendscanner
265 posts
msg #78241
Ignore trendscanner
modified
8/29/2009 7:45:00 PM

My understanding of this filter is that you wait to run it when there's a major market bottom to find optimal candidates for riding the rebound, either by going long or buying calls.

From what I understand, the stocks with the higher %x values are those that have had the price volatility [as measured by weekly atr(8)/weekly ma(8) ] during the preceeding 8 weeks and therefore are potentially most likely to have the largest bounce when the market turns.

I like Kevin's idea, run them against your watch list, to find identify stocks you are familiar with and comfortable trading. The financials seem to work well for M4M.

What's left to determine is what criteria to use to identify a major market bottom. Perhaps when a certain percentage of individual stocks (maybe greater than 90%) show weekly RSI(2) below 10 as well as the major indices showing weekly RSI(2) below 10 and then RSI starts to recovery, that's a major bottom.

StockFetcher Forums · Filter Exchange · my stock and option lessions<< 1 2 3 4 >>Post Follow-up

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