StockFetcher Forums · Filter Exchange · pp moving average<< 1 2 3 >>Post Follow-up
four
4,012 posts
msg #93575
Ignore four
modified
6/6/2010 6:24:13 PM

brank20 ,

I wonder if you might be able to clean-up the code?

Always looking to get better.

brank20
41 posts
msg #93576
Ignore brank20
6/6/2010 6:37:03 PM

Because the code is kinda scattered, I really dont know what your trying to do.

Your buy trigger doesnt look like a standard buy trigger, it just looks like its a day range value above the max(open, close). Dont see how it would ever trigger a buy?....

four
4,012 posts
msg #93577
Ignore four
modified
6/6/2010 6:39:08 PM

"Your buy trigger doesnt look like a standard buy trigger, it just looks like its a day range value above the max(open, close). Dont see how it would ever trigger a buy?...."

- This is the value for a limit order placed after the market close today , for tomorrow.

------------------

"I see to many conditionals bieng saved as variables."

- Anything specific that can be changed?

brank20
41 posts
msg #93579
Ignore brank20
modified
6/6/2010 7:51:25 PM

when I clean it up, it returns no results. Thats because the rsi(2) 1 week low never(or very, very rarely) crosses above the rsi(2) 2 week low.


Fetcher[draw wma(50)
low > wma(65)

close > 1 and close < 1000
average volume(30) > 100000

close > open
low < low 1 day ago
open < open 1 day ago

set{rsi2wk, rsi(2) 2 week low}
set{rsi2day, rsi(2) 2 day low}
draw rsi2wk on plot rsi2day
do not draw rsi(2)

set{rsi1wk, rsi(2) 1 week low}
rsi1wk crossed above rsi2wk

chart-length is 4 months

/* buy trigger*/

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column buy{limit entry price}
]



brank20
41 posts
msg #93580
Ignore brank20
6/6/2010 8:06:08 PM

figured out why it wasnt working.

rsi(2) 1 week low will never cross above rsi(2) 2 week low because it never falls below it. You have to take the difference and find the point when it diverges.

rsi(2) 1 week low - rsi(2) 2 week low
difference crossed above .001

Here is the corrected filter.
Fetcher[draw wma(50)
low > wma(65)

close > 1 and close < 1000
average volume(30) > 100000

close > open
low < low 1 day ago
open < open 1 day ago

set{rsi2wk, rsi(2) 2 week low}
set{rsi2day, rsi(2) 2 day low}
draw rsi2wk on plot rsi2day
do not draw rsi(2)

set{rsi1wk, rsi(2) 1 week low}
set{var1a, rsi1wk - rsi2wk}
var1a crossed above .001

chart-length is 4 months

/* buy trigger*/

set{var1, day point range / 5}
set{buy, max(close,open) + var1}
draw buy on plot close
add column separator
add column buy{limit entry price}
]



four
4,012 posts
msg #93583
Ignore four
6/6/2010 9:00:21 PM

brank20,

Thank you



wkloss
230 posts
msg #93600
Ignore wkloss
6/7/2010 12:28:49 PM

Four,

You asked me my thoughts in an earlier post but I defer to brank20's judgement as I believe brank20 is more knowledegable than I am. Something I would suggest regarding stops is to look into Chuck LeBeau's work, especially Precise Exits and Entries.

I modified your PP MA5 formula to display shorts and wondered if I got it right:

close < cma(pp 1 day ago,5)
close < open
low< cma(pp 1 day ago,5)
high 1 day ago > cma(pp 1 day ago,5)

close between 1 and 20
avgvol(30) > 800000

Bill


four
4,012 posts
msg #93613
Ignore four
modified
6/7/2010 6:53:08 PM

Bill,


Yes, > can become < and < can become >. Then back-test and see what happens. Remember, shorting requires covering the loan and interest. Shares aren't always available to borrow. A long has unlimited upside potential (100% +), but a short can only go to zero.

It is how you trade and manage your money that also determines Profit/Loss. When do you get in? When do you take profit? When do you fold? What's your bet -- average down, average up, hold 'em? What is your risk?

Remember, perfect fills with paper trading don't always happen in the "real world".

Hope this helps.

Questions lead to answers. Keep asking.






wkloss
230 posts
msg #93614
Ignore wkloss
6/7/2010 7:21:12 PM

Four,

I tried changing the formula from long to short and it appears to work fine.

When I say short, I really mean using put options and here I would use 1 strike in the money to make sure I have enough deltas for the put to move like price does. I would probably go out 2 months or so to give the trade time to work. I would use calls for the buy signals.

I took a class where they used this indicator, seasonality (from the Commodity Traders Almanac) and the COT report. Combined, they appeared to work great. Supposedly your indicator when combined with monthly pivot support and resistance gives a 70% accuracy.

Bill

wkloss
230 posts
msg #93650
Ignore wkloss
6/8/2010 5:44:39 PM

Four,

After looking at filter results for a few days, I notice that this filter returns pp/ma crosses from several days ago. From a strategy viewpoint, I'm not sure whether I want to enter the morning after the signal or wait a day for a confirming close in the direction of the signal.

I have been getting several hundred stocks a day on the modified version I did for shorting stocks and I suspect I will get several hundred stocks a day long when the market turns up. Is there a way to add code that only shows something like

stocks that yesterday pp/ma crossed and closed in the direction of the cross and today closed in the direction of the cross?

This would give a cross, a close in that direction and a confirming close in that direction the next day?

I'm terrible at writing code so any help would be appreciated.

Bill

StockFetcher Forums · Filter Exchange · pp moving average<< 1 2 3 >>Post Follow-up

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