StockFetcher Forums · General Discussion · Bollinger Band %b Swing Trading System<< >>Post Follow-up
simonbenge
2 posts
msg #34642
Ignore simonbenge
12/31/2004 11:15:16 PM

Hello all

There is a lot of experience in this room creating filters and I am hoping that somebody might be able to either correct or confirm that I have created the following filter properly.

I am trying to create the following:

Bollinger Band settings:
5 period Bollinger Band with a standard deviation of 1.

Rules for Longs:
1) The stock closes above its 200 period simple moving average
2) The %b closes below 0.20 for three days in a row
3) Go long the stock at close (or next mornings opening)
4) Cover the position when %b closes above 0.80

Rules for Shorts:
1) the stock closes below its 200 period simple moving average
2) the %b closes above 0.80 for three days in a row
3) Go short the stock at close (or next mornings opening)
4) Cover the position when 5b closes below 0.20

For Long positions this is my best attempt:

"show stocks where close is above MA(200) and Bollinger %B(5,1.0) is crossed below 0.20 for the last 3 days and draw Bollinger Bands(5,1.0) and draw MA(200)and average volume(90) is above 50000 and close is between 50 and 250"

It appears to almost be correct, except the requirement of 3 days below 0.20 %b level. I get a scan result on the first day below 0.20 %b.

Any help would be very much appreciated and hopefully we all can use this scan with some profitable results.

One last word, I would like to get this scan working 100% correct before people start "improving" on it has seems to happen in every post.

Good luck with your trading and Happy New Year.

Simon


yepher
353 posts
msg #34644
Ignore yepher
1/1/2005 12:24:07 AM

To fix the problem you mention with " Bollinger %B(5,1.0) is crossed below 0.20 for the last 3 days" maybe you should use "has been below..." instead.


Possibly something like this "crossed below 3 days ago" and "has been below for the last 3 days" to solve the problem.


marine2
805 posts
msg #34657
Ignore marine2
1/1/2005 1:51:52 PM

Simonbenge, hello, I further refined your filter and removed the many hits you were getting. With my added conditions to what your original thoughts were I think you have a nice positive filter going for you. I am adding my changes to your filter here for your scrutinization. Try it out and tell me what you think. What I did in a nutshell was add: what Yepher suggested, a CCI condition, and a different price target notation (price is variable as you know all depends how expensive you want to go). It gave this filter some integrity and positiveness. The back testing was back 68 days and looked pretty good. Didn't try a tighter back test but I am sure it will show even better. I hope this helps!

Here is my version:

Price is above MA(200) at close
and Bollinger %B(5,1.0) has been below 0.20 3 days ago
and draw Bollinger Bands(5,1.0)
and draw MA(200)
and average volume(90) is above 50000
and close is between 10 to 30
and cci(14) is below -100
and price is increasing previous 1 day

If, anyone else can further improve this filter you're welcome to do so.

Thanks, Simon and Yepher for your input.


simonbenge
2 posts
msg #34667
Ignore simonbenge
1/1/2005 6:37:19 PM

Hello Yepher and Marine2,

Thanks very much for your help, I will try these changes today and see how they go.

I can not take credit for this system/filter as I paid good money for a course that contained this system. Until I found Stockfetcher, I had no real way of testing it in the markets so it will be very interesting to see how it performs.

Cheers and have a Great New Year


StockFetcher Forums · General Discussion · Bollinger Band %b Swing Trading System<< >>Post Follow-up

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