StockFetcher Forums · General Discussion · Buy/sell the swings<< >>Post Follow-up
alichambers
48 posts
msg #61611
- Ignore alichambers		 4/19/2008 8:19:05 AM

I'm trying out a strategy that buys and sells when the price moves around key moving averages. For example, buy when the price closes above the SMA(20) *AND* the SMA(20) is visibly rising.

On symbols that move up and down a lot - eg: Daily GBPUSD - this looks by eye to be very proifitable. The price has to go either up or down from the SMA itself, and there are good swings above/below the SMA(20).

My question is this: I'm trying to find the best performing stocks that regularly move up and down by a large amount.

Does anyone have any ideas on how to write a filter for this - and rank symbols that move up/down? I tried 52week high = 3x 52 week low, but what I'm looking for is regular (or as regular as possible!) cycles up and down.

Many thanks.
chetron
2,817 posts
msg #61613
- Ignore chetron		 4/19/2008 11:01:06 AM

maybe this...

Fetcher[

close crossed above ma(20)
ma(20) above ma(20) 1 day ago

]



Fetcher[

close crossed below ma(20)
ma(20) below ma(20) 1 day ago

]
TrendSurfer
109 posts
msg #61614
- Ignore TrendSurfer
modified		 4/19/2008 11:11:18 AM
TheRumpledOne
6,407 posts
msg #61616
- Ignore TheRumpledOne
modified		 4/19/2008 12:07:30 PM

Fetcher[
/* Basic Filter for newbies and old pros */

set{E36b,days(ema(3) is above ema(6),100)}
set{E36a,days(ema(3) is below ema(6),100)}
set{E3xE6, E36a - E36b}

set{E50200b,days(ma(50) is above ma(200),100)}
set{E50200a,days(ma(50) is below ma(200),100)}
set{M50xM200, E50200a - E50200b}

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{CCb,days(close is above close 1 day ago,100)}
set{CCa,days(close is below close 1 day ago,100)}
set{CxC, CCa - CCb}

set{E5b,days(close is above ema(5),100)}
set{E5a,days(close is below ema(5),100)}
set{CxE5, E5a - E5b}


set{E20b,days(close is above ma(20),100)}
set{E20a,days(close is below ma(20),100)}
set{CxM20, E20a - E20b}

set{E50b,days(close is above ma(50),100)}
set{E50a,days(close is below ma(50),100)}
set{CxM50, E50a - E50b}

set{E200b,days(close is above ma(200),100)}
set{E200a,days(close is below ma(200),100)}
set{CxM200, E200a - E200b}


set{T10, count(10 day slope of the close above 0,1)}
set{T60, count(60 day slope of the close above 0,1)}
set{T200, count(200 day slope of the close above 0,1)}

Set{a1, T200 * 1}
Set{a2, T60 * 10}
Set{a3, T10 * 100}

Set{aa, a1 + a2}
Set{TREND, aa + a3}

set{v, volume 1 day ago}
set{volinc, volume - v}
set{volpc, volinc / v}
set{volpct, volpc * 100}

set{VolZ, days(volume < 1,100)}
set{VolUp, days(volume is below volume 1 day ago,100)}
set{VolDn, days(volume is above volume 1 day ago,100)}
set{VolCnt, VolUp - VolDn}

set{vck1, volume 1 day ago }
set{vck, volume / vck1 }
set{vdbl, days(vck < 2, 100)}


and add column VolCnt
and add column Vdbl
and add column VolZ

and add column Trend

and add column CxC {CxC_}
and add column CxE5 {CxE5}

and add column E3xE6 {E3xE6}
and add column E13xE26 {E13xE26}

and add column CxM20
and add column CxM50
and add column CxM200
and add column M50xM200

add column rsi(2)
add column weekly rsi(2)

/* SELECTION CRITERIA */

close above 1
volume above 1000000

ma(20) above ma(20) 1 day ago
close above ma(20)

/* SORT CRITERIA */

sort column 8 descending
]



I added the column CxM20 to show how many days the close has been above(+) or below(-) the sma(20).

Change the /* SELECTION CRITERIA */ to fit your needs.



alichambers
48 posts
msg #61620
- Ignore alichambers		 4/19/2008 4:21:03 PM

Thanks for all your replies - some great ideas coming out here.

How would I modify the results to look for cyclical stocks with price patterns like this:

http://www.chambers-media.com/cycle.jpg

(sorry - a bit basic in MS Paint!!!)

I have found that patterns that are predominately upwards or downwards above the SMA are unreliable for forwards testing - the large move being due to one-off circumstances. I appreciate nothing is guaranteed of course, but if the historical volatility is cyclical, I think there is a better chance that it will continue.



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