StockFetcher Forums · General Discussion · ConnorsRSI<< 1 2 3 4 5 ... 32 >>Post Follow-up
jackmack
334 posts
msg #109042
Ignore jackmack
11/28/2012 8:50:33 AM

Kevin
just awesome
I am still using Prodigio (now Optionhouse Prodigio) with the SSO/SDS Stoch filter and it took me a while to get
that pretty straight forward rule set completed - so I can only imagine how crazy difficult this would be to do.
Just curious if you were able to do it in Prodigio?
Thank you
Cheers


Kevin_in_GA
4,555 posts
msg #109047
Ignore Kevin_in_GA
11/28/2012 9:55:56 AM

@jackmack:

I think you are overestimating the difficulty. Just use the SF filter to select stocks the night before. Create a watchlist from that output and load it into Prodigio. Than just set up and entry rule that says "if the previous 1 min bar is below the prior day close*0.94, and the current 1 min bar closed above that same level, then enter a market order at the open of the next bar." Exit rule is RSI(2) > 50. Easy.

The nice thing about this is that the entry requires the price to cross above the trigger, rather than below. Therefore no order would be placed if the stock just dropped through the entry trigger price, or gapped below and never came back up.

mahkoh
895 posts
msg #109048
Ignore mahkoh
modified
11/28/2012 10:05:42 AM

Should the sf code not be

Fetcher[



close above 5
close is below day position(0.2,1)
average volume(21) above 250000
adx(10) above 30
set{x, close 1 day ago * 0.94}
low below x
]




jackmack
334 posts
msg #109052
Ignore jackmack
11/28/2012 12:34:08 PM

Kevin
What was the average holding period (if known)?
Additionally was the scan run every day to pick a new position if one of the five
positions was vacant?
Thank you


Kevin_in_GA
4,555 posts
msg #109053
Ignore Kevin_in_GA
modified
11/28/2012 12:50:07 PM

@mahkoh: Good catch. I had assumed that SF would see these two as equal, but apparently not. Not an issue with the system but rather with the SF code translation. I have corrected this in the original post.

@jackmack: Average holding period was approximately 4 days.

Yes, the scan is run every night and the results are used the following morning.

sohailmithani
192 posts
msg #109060
Ignore sohailmithani
modified
11/28/2012 4:21:27 PM

Would the statement below be same as your set{trigget----} command

Low is 6% below close 1 day ago

I also wanted to ask the experts that what if in backtesting my filter I want selection method to be first come first serve basis.

What I mean here is say on Nov 26th I get nightly email with 40 stocks listed. I only buy 10 trades a day. So on Nov 27th I buy first 10 stocks as they trigger but backtest if run on Nov 27th pick stocks based on some selection criteria, which may not be available in real time.

Let me clarify further. In backtest, selection method say is volume based but in real life I will pick first 10 stocks as they come along as if I wait for stock selection based on volume criteria I may not buy the one which at that point in time has low volume and waiting for higher volume one to trigger which never does and I miss the one I skipped but SF backtest will not as it has the luxury to look at EOD data (which is history not real time).

I know this is not doable in SF but anyother site which can do this?

Thanks

Kevin_in_GA
4,555 posts
msg #109061
Ignore Kevin_in_GA
11/28/2012 5:26:13 PM

1. If you want this type of question answered please post it in the Backtesting forum as it is not related to this thread.

2. You cannot do what you are asking since all SF data is daily and there is no way to know which stocks triggered first.

BarTune1
406 posts
msg #109062
Ignore BarTune1
11/28/2012 5:53:24 PM

Great work Kevin. I'm still on the road this week and next. Let me know when you are up this way.

sohailmithani
192 posts
msg #109063
Ignore sohailmithani
11/28/2012 6:40:53 PM

Kevin would you mind responding to part a of my question.

Would the statement below be same as your set{trigger----} command

Low is 6% below close 1 day ago

Thanks

Kevin_in_GA
4,555 posts
msg #109064
Ignore Kevin_in_GA
11/28/2012 7:07:31 PM

Not exactly, because you are then screening for stocks where the pullback was exactly 6%.

"low is more than 6% below close 1 day ago" might work.

StockFetcher Forums · General Discussion · ConnorsRSI<< 1 2 3 4 5 ... 32 >>Post Follow-up

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