StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 4 5 6 7 8 ... 32 >>Post Follow-up
192 posts
msg #109255
Ignore sohailmithani
12/10/2012 2:32:25 PM

Hi Kevin,

Did you do a trade by trade comparison of SS and SF to see if they both pick the same stocks and at same or similar prices and exit too at same or similar prices?

I have recently got AmiBroker. I coded one of my existing filters in SF and compared trade by trade results. Was surprised to see that there were stocks picked by SF but not AB and vice versa. Not sure which one to trust with backtest results.
I even used a very basic code in both SF and AB to say buy stocks close > 5 and when rsi(2) < 10 and exit when rsi(2) > 75 but results were not very close in terms of trade picking.

Anyone has done and such comaprison?

3,826 posts
msg #109256
Ignore Kevin_in_GA
12/10/2012 2:52:29 PM

Make sure that you can actually see every trade. SF tends to select by volume descending, while others might use a default of Alphabetical". Given a set portfolio size the results stock selections would look very different even though the total set of stocks selected are identical.

As to my actually doing this here, I have other things I would rather do - almost anything would probably qualify!

52 posts
msg #109308
Ignore dcsnowden
12/12/2012 10:16:40 AM

Plenty of triggers over the last week......but no fills....last one was EDU I think.....maybe today. I like the mechanical nature of this one...a real KISS filter with plenty of lead time so that no snap decisions are required. Would like to get more of a "FEEL" for it in real time the winners and losers over some length of time. I tend to be a bargain hunter....this can make one susceptable to those dangerous ol' FALLING KNIVES.....which is why I wish more ETFs would show up. Perhaps loosening up the parameters a bit....8 or maybe 6% total drawdown over the 2 days instead of 12%, not quite so much volume....any ideas???


352 posts
msg #109343
Ignore BarTune1
12/12/2012 8:28:51 PM

It is easy to get more candidates by loosening up the parameters. However, is that what you really want? Diminished returns? You'll be waiting a long time if you want to see a lot of ETFs show up on this filter given their lower volitility. If you want to play ETFs there are some Connors ETF filters posted in the threads.

My advice is to wait it out and only take the strongest statistical plays.

343 posts
msg #109347
Ignore gmg733
12/12/2012 10:38:29 PM

CBMX hit today. What is interesting is you'll be out of this trade based upon the exit rules. RSI(2) was above the exit upon entry.

10 posts
msg #109348
Ignore RobtF
12/13/2012 6:12:57 AM

ACAD hit on my filter 12/10. Nice profit taken.

10 posts
msg #109349
Ignore RobtF
12/13/2012 6:38:53 AM

"CBMX hit today. What is interesting is you'll be out of this trade based upon the exit rules. RSI(2) was above the exit upon entry
hit today."
Are you sure/ It was down 6% on the day and RSI(2) was > 50?

3,826 posts
msg #109351
Ignore Kevin_in_GA
12/13/2012 7:15:52 AM

CBMX did work - remember that the low is intraday, but the RSI(2) is calculated at the close. There was a 6+% pullback on what ended up being a white candle.

683 posts
msg #109353
Ignore duke56468
12/13/2012 9:03:10 AM

CBMX I get RSI(2) @ 20.75 so you would still be in it.

52 posts
msg #109354
Ignore dcsnowden
12/13/2012 9:07:37 AM

Yep, your right Bar Tune, this is definitely a filter looking for volitilty.... some of the 3Xer ETFs might show up now and then...we'll see

But as to CBMX

Should one really feel comfortable buying a stock that was $2 a few days ago...and then spiked to $14....just because it fit our model? I know I said I like the KISS aspect of this filter...but...I'm still going to check the charts and see if it's in some sort of consistent pattern....which this clearly wasn't. I think they do genetic research...possibly pharma related..seems like these groups are always spiking up and down depending on the latest news....I just don't trust 'em, but anyway.. Kevin is right. It would've gotten in around 10 in the morning at $8.15 and out at rsi(2) above 50 at some point or the close at $9.11 for a nice profit.

RobtF which filter are youn using to get ACAD?


StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 4 5 6 7 8 ... 32 >>Post Follow-up

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