StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 7 8 9 10 11 ... 32 >>Post Follow-up
Nickster8074
53 posts
msg #109455
Ignore Nickster8074
12/17/2012 11:45:45 AM

I've seen a lot of discussion about the entry point (down 6%) and exit point (RSI(2)>50), is there any thoughts about a stop loss or some downside protection?

gmg733
618 posts
msg #109458
Ignore gmg733
12/17/2012 3:47:19 PM

Go and see Kevin's comments on programming Prodigio. Enter on a candle that is a tick above the pullback. This helps you prevent against a position that just keeps dropping. A great suggestion from Kevin.

The results for this system are VERY good. I don't think I'd bother improving the 'wheel' at this point. And for those with a day job, this is a very manageable system. Very binary and non-emotional!

duke56468
683 posts
msg #109465
Ignore duke56468
12/17/2012 5:53:11 PM

Kevin or mahkoh... is there a way to write the the filter so it shows stocks that reached the 6% low on the second day?

Kevin_in_GA
4,538 posts
msg #109466
Ignore Kevin_in_GA
12/17/2012 5:58:59 PM

Here is the code for a 4% pullback (just change the "scale" module to 0.94 to get a 6% pullback).

Note that a trade will only be triggered if the current 1 min bar closed ABOVE the trigger while the previous 1 min bar close BELOW. There are rare instances where the cross below and back above occur within the same 1 min bar - you can go down to as short a time frame as 5 seconds if that meets your needs.

Also note that this rule is applied to a pre-selected list derived from SF the night before.

Photobucket

Kevin

gmg733
618 posts
msg #109471
Ignore gmg733
modified
12/17/2012 11:28:27 PM

Wow. That looks familiar. I did look at the previous 1 min bar 'low' was below the previous closing bar low.

:)


jackmack
333 posts
msg #109476
Ignore jackmack
12/18/2012 8:06:24 AM

Thank you posting this Kevin.
Not as complicated as mine ;-)
Cheers

compound_gains
152 posts
msg #109477
Ignore compound_gains
12/18/2012 8:11:44 AM

For anyone who's interested...
This script lets you troll day-by-day to see which stocks hit and what the closing performance was for the next five days (including the entry day) along with the closing RSI(2) for each day. In most cases you are out of the trade within five days based on the closing RSI(2), unless it's a dog. There are no commissions or bid/ask spreads factored into the entry price, but you can easily add those if you want.

No doubt there are many trades with impressive returns, but there are also any number that will rip your face off. Conclusion: You can't blindly trade this without some kind of entry management...such as Kevin has talked about...and some kind of firm or mental stop loss...perhaps 8%. There's also an element of luck in which stock hits first on days when more than one stock hits and how that first one eventually performs.

PTTA (Profitable Trading To All)

Fetcher[low 5 days ago more than 6% below close 6 days ago
close 5 days ago above 5
close 5 days ago below day position(0.2,1) 5 days ago
average volume(21) 5 days ago above 250000
adx(10) 5 days ago above 30

sort column 5 descending
low 4 days ago more than 6% below close 5 days ago
set{entry, close 5 days ago * .94}

set{close1, close 4 days ago / entry}
add column close1
add column rsi(2) 4 days ago {rsi2-1}
add column separator

set{close2, close 3 days ago / entry}
add column close2
add column rsi(2) 3 days ago {rsi2-2}
add column separator

set{close3, close 2 days ago / entry}
add column close3
add column rsi(2) 2 days ago {rsi2-3}
add column separator

set{close4, close 1 day ago / entry}
add column close4
add column rsi(2) 1 day ago {rsi2-4}
add column separator

set{close5, close / entry}
add column close5
add column rsi(2) {rsi2-5}
]




Kevin_in_GA
4,538 posts
msg #109492
Ignore Kevin_in_GA
12/18/2012 1:43:12 PM

No doubt there are many trades with impressive returns, but there are also any number that will rip your face off. Conclusion: You can't blindly trade this without some kind of entry management...such as Kevin has talked about...and some kind of firm or mental stop loss...perhaps 8%. There's also an element of luck in which stock hits first on days when more than one stock hits and how that first one eventually performs.
++++++++++++++++++++++++++++++++++++++++++

1. The use of a "cross above" strategy is a form of entry management in that it keeps you out of a few unprofitable scenarios, but also important is position sizing (and if you follow Connors' approach the occasional doubling down on a trade).

2. I developed this approach without the use of a stop loss. In all cases - all of them - the introduction of a stop loss resulted in both lower overall returns and a lowered Sharpe ratio.

3. In real life the trades are entered solely on timing, not by any selection method. Therefore I typically ignore the returns if they are based on something like "rsi(2) ascending" and only use Monte Carlo results with n = 1000 or more. I do like to see that if one picks the lowest RSI you see the best returns, etc since that shows that this is an important variable in the filter. However, beyond that I only use Monte Carlo data (and more importantly, a walk-forward analysis that shows nearly similar results).

I have moved beyond this initial set of conditions in favor of using the williams %r(2), and using whatever this month's WFA selected set of values is.

jackmack
333 posts
msg #109504
Ignore jackmack
12/18/2012 10:37:45 PM

Kevin
Sorry but I do not follow the "using williams %r(2)?
What are you using that for?
Is that a new exit rule?
Thank you


gmg733
618 posts
msg #109530
Ignore gmg733
12/20/2012 10:12:47 AM

HLF just hit a buy.

StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 7 8 9 10 11 ... 32 >>Post Follow-up

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