StockFetcher Forums · General Discussion · For Kevin<< >>Post Follow-up
shillllihs
3,521 posts
msg #116091
Ignore shillllihs
modified
10/20/2013 2:22:02 AM

I was looking thru my filters and have this down as 3 Day Poppers. Is this something i converted or was this all yours?

Fetcher[
/*KEVIN'S TRADE THE WEEKLY OPEN GAP DOWN STRATEGY*/

/*FIRST, SET KEY VARIABLES - LAST WEEK'S CLOSE AND THIS WEEK'S OPEN*/
set{horizontal1, weekly close 1 week ago}
set{open1, weekly open}

/*SECOND, DETERMINE IF A GAP DOWN OCCURS, AND IF IT WAS THEN FILLED*/
set{gapdown, count(open1 below horizontal1,1)}
set{stats, count(weekly high above horizontal1, 1)}
set{gapfill, gapdown * stats}

/*THIRD, COUNT THE FREQUENCY OF GAPS DOWN THAT WERE FILLED OVER THE LAST 100 WEEKS*/
set{gapdown100, count(gapdown above 0.5,100)}
set{gapfill100, count(gapfill above 0.5,100)}
set{pct_gapfill, gapfill100 / gapdown100}

/*FINALLY, DETERMINE THE POTENTIAL GAIN FROM THIS WEEK'S GAP DOWN*/
set{gapsize, horizontal1 - open1}
set{gain2, gapsize / open1}
set{gain, gain2 * 100}

/*NOW ADD COLUMNS WITH KEY DATA AND SORT THEM FROM HIGHEST PERCENT GAP FILLED TO LOWEST*/
add column pct_gapfill {percent gap filled}
add column gapdown100
add column gapfill100
add column horizontal1 {last week's close}
add column open1 {weekly open}
add column gain {gain(%)}
add column ATR(50)
sort on column 5 descending

/*SET SCREENING CRITERIA FOR USE AT MONDAY'S OPEN. SINCE BIG GAPS DOWN ARE LESS LIKELY
TO BE FILLED, SCREEN OUT ANY GAPS DOWN THAT OPEN BELOW LAST WEEK'S LOW*/
weekly open below weekly close 1 week ago
weekly open above weekly low 1 week ago

/*ADDED CHECK - THE GAP TO BE FILLED SHOULD BE LESS THAN THE ATR(50). THIS WILL ALSO HELP TO SCREEN OUT BIG GAPS DOWN THAT ARE UNLIKELY TO BE FILLED THIS WEEK*/
gapsize below ATR(50)

/*SET A MINIMUM FREQUENCY FOR GAPS DOWN - THE HIGHER THIS IS, THE STRONGER THE STATISTICAL RELEVANCE - I CHOSE 30 HERE BUT YOU CAN SET IT TO ANYTHING YOU WANT (HIGHER WILL GIVE FEWER
HITS). I ALSO WANT THE RETURN TO BE AT LEAST 2%*/
gapdown100 above 30
gain above 2

/*STANDARD LIQUIDITY REQUIREMENTS*/
close between 1and 1.60
average volume(30) above 100000

chart-display is weekly
draw gapfill
draw gapdown
]





Kevin_in_GA
4,538 posts
msg #116096
Ignore Kevin_in_GA
10/20/2013 9:28:48 AM

That was one I did, but it looks like you might have refined the liquidity requirements for your trading style. I normally set this at "above 2".

shillllihs
3,521 posts
msg #116109
Ignore shillllihs
10/20/2013 4:57:55 PM

well i don't play these since they seem a little risky but may in the future.

Kevin_in_GA
4,538 posts
msg #116120
Ignore Kevin_in_GA
10/20/2013 10:04:29 PM

That's fine - I don't use most of the filters I design. A lot of the time I do this for fun, and am happy to share new trading ideas with folks here. I try to backtest (a LOT, nowadays) to be sure it's not crap before posting anything. Backtesting is SFs Achilles' heel and I can't always code these in StrataSearch.

StockFetcher Forums · General Discussion · For Kevin<< >>Post Follow-up

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