StockFetcher Forums · General Discussion · Modeling My First Filter<< >>Post Follow-up
8 posts
msg #94453
Ignore CarpeMomentum
6/30/2010 8:42:16 PM

So I can't quite tweak the syntax on my first filter to my liking and I was wondering if any experienced Fetchers could proffer offer some help.

The concept of the trading strategy I'm trying to backtest is this:

I'm looking for recent trend breakouts using simple moving averages.

Here is the syntax I have thus far:

"Show stocks where price is more than 10% above the moving average (20) and price is more than 20% above the moving average(50) and the moving average (20) is above the moving average (50) and volume is above 100000 and close is above 5 and price is above open"

Upon running the backtest I found that the trades and performance measures were not accurately representing my investment history with this particular system, which is what I'm attempting to translate into a filter. The syntax does what I'm telling it; I'm just not telling it all that it requires.

The final screening I do is purely a visual analysis of the price history of a few different time intervals to determine if the stock screened is indeed a candidate for continued momentum.

For reference of what I mean, if you run my filter for today Wednesday June 30, the types of price histories I'm seeking are similar to UXG and GNCMA. Recent "choppy" behavior and retracement are what I'm trying to screen into this filter. I don't even know if that's possible, but I figured this would be the place to ask.

Thanks in advance for any help you can provide!

PS - Is there a way to have the Trailing Stop Loss in the backtesting evaluate to 2x ATR(14) / Price dynamically instead of having a static 10%, etc.?

StockFetcher Forums · General Discussion · Modeling My First Filter<< >>Post Follow-up

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