StockFetcher Forums · General Discussion · Question on: When to and What filter to use<< 1 2 >>Post Follow-up
marine2
829 posts
msg #113213
Ignore marine2
5/8/2013 8:03:59 PM


Do any of you know what type of filter you would write showing you stocks to use for day trading. For example, would a stock be ripe for day trading if the day previous it's stock price went up significantly? If so how would you write a filter showing that.

Or, maybe there is another set of criteria you look for to find a special stock ripe for day trading?

Your help on this is always welcome.

Thank You!

Kevin_in_GA
4,541 posts
msg #113217
Ignore Kevin_in_GA
5/8/2013 10:06:01 PM

You might want to use a statistically driven approach for stock selection. Here is a first pass at a day trading system that simply looks for pullbacks that close higher than your entry by the end of the day:

Fetcher[


set{trigger, open* 0.99}
set{entrytrigger, count(low below trigger,1)}
set{exittrigger, count(close above trigger,1)}
set{winner, entrytrigger * exittrigger}
set{win100, count(winner above 0.5, 100)}
set{entry100, count(entrytrigger above 0.5,100)}
set{winpct1, win100 / entry100}
set{winpct, winpct1 * 100}

close above 5
average volume(20) above 250000
win100 above 15
winpct above 75

add column winpct
add column win100
add column entry100
sort on column 5 descending

draw entrytrigger
draw winner
]



Put these stocks into a portfolio list on Yahoo and look to see when any of them pull back more than 1% from their open. Buy and sell at the close. Statistically you have a 75% or more chance of closing at a profit (exact amount of profit is not factored in here, just that a profit was made).

Eman93
4,659 posts
msg #113218
Ignore Eman93
5/8/2013 10:28:17 PM

Thats the never lose again thread.. gapers

Eman93
4,659 posts
msg #113219
Ignore Eman93
5/8/2013 10:35:14 PM

also stocktiger is a great site to play breakouts. updates the list daily and has a free chat room.

just set your alerts... great for bull markets

http://stocktiger.net/

this looks for breakouts.. found ZQK.. most of the good ones have good volume. run it interday.
===================

Average Volume(10) > 200000
optionable
show stocks where the close 1 day ago is below the upper ascending triangle(90) 1 day ago

show stocks where the close is above the upper ascending triangle(90)

add column open
add column high
add column cmo(5)
add column ind


and close is above 1.00

marine2
829 posts
msg #113220
Ignore marine2
5/9/2013 1:11:29 AM

Thanks to you both on ideas / methods to test and try. I appreciate the fast reply back and wish you both happy investing days ahead.

Eman93
4,659 posts
msg #113221
Ignore Eman93
5/9/2013 2:07:33 AM

The stocktiger guy is sick and has been off since March 18th. Lets wish him well.

Kevin_in_GA
4,541 posts
msg #113223
Ignore Kevin_in_GA
5/9/2013 7:19:36 AM

Eman - not a gap strategy per se. This looks for pullbacks from the OPEN rather than from the previous day's close. But the basic concept and use of stats is the same (kudos to TRO for both).

marine2
829 posts
msg #113238
Ignore marine2
5/9/2013 1:49:56 PM

Kevin, your filter also looks like it would be good for short term / swing trade investing as well, based on backtesting this filter against a positive time (12/10/12 to 4/10/13). Here are the backtest statistics of two scenarios I ran against your filter:

1st BACKTEST WAS AGAINST YOUR FILTER STATEMENTS AND MY PERSONAL WATCH LISTS, & ALSO i ADDED A STATEMENT LINE: "AND MA(300) IS INCREASING PREVIOUS 1 DAY.
() Wins = 30
() Losses = 0
() Open Positions = 1
() ROi = 170.3%
() Profit Stop @ 2%
() Max Days = 30
() Starting Cash = $200,000
() Each Trade = $20,000
() Time Frame: 12/10/12 to 04/10/13


2nd BACKTEST AGAINST YOUR FILTER STATEMENTS WITHOUT GOING AGAINST ANY WATCH LIST(S), BUT, STILL ADDING A STATEMENT LINE IN ITS FILTER SHOWING, "AND MA(300) IS INCREASING PREVIOUS 1 DAY.
() Wins = 249 (95.4%)
() Losses = 13
() Open Positions = 41 (13.53%)
() ROI = 64.7%
() Profit Stop @ 2%
() Max Days = 30
() Starting Cash = $200,000
() Each Trade = $20,000
() Time Frame: 12/10/12 to 04/10/13

Thanks again on your work on this subject.

Kevin_in_GA
4,541 posts
msg #113244
Ignore Kevin_in_GA
modified
5/9/2013 2:49:46 PM

Intraday backtesting using SF is very tricky. I have yet to figure out how to do it properly.

I am surprised that this would generate such a high win % ... you might want to challenge this a bit more since most of the stats I see in the original filter look like you might get 75% wins or so.

EDIT: Actually looking back this approach does fairly well. I just want to be sure that the results are profitable when you factor in commissions and slippage. I'll see if I can run a backtest in SS on this over the next day or so.

marine2
829 posts
msg #113248
Ignore marine2
5/9/2013 4:22:54 PM

The examples of the 2 backtests I did were on a short term / swing trade basis and not interday. I did try a 1 day back test working against a 1 day and out timing and it showed some positive numbers but not obviously as good as testing against a multiple day set up. But any ways, your filter does show pretty well for short term / swing trading.

StockFetcher Forums · General Discussion · Question on: When to and What filter to use<< 1 2 >>Post Follow-up

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