StockFetcher Forums · Stock Picks and Trading · High Probability Filters<< 1 2 3 >>Post Follow-up
shillllihs
3,521 posts
msg #123165
Ignore shillllihs
modified
3/12/2015 9:07:24 PM

Looks like the best way to win at this game is
High Probability trades, but these type of filters usually do not return enough trades,
so i propose a thread geared towards pooling the best filters and trading them as they appear.
If no one finds this of value, i will simply use this thread to record & assist mwah...
I prefer etfs for safety.


No.1
Fetcher[
set{z, open - .25}
set{x, count(high > z 2 days ago,100)}
add column x > 82
volume > 123123
close > 10
etf
sort column 5 descending
set{zz,count(z >= low,100)}
add column zz > 78
add column annual dividend yield
rsi(2) < 25
]



No.1 is a 1 day trade. You put an order to buy the next morning. Even better if
you miss the trade & it's down. I think these are good for .5-.75%



No.2
Fetcher[
/* TRO STAT SCAN for SWING TRADERS - use only on Saturday and Sunday */

set{whiop, weekly high - weekly open}
set{Long_Profit, whiop / weekly open }
set{lgwkProfitPct, 100 * Long_Profit }
set{lgfivepct, count(Long_Profit > .05 , 52)}
set{lgonepct, count(Long_Profit > .01 , 52)}


set{woplo, weekly open - weekly low }
set{Short_Profit, woplo / weekly open }
set{shwkProfitPct, 100 * Short_Profit }
set{shfivepct, count(Short_Profit > .05 , 52)}
set{shonepct, count(Short_Profit > .01 , 52)}

add column lgonepct
add column shonepct
and add column separator
add column lgfivepct
add column shfivepct

ETF
and add column separator
and add column weekly open {wopen}
and add column weekly high {whigh}
and add column weekly low {wlow}
and add column weekly close {wclose}
and add column separator

lgonepct above 47
shonepct above 47
close is above 1
average volume(90) above 500000

sort column 6 descending

chart-display is weekly

date offset is 0
]



No.2 is a go long inverse etf swing trade. Very interesting.
Look at JDST feb 27th.



No.3
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 1 and 800
average volume(30) above 100000

SHOW ONLY ETF
chart-display is weekly
draw gapfill
draw gapdown
]



No.3 is a short inverse etf swing trade you may want to flip it
& go long its partner but i like to use the decay element.
Also very interesting.




karennma
6,827 posts
msg #123168
Ignore karennma
3/13/2015 8:46:05 AM

Dang!
That's a really good filter.
Thanks for sharing.
:>)


four
3,995 posts
msg #123170
Ignore four
modified
3/13/2015 9:37:42 AM

http://www.stockfetcher.com/forums/General-Discussion/Something-To-Play-With/116092/20

Fetcher[

set{z, open - .25}
set{x, count(high > z 2 day ago,100)}
add column x > 80
and draw x line at 80
volume > 123123
close > 10
sort column 5 descending
set{zz,count(z >= low,100)}
add column zz > 75
and draw z line at 75
add column annual dividend yield
rsi(8) < 33
]



/* Another version 2.1 */

Fetcher[
set{z, open - .25}
set{x, count(high > z 2 day ago,100)}
add column x < 60
and draw x line at 60
volume > 123123
close > 10
sort column 5 descending
set{zz,count(z >= low,100)}
add column zz > 80
and draw z line at 80
add column annual dividend yield
rsi(8) < 30

]



fotchstecker
158 posts
msg #123176
Ignore fotchstecker
modified
3/13/2015 10:24:00 AM

This same notion has been gnawing at me for some time. If you take the idea to one endpoint, you have to ask: are the global historical results of the backtests compiled or archived in any way?

Think about the numbers of backtests that have been run through SF over the years. Was that data captured in any way? There's an interesting data set in there, and it would potentially include many more iterations of high-probability setups than this thread will ever hope to scrape together (even though I support the idea wholly).

So, I'll be the one to dare to ask: stockfetcher, is there any way to use the archives of backtested data?

-----
shillllihs, the filters you posted are very interesting. how do you trade them?


shillllihs
3,521 posts
msg #123177
Ignore shillllihs
3/13/2015 10:27:28 AM

I guess my dream would be to compile 8-10 of these which only track etfs
& pool these into a basket to produce a Super Filter. We would all have to agree
which belong in this category though. I would call the first filter
on this page No.1 & so on.

shillllihs
3,521 posts
msg #123179
Ignore shillllihs
3/13/2015 10:30:09 AM

Those are four's filters. I don't trade them since there are not many results
& sometimes you can go weeks without any. Again, i think we should
stick to etfs.

fotchstecker
158 posts
msg #123180
Ignore fotchstecker
modified
3/13/2015 10:36:26 AM

I'm definitely into this idea. You'd have to define "high probability" by way of the trade type and horizon. Lots of things are high probability but difficult or unfeasible to trade against. Some pullback strategies' probabilities are positively correlated with time horizon and account size, making them difficult to trade "manually".


shillllihs
3,521 posts
msg #123181
Ignore shillllihs
3/13/2015 10:48:33 AM

I agree, i don't even know if these filters are high probability, i'm just
going by glance.

shillllihs
3,521 posts
msg #123196
Ignore shillllihs
modified
3/13/2015 6:19:19 PM

So i use no.2 & no.3 often & i like them.
Exits are something you may need to look into.

I do not have the patience to create new filters but i'm good
at finding quirks in existing ones.

Don't know if you can combine day trade filters with swing trade filters to create
1 filter but if it's possible make it happen.

This is my contribution so far so if you like the concept feel free to contribute.
As i said, i only would like these to be ETFs.

shillllihs
3,521 posts
msg #123224
Ignore shillllihs
3/16/2015 3:09:59 PM

No.3 triggered UVXY

ProShares Ultra VIX Short-Term Futures (UVXY)
-NYSEArca
17.15 Down 1.08(5.94%) Not bad...


StockFetcher Forums · Stock Picks and Trading · High Probability Filters<< 1 2 3 >>Post Follow-up

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