StockFetcher Forums · View by Author: Kevin_in_GA (3,469 messages) ·  [ Display By: Date / Subject ]<< 1 ... 2 3 4 5 6 ... 347 >> 
General Discussion · Historical Data by Sector?
Kevin_in_GA
msg #123270
3/19/2015 3:32:30 PM

Don't make your sector rotation model any more complex than it needs to be - there are a lot of models already developed for this, and to be honest the simpler the better. Otherwise you are moving in and out of lots of sector ETFs and get whipsawed and/or eaten by the commissions.

As you might have seen already, I am trading this one almost exclusively for 2015 with my discretionary funds -

Fetcher[
symlist(XLI,XLU,AGG)

set{rs, weekly ROC(20,1)}
set{difference, rs - ind(SPY, rs)}
set{null, 0}

rs above 0

ADD COLUMN SEPARATOR
add column rs {20 week performance}
add column separator
add column difference {relative strength}
SORT ON COLUMN 6 DESCENDING

chart-display is weekly
draw rs line at 0
]



XLU is not showing up since its relative strength is now below that of SPY.

This is the simplest I could make it - offense or defense. The 7 year backtest (1/2/2008 through 1/2/2015) handily beat the S&P 500. Why make it more complex?

Also, make sure to check out ETFReplay.com - LOTS of good stuff there.

General Discussion · Historical Data by Sector?
Kevin_in_GA
msg #123259
3/19/2015 9:34:28 AM

Well, you can always use the Dow Jones sector indices as proxies - here is what is currently supported by SF:

^DJEC DOW JONES INTERNET COMMERCE IND
^DJT Dow Transport Index
^DJU Dow Utility Index
^DJUS DJ US TMI
^DJWS DJ WILSHIRE 5000 TOT
^DJX 1/100 DOW JONES INDUSTRIAL AVER
^DMA ISE ELECTRONIC TRADING INDEX
^DMT DLY MIRROW IDX
^DNZ AMEX FRO SETTLEMENT IWM
^DOC AMEX FRO SETTLEMENT GE
^DOWC DOW JONES COMP
^DOWI DOW JONES INDU
^DOWT DOW JONES TRAN
^DOWU DOW JONES UTIL
^DOWV TREASURIES IDX
^DRB SHR BBACK ACH IX
^DRCI DJ COMPREIT
^DREI DJ EQUITYREIT
^DRG PHARMCEUTICL NDX
^DSAE DJ US AERODEF
^DSAF DJ US DELIVRYSRV
^DSAG DJ US ASSETMNG
^DSAI DJ US ELECEQUIP
^DSAL DJ US ALUMINUM
^DSAM DJ US MEDEQUIP
^DSAP DJ US AUTOPARTS
^DSAR DJ US AIRLINES
^DSAS DJ US AEROSPACE
^DSAT DJ US AUTOPARTS
^DSAU DJ US AUTOMOBILE
^DSAV DJ US MEDIAAGN
^DSBC DJ US BRDCASTENT
^DSBD DJ US BLDGMATFIX
^DSBE DJ US BSTRNGEMP
^DSBK DJ US BANKS
^DSBM DJ US BASICMAT
^DSBS DJ US BSCRSRCES
^DSBT DJ US BIOTECHNO
^DSBV DJ US BEVERAGES
^DSCA DJ US GAMBLING
^DSCC DJ US COMMCHEM
^DSCE DJ US CONSELECT
^DSCF DJ US CLOTHACCSS
^DSCG DJ US TRAVLEIS
^DSCH DJ US CHEMICALS
^DSCL DJ US COAL
^DSCM DJ US PERSPROD
^DSCN DJ US CONSMATRLS
^DSCP DJ US CTNRS&PKNG
^DSCR DJ US CMPTRHRDWR
^DSCS DJ US SPLTYCNSRV
^DSCT DJ US SEMICONDTR
^DSCX DJ US SPCLTYCHEM
^DSCY DJ US CONSUMSRV
^DSDB DJ US BREWERS
^DSDN DJ US DEFENSE
^DSDR DJ US FDDRGRET
^DSDS DJ US INSUPPLIER
^DSDV DJ US CMPTRSRV
^DSEC DJ US ELCCOMPEQP
^DSEE DJ US ELECEQUP
^DSEN DJ US OIL&GAS
^DSEU DJ US ELECTRCTY
^DSFA DJ US FINADMIN
^DSFB DJ US FOOD&BEV
^DSFC DJ US FXLNTELCM
^DSFD DJ US FOODRTWHSL
^DSFE DJ US INDUSTMACH
^DSFH DJ US FURNISHNG
^DSFI DJ US FINCLSRV
^DSFN DJ US FINANCIALS
^DSFO DJ US FOODPRODRS
^DSFP DJ US FOODPRDCTS
^DSFR DJ US FORESTPAPR
^DSFT DJ US FOOTWEAR
^DSGF DJ US GENFINAN
^DSGI DJ US GENINDUST
^DSGT DJ US GENRETAIL
^DSGU DJ US GASDISTRIB
^DSHB DJ US HOMECONS
^DSHC DJ US HLTHCARE
^DSHD DJ US DURHLDPROD
^DSHG DJ US HLDGOODS
^DSHI DJ US HMIMPRETL
^DSHN DJ US NDURHLDPRD
^DSHP DJ US HLTHCRPVDR
^DSHR DJ US COMRVEHTRK
^DSHV DJ US HVYCONS
^DSIB DJ US INSBROKERS
^DSID DJ US DVSFINDUS
^DSIF DJ US FLLINEINS
^DSIG DJ US INDGDS&SRV
^DSIL DJ US LIFEINSUR
^DSIM DJ US INDMETALS
^DSIN DJ US INDSTRIALS
^DSIP DJ US PROPCASINS
^DSIQ DJ US INDSTENGNG
^DSIR DJ US INSURANCE
^DSIS DJ US SUPPORTSRV
^DSIT DJ US INDSTTRANS
^DSIU DJ US REINSURAN
^DSIV DJ US BUSSUPSRV
^DSIX DJ US NLIFEINSUR
^DSLE DJ US LEISGOODS
^DSLG DJ US HOTELS
^DSLW DJ US LOWCAP
^DSMC DJ US HCREQPSRV
^DSME DJ US MEDIA
^DSMF DJ US MORTGFIN
^DSMG DJ US MINING
^DSMS DJ US MDSUPPLIES
^DSMT DJ US MARTRANSPT
^DSMU DJ US MULUTILTES
^DSNC DJ US CONSUMGDS
^DSNF DJ US NONFERMET
^DSNG DJ US PERHLDGDS
^DSNS DJ US INTERNET
^DSOE DJ US ELECOFFEQP
^DSOG DJ US OILGAS
^DSOI DJ US OILEQPSRV
^DSOL DJ US INTGOILGAS
^DSOQ DJ US OILEQPSRV
^DSOS DJ US EXPLPROD
^DSPB DJ US PUBLISHING
^DSPC DJ US WSTDSPSRV
^DSPG DJ US PERSGOODS
^DSPL DJ US PIPELINES
^DSPM DJ US GOLDMNG
^DSPN DJ US PHARMBIO
^DSPP DJ US PAPER
^DSPR DJ US PHARMCTCLS
^DSPT DJ US PLTPRECMET
^DSRA DJ US APPRLRET
^DSRB DJ US BRDLNRET
^DSRD DJ US DRUGRET
^DSRH DJ US RESTHLDG
^DSRI DJ US RESTINVTR
^DSRP DJ US RECPRODUCT
^DSRQ DJ US RECSERVICE
^DSRR DJ US RAILROADS
^DSRS DJ US SPLTYRET
^DSRT DJ US RETAIL
^DSRU DJ US RESTRBARS
^DSSB DJ US INVSRV
^DSSC DJ US SEMCNDCTRS
^DSSD DJ US SOFTDRINKS
^DSSF DJ US CONSUMFIN
^DSSP DJ US SPECIALFIN
^DSST DJ US STEEL
^DSSV DJ US SFTCPTRSRV
^DSSW DJ US SOFTWARE
^DSTB DJ US TOBACCO
^DSTC DJ US TECHNOLOGY
^DSTK DJ US TRUCKING
^DSTL DJ US TELECOM
^DSTP DJ US TOPCAP
^DSTQ DJ US TECHHRDEQ
^DSTR DJ US TIRES
^DSTS DJ US TRANSSRV
^DSTT DJ US TRVLTOUR
^DSTY DJ US TOYS
^DSUO DJ US GASWTRMUT
^DSUT DJ US UTILITIES
^DSVN DJ US DISVINTNER
^DSWC DJ US MOBTELECOM
^DSWU DJ US WATER
^DTCI DJ COMPREIT TR
^DTEI DJ EQUITYREIT TR
^DTWC DJ COMPAVGTR
^DTWI DJ INDUS AVG TR
^DTWT DJ TRANSAVGTR
^DTWU DJ UTILITYAVGTR
^DTX DOW JONES TRANSPORTATION AVERAG
^DUSL DJ US LRGCAP
^DUSM DJ US MIDCAP
^DUSS DJ US SMLCAP


Filter Exchange · One month performance
Kevin_in_GA
msg #123258
3/19/2015 8:48:57 AM

Why not just run it on Feb. 12th with the following line added:

add column ROC(21,1)

That will show you the percentage increase or decrease each stock has had over the past month.

Kevin

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #123154
3/12/2015 3:03:26 PM


@jimmyjazz

My point was that since the filter will not track prior trades (once you are in them) you can set up a watchlist, populate it with the trades you are currently monitoring, and add a column showing the reversersi(2,90) - that is the limit order exit for the next day, and needs to be updated for each trade.

@graftonian
Glad to be helping you (and others) better understand and exploit SF syntax. It is fairly versatile once you understand things like user-defined variables and set{} statements

@agawfi
Do you use the stop loss calculated on the day of the trigger and keep it for the whole duration while holding the stock or do you change it every day based on your formula: SET{STOPLOSS, LIMITENTRY - 2ATR} ???

You keep it at the value from the day the signal is triggered - no updating the stop loss, only the profit target.

Also, I wanted to thank you for your generous contributions in this thread and all previous threads ! They are very insightful and I have learned a lot from them.

You're welcome.



Announcements · StockFetcher Back-testing - Request for Feedback
Kevin_in_GA
msg #123151
3/12/2015 2:45:57 PM

Thanks for taking on what has been a chronic deficiency in SF. I would propose the following as ways to improve the backtesting functionality:

1. Allow for a longer backtest for all levels of subscribers - a four month window for most subscribers (the basic subscription) is simply too short to get a real sense of performance, and what folks have to do now is to stitch together results which is a pain in the butt. A minimum of 5 years to validate any decent system. Perhaps you can go to 10 or more years for advanced subscribers.

2. More useful metrics - The annualized ROI is basically useless. I like that you show actual equity growth, but that is the absolute minimum needed. I would include some measure of alpha, beta, and at least the Sharpe ratio and/or Calmar for any backtest results. Include a system MaxDD as well.

3. Limit Order entries and exits - not sure if this is done now since I don't use SF for backtesting, but most systems can be adapted to use limit orders based on the prior day price, and exits triggered intraday. An example would be "limit order entry at reversersi(2,5)" or "limit order exit at upper Bollinger Band(20,2) 1 day ago". If this is not already in place it certainly should be.

General Discussion · HOW TO MAKE IF STATEMENTS IN SF
Kevin_in_GA
msg #123113
3/10/2015 8:17:35 PM

Nope.

General Discussion · MACD DIVERGENCE QUESTION
Kevin_in_GA
msg #123112
3/10/2015 8:17:07 PM

It would be helpful to define exactly what type of divergence you are looking for - I'm assuming it is "the MACD keep going lower while the price rises" sort of thing?

This is easier to filter for as an individual event rather than as a periodic event. For the latter you also would need to define the periodicity of the sinusoidal component as well as what constitutes a "divergence" (how big a difference in percent, for example).

General Discussion · Columns
Kevin_in_GA
msg #123075
3/7/2015 12:59:32 PM

Why would you add price and volume? Would you not multiply them instead?
Fetcher[
S&P 500
Set{PriceVolume, close * volume}
add column PriceVolume {Price*volume}
sort on column 5 descending
]



This is in essence a measure of the daily liquidity of a stock.

General Discussion · Kevin's Posts? Gone?
Kevin_in_GA
msg #123074
3/7/2015 12:37:04 PM

I'm still seeing them.

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #122927
2/24/2015 9:03:53 PM

It will reduce the number of candidates - sometimes fewer trades looks better but a larger chunk of your money may sit idle if you only put 10% of your capital into any trade, and your actual equity return over time will be less.


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