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General Discussion · how to screen price just cross below ma200 within 10 days?
Kevin_in_GA
msg #121901
11/4/2014 12:25:13 PM

Fetcher[

count(close crossed below MA(200),10) above 0
]



This will show you every stock that has crossed below its 200 day MA within the last 10 days. If you only want to find stocks that did this and are still below their MA(200) just add another line to the filter saying "close below MA(200)"

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #121891
11/3/2014 2:19:13 PM

Yup - moved into IWM in all my retirement accounts this morning.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #121879
11/2/2014 9:48:57 AM

Agreed, but during that longer period which included big drops and gains, you do not know how far the 0.1 delta strikes were at that time. All we do know is that recently they are positioned 2.5% away and that is consistent with the current risk.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #121876
11/1/2014 11:08:38 PM

Kevin, I noticed that when buying condors where the sold legs are around 10 % delta the possible profit is usually about $125 for every $ 1000 at risk. It doesn't really make a difference whether you place the trade 4,5 or 10 days before expiration.

The thing that changes is that the size of the body (the difference between the sold strikes) diminishes the closer you get to the expiration date. This of course makes sense as the underlying has less time to make a move outside the sold strikes.


I'm seeing that for the weekly options I use in Pangolin IC, the typical delta 0.1 short strike is priced at between 0.12 and 0.15, and the further OTM strike is usually 0.07 to 0.10

You choose to make the trade 9 days before expiration, is that arbitrary or did you quantify that as optimal?

A little of both - you can often get a premium of 0.10-0.12 that many days out with not a lot more risk than if you are 4-5 days out (this week being a hard learned exception to that rule - all three ICs were busted, with both the SPY and GLD condors taking the maximum loss of $4000 each). This week wiped out essentially all of the profit since mid-April.

There is one other thing that I find a bit unsettling: On the Friday before expiration the 10 % delta strikes are roughly 2.5 % away from the underlying. Looking at the last 250 weeks however it turns out that SPX actually made 50 weekly moves that were larger than 2.5%. So the market assumes 10 % chance for a move that historically happened 20 % of the time?
- Just realized that the 10 % chance only represents one leg. Add the other leg and you get 20 %, so it is actually pretty accurate.-


I would put this filter forth as a counter-argument: in the last 100 weeks there have been 10 weeks where the absolute movement of SPY was greater than 2.5%, which jibes exactly with the delta estimate of this occurring.

Fetcher[
symlist(SPY)
set{bustedup, count(weekly close more than 2.5% above weekly close 1 week ago,100)}
set{busteddown, count(weekly close more than 2.5% below weekly close 1 week ago,100)}
set{busted, bustedup + busteddown}
add column bustedup
add column busteddown
add column busted
]




General Discussion · SF - Can you make the following part of the syntax?
Kevin_in_GA
msg #121783
10/24/2014 3:26:12 PM

yes and no - I want to know the number of stocks that had this particular event occur, and take that number and perform further analysis on it just like any other indicator output.

Think of it like this

Fetcher[
S&P 500
rsi(2) below 10
]



Today this gives only 1 stock out of the entire S&P 500 (AMZN). But two weeks ago there were 131 stocks that met this criterion. That information could be plotted over time to show trends in the market - or you could put BBs around this data and look for oversold/overbought signals based on the market components rather than the SPY as an individual stock.

The fact is that other programs (specifically Stratasearch) provide exactly this functionality, and there is no valid reason why SF could not as well.

General Discussion · SF - Can you make the following part of the syntax?
Kevin_in_GA
msg #121766
10/24/2014 11:42:18 AM

True - but there is no reason for them to ignore requests that come from (and through) the forums. I have little doubt that they have already seen this, but for some reason feel no need to respond to requests made in the forums. Just look at how many unanswered requests are still in the Backtesting forum.

Nonetheless I still try to get them to engage here since I think the other forum members can benefit more directly.

Stock Picks and Trading · What happened to the forum?
Kevin_in_GA
msg #121765
10/24/2014 11:24:04 AM

I would agree with Eman on this as well - the forums have gone from a place where ideas and trades are shared to one where one inflated ego talks trash about other traders. Not cool.

It's fine to feel good about your trading. But no one ever improved their own skills by trashing others.

General Discussion · SF - Can you make the following part of the syntax?
Kevin_in_GA
msg #121756
10/23/2014 2:23:59 PM

Just wondering (as have others before me) as to whether or not you can add to the surrent filter langauge a function that would return the absolute number of stocks that meet a specific criterion. For example, the number of S&P 500 stocks that traded down for the day, or those that had an rsi(2) less than 10.

In this manner, one could develop market based health metrics that could be useful to traders. I would envision a function something like the following:

numsymbols("MARKET","CONDITION TO BE MET")

This could accept user-defined variables or be used in set{} statements and functions like count(), cma(), etc.

So it might look like

numsymbols(S&P 500, rsi(2) below 10)

or

numsymbols(S&P 500, rsi(2) below 10) below cma(numsymbols(S&P 500, rsi(2) below 10),20)

this would return the number of S&P 500 stocks that had an rsi(2) below 10 or in the second case whether or not this number was above/below its 20 day moving average.

Can this be done?

Kevin

Stock Picks and Trading · What happened to the forum?
Kevin_in_GA
msg #121755
10/23/2014 1:35:06 PM

Partly I think the recent volatility has caused usually skilled traders to take some hard losses - I know that my systems over at Collective2 took a drubbing over the last two months. Only the iron condor system was not beat up (that one did quite well). No one likes to post their mistakes, and I think that has been happening a lot more of late.

The other observation is that this board seems to be focusing on individual stocks rather than systems and filter development. I spent much of my first few years here learning the syntax, and developing and sharing a bunch of trading concepts (some of which actually worked). I don't really post that much any more unless I have something to add to the forum, and lately I have been focused on other areas.

As to the old guard departing, I think that the forums are diminishing in overall value when folks like Chetron and TRO leave. Other here will make snide comments regarding them, but the truth is they passed on knowledge to other traders that I no longer see happening here. A shame.

General Discussion · Problem with basic "new high/new low" scan
Kevin_in_GA
msg #121742
10/19/2014 12:08:19 PM

Fetcher[
close equals low 10 day close

]



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