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Stock Picks and Trading · Intraday Alerts
Kevin_in_GA
msg #118661
3/19/2014 3:11:10 PM

Long 500 shares of ZNGA at 5.10. Was hoping to get in at the LOD of 5.05 but got tired of waiting. Undoubtedly my entry will free ZNGA up to make new lows ...

Stock Picks and Trading · Intraday Alerts
Kevin_in_GA
msg #118651
3/18/2014 2:47:20 PM

Jumped into a few beaten down stocks at the open yesterday - CA, DG, IP and NWL. Sold NWL and CA at about 2% gains each this afternoon. DG was a 1.3% gain, while IP was a 0.8% loss. This added about 1% to my total trading equity with minimal risk.

Sitting in cash waiting for another edge. I am eyeing NFLX as a possible play for tomorrow if it goes below 418. We'll see how things evolve.

Stock Picks and Trading · Intraday Alerts
Kevin_in_GA
msg #118650
3/18/2014 2:21:16 PM

3/12/2014 10:07:16 AM

Jumped into a small NTAP position at 37.09 a few minutes ago - we'll see how it plays out. Nothing stat-driven here except JP's track record on calls like this.

+++++++++

Out at 37.50. Could have exited with more profit the day I entered, but I'll accept a small gain and move on.

General Discussion · Ichimoku help
Kevin_in_GA
msg #118639
3/17/2014 2:26:19 PM

Using the search function here, you might learn a thing or two as well.

from nikoschopen (3/6/2008):

Constructing an Ichimoku Chart
(Source: Investopedia)

1. Tenkan-Sen, or conversion line:
(Highest high + lowest low) / 2, calculated over the past seven to eight time periods.

2. Kijun-Sen, or base line:
(Highest high + lowest low) / 2, calculated over the past 22 time periods.

3. Chikou Span, or lagging span :
The most current closing price plotted 22 time periods behind (optional).

4. Senkou Span A:
(Tenkan-Sen + Kijun-Sen) / 2, plotted 26 time periods ahead.

5. Senkou Span B:
(Highest high + lowest low) / 2, calculated over the past 44 time periods. Plot 22 periods ahead.



Fetcher[
/*Tenkan-Sen*/
set{diff7TS, high 7 day high + low 7 day low}
set{TS, diff7tS / 2}
draw TS on plot price

/*Kijun-Sen*/
set{diff22KS, high 22 day high + low 22 day low}
set{KS, diff22KS / 2}
draw KS on plot price

/*Chikou Span*/
set{CS, DMA(1,-22)}
draw CS on plot price

/*Senkou Span A*/
set{SSA1, TS + KS}
set{SSA2, SSA1 / 2}
set{SSA, SSA2 26 days ago}
draw SSA on plot price

/*Senkou Span B*/
set{SSB1, high 44 day high + low 44 day low}
set{SSB2, SSB1 / 2}
set{SSB, SSB2 22 days ago}
draw SSB on plot price
]




You have all of the components of the Ichimoku cloud here - I think that like many indicators this has its followers, who swear it works even when the trades are losers.

Kevin




Filter Exchange · Long filter for 4/29/2011 to present
Kevin_in_GA
msg #118631
modified
3/17/2014 12:17:22 PM

Coming back to this old thread after screwing around with a few simple filter ideas over the weekend. Here's one:

Approach Name: 2 days below BB(10,2)

Test started on 2011-04-30 ended on 2011-08-30, covering 85 days

Filter used:

s&p 500
count(close below lower bollinger band(10,2),2) above 1


Trade Statistics

There were 47 total stocks entered. Of those, 47 or 100.00% were complete and or 0.00% were open.
Of the 47 completed trades, 32 trades or 68.09% resulted in a net gain.
Your average net change for completed trades was: 0.92%.
The average draw down of your approach was: -4.48%.
The average max profit of your approach was: 3.33%
The Reward/Risk ratio for this approach is: 1.58
Annualized Return on Investment (ROI): 38.26%, the ROI of ^SPX was: -31.45%.


Equity Summary

Starting Account Value: $100,000.00 Fees per trade: $8.95

Ending Account Value: $106,861.40. Cash: $106,861.40 Market value of holdings at end: $0.00 (paid: $-420.65)

Realized gain/loss: $6,861.40 ($145.99 per trade.)

Total Commissions Paid: $841.30

Unrealized gain/loss: $420.65.


I used a conditional entry of "close 1 day ago" and an exit price at "reversersi(2,80)". Looking at the Z-score system over the same period (note that there are another 5 days), I get a very different answer - essentially a loss of 1% rather than a gain of 6%. This might be due to revisions in individual stock historical data, or that the extra few days undid a lot of profit.

Filter Exchange · A LITTLE PIECE OF CODE ON VOLATILITY
Kevin_in_GA
msg #118607
3/13/2014 9:24:46 AM

That would likely need its own thread - others have asked this and so far there has been no simple code to provide this.

I looked at this as a way to identify potential turning points in the broader markets. Recent market activity has been like a sawtooth, up for a while, pull back, then up again to a new high. Wash, rinse, repeat. What I find interesting about this is that the volatility Z-score trackes fairly nicely with these movements.

Just wanted to share this with the broader group - many people here won't share when asked, and few share without being asked first. Happy to be in the latter group.

Filter Exchange · A LITTLE PIECE OF CODE ON VOLATILITY
Kevin_in_GA
msg #118598
3/12/2014 10:58:31 AM

Kevin,while on the subject of volatility,is there a way to filter out low volatility stocks which haven't broken out,using REAC LBTG SVFC as examples? Thanks,Miketranz....

++++++

This filter only looks at SPY and IWM - are you asking how to filter FOR these type of stocks, or filter them OUT? These are penny or sub-penny stocks. I would be more concerned about losses from the bid/ask spread than I would volatility (obviously I stay away from the pennies and usually trade only stocks above $10).

Stock Picks and Trading · Intraday Alerts
Kevin_in_GA
msg #118597
3/12/2014 10:07:16 AM

Jumped into a small NTAP position at 37.09 a few minutes ago - we'll see how it plays out. Nothing stat-driven here except JP's track record on calls like this.

Filter Exchange · A LITTLE PIECE OF CODE ON VOLATILITY
Kevin_in_GA
msg #118592
3/11/2014 1:56:01 PM

Pretty much - this is really just putting a standard Bollinger band set on the historical volatility. Most of the time, volatility goes down as a stock or index moves up, and volatility goes up quickly if a stock is tanking. This is very much like the VIX index for the SPX. As the HV reaches the upper bollinger, it implies a likely reduction in volatility (prices going back up).

Same process in reverse as well - there is a point where the volatility is so compressed relative to its normal range that an expansion is likely (where prices usually go down).

This specific aproach seems to work best on indices - individual stocks or leveraged ETFs where gaps up/down occur tend to distort the curve. Not saying it won't work on them, but I noticed that odd curve shapes occurred, especially during earnings results.

Filter Exchange · A LITTLE PIECE OF CODE ON VOLATILITY
Kevin_in_GA
msg #118585
3/11/2014 9:25:41 AM

Just playing around with this over the weekend. Thought folks here might find it interesting:

Fetcher[
symlist(spy,iwm)
set{HVstd, cstddev(historical volatility(20),20)}
set{HVma, cma(historical volatility(20),20)}
set{HVdiff, historical volatility(20) - HVma}
set{HVzscore, HVdiff / HVstd}
set{triggerline, cma(HVZscore, 3)}

add column triggerline

draw triggerline line at -2
draw triggerline line at 2

chart-time is 1 year
]



I used a 3-day average to smooth the data, but it is not really required. Look at the cross above -2 or cross below 2 as trigger points.

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