StockFetcher: Messages by Kevin_in

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General Discussion · Intraday Alerts
Kevin_in_GA msg #113368	5/14/2013 10:23:51 AM While my comment was prompted by your TSLA comments, I did not mean to be rude but rather just making an observation about trading in general. It is the difference between what we expect to happen and what actually happens that is usually the problem for traders. I think you would agree with that. Unless you are playing strong statistical probabilities you are basically just making a guess. Are you trading TSLA or not? If so how are you doing?

Filter Exchange · NEW SYSTEM WITH INTEGRATED 5% STOP LOSS
Kevin_in_GA msg #113364	5/14/2013 10:12:49 AM Yes, next day limit order at 6% below prior close. Day order only. I would not trade this system, even though I put it together. I am not sure I like using stocks outside of the S&P500 for my own trading, and this tends to select small cap stocks with high volatility. That is fine for many traders, but I am more comfortable with consistent returns even if that means small per trade wins. If I am trading well it should be as exciting as watching paint dry -

General Discussion · Intraday Alerts
Kevin_in_GA msg #113363	5/14/2013 9:35:34 AM Just a comment - if you are constantly surprised by the direction and magnitude of a stock's movement, you should not be trading it.

Filter Exchange · Year to Date Return
Kevin_in_GA msg #113358 modified	5/13/2013 10:23:19 PM For those interested (including the SF crew) here is the reverseRSI code for Stratasearch: `RSIperiod = parameter("parm1"); RSIvalue = parameter("parm2"); ExpPer = (2* RSIperiod - 1); AUC = mov(if(close>ref(close,-1), close - ref(close,-1),0),ExpPer,exponential); ADC = mov(if(closeX = (RSIperiod - 1) * (ADC * RSIvalue/(100 - RSIvalue) - AUC); ReverseRSI = if(X >= 0, close + X, close + (X * ((100 - RSIvalue)/RSIvalue)));` This could be easily hardcoded into SF as a function, but not by users.

Filter Exchange · NEW SYSTEM WITH INTEGRATED 5% STOP LOSS
Kevin_in_GA msg #113357	5/13/2013 10:20:27 PM Yes to both questions.

Filter Exchange · Year to Date Return
Kevin_in_GA msg #113355	5/13/2013 8:48:42 PM Well, for a MA cross isn't it just the value of the MA? As for the other request, this is basically what the rsisolver does ... I wrote this code for SS and posted it there a few weeks ago, but am not sure if it can be done by users here on SF.

Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
Kevin_in_GA msg #113354	5/13/2013 8:46:29 PM Please stop cross posting the same request in multiple threads. Rather, simply start a new thread with your topic of interest. Thanks.

Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
Kevin_in_GA msg #113320	5/11/2013 9:10:58 PM From a previous post I did a while back - relevant here: What is important is not win % but the expectancy of the filter, meaning the average profit per trade one can anticipate based on using this approach versus others. An example to help clarify this - We have two systems that we can use, one which results in a winning trade 40% of the time and one which results in a winning trade 80% of the time. If this is all you know about each system, then the obvious choice for people is to go with the system that wins more often. But now we learn that when it wins, the 40% system returns 15% on every winning trade, and loses 3% on every losing trade. In contrast, the 80% system returns 3% on every winning trade but loses 15% on each losing trade. Now which system would you go with? Intuitively, you might still stick with the 80% system, but let's now look at the numbers more closely: $10000 x (0.80.03) - $10000 x (0.20.15) = 240 - 300 = -$60 per trade on average And let's look at the 40% system as well: $10000 x (0.4.15) - $10000 x (0.6.03) = 600 - 180 = +$420 per trade on average Are things becoming a little clearer? At this point it becomes very obvious that you are probably going to lose money on the 80% winning system with every trade you place. I'd usually now talk about frequency of trades as the next key point (obviously with two profitable systems you need to look at how often one has the option to make money and multiply the average profit per trade by the frequency of trades), but since one is negative expectancy there is no real need. Money management is different from the above - that usually is about trade sizing, stops, etc. Expectancy is what one needs to understand before placing ANY trade.

General Discussion · Cointegration code for SF?
Kevin_in_GA msg #113318	5/11/2013 7:58:04 PM No problem. As a personal observation, I have not found cointegration to be all that helpful in pairs selection. I was gung-ho on it a while back, but soon moved to looking at pairs that have been high win% rather than being cointegrated. After all, what you want from cointegration is a high probability of winning, so why not simply look at past performance for pairs instead? That is much easier to do and probably as good or better at predicting the future.

General Discussion · The Rise of the Machines
Kevin_in_GA msg #113312	5/11/2013 4:16:05 PM The key is to use algorithmic trading to avoid human error, but only on time frames where the big boys do not play. Most of the algorithmic trading done today is at the sub-second time frame, where none of us can compete. Let them play there. On the other extreme, institutional investment firms typically hold trades for weeks to months, usually based on fundamental analysis. That's fine as well. Not what I am interested in. I'll stick to swing trading where simple robust systems will continue to give the individual trader an edge.

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