trendscanner
265 posts
msg #80979
- Ignore trendscanner |
10/12/2009 10:50:31 AM
Chetron, are you looking for a bottom reversal with your last posted filter? If so, I do have some ideas. Can't guarantee they're bright though.
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chetron
2,817 posts
msg #80980
- Ignore chetron |
10/12/2009 10:56:18 AM
LOL, YES, THAT IS WHAT I WAS SHOOTING FOR, BUT AS FOR THE REMARK, I WAS JUST MUTTERING TO MYSELF, I WOULD APPRECIATE ANY AND ALL INPUT.
TIA =D
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trendscanner
265 posts
msg #80984
- Ignore trendscanner |
10/12/2009 4:59:44 PM
I'm not sure whether you're looking for a high volume or low volume reversal situation. Low vol reversals seem to work better for me so adding a line (PVO) to look for set ups with declining volume activity:
A quick backtest (standard exit criteria) shows the following results for 4/1/09 through today (your basic, non-stop bull market)
There were 578 total stocks entered. Of those, 532 or 92.04% were complete and 46 or 7.96% were open.
Of the 532 completed trades, 381 trades or 71.62%resulted in a net gain.
Your average net change for completed trades was: 4.35%.
The average draw down of your approach was: -5.38%.
The average max profit of your approach was: 9.52%
The Reward/Risk ratio for this approach is: 2.87
Annualized Return on Investment (ROI): 95.96%, the ROI of ^SPX was: 65.64%.
Stop Loss was triggered 114 times or 21.43% of the time.
Stop Profit was triggered 321 times or 60.34% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 97 times or 18.23% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
Not too bad for a filter with 578 trades. Some additional discerning criteria could probably be added to weed out the worst candidates and improve results. Adding a few more days to allow volume to dissipate and price to stabilize might also help.
Might also be interesting to look at high vol situations such as RVI(14,10) making new 21 day high or something similar.
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chetron
2,817 posts
msg #80986
- Ignore chetron |
10/12/2009 6:34:26 PM
THANX, trendscanner
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trendscanner
265 posts
msg #80987
- Ignore trendscanner |
10/12/2009 7:42:33 PM
Chetron, is there a rationale for selecting VAR1 < 34 and a new 21 day high, as opposed to, say, VAR1 < 28 day and a new 26 day high? Are the numbers you used based on some sort of trading cycle, best fit to data, or something else?
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chetron
2,817 posts
msg #80989
- Ignore chetron
modified |
10/12/2009 8:37:04 PM
Chetron, is there a rationale for selecting VAR1 < 34 and a new 21 day high, as opposed to, say, VAR1 < 28 day and a new 26 day high? Are the numbers you used based on some sort of trading cycle, best fit to data, or something else?
******************
I WAS WATCHING ANOTHER TRADEGUIDER.COM FLICK.
WHAT I REMEMBER OF THE SETUP WAS.
A VOLUME SPIKE THAT HAPPENED WITHIN ABOUT A MONTH, THAT WAS A NEW LOW.
FOLLOWED BY A NEW HIGH
FOLLOWED BY A LOW NEAR THE LOW OF THE AFOREMENTIONED VOLUME SPIKE.
I USE FIB NUMBERS, 1,2,3,5,8,13,21,34 EXCLUSIVELY WHEN I DO FILTERS
I USE 21 QUITE OFTEN FOR A MONTH.
OF COURSE, WHAT DOES THIS SETUP SPELL????????
DOUBLE BOTTOM.
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chetron
2,817 posts
msg #83313
- Ignore chetron
modified |
11/21/2009 11:33:02 AM
CHETRON'S A/D CYCLOTRON.....
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chetron
2,817 posts
msg #85243
- Ignore chetron |
12/30/2009 2:14:15 PM
HAPPY NEW YEAR ALL, ENJOY......
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