StockFetcher Forums · Filter Exchange · BUYING THE DIP<< 1 ... 4 5 6 7 8 >>Post Follow-up
dknoonan
27 posts
msg #115552
Ignore dknoonan
9/26/2013 4:44:52 PM

Yes. It is one of the many things I've tried to improve results. Over most time spans, close above open (a white candle) gets worse results. I was figuring that entering at ROC(7) < -2 means a descent, so why not wait until it starts its ascent before you get into the trade? But I think that getting into the trade after the first white candle has passed means I miss out on the gain of the first white candle. In most time spans this seems to greatly reduce the gains of the filter. So I commented it out. A similar effect occured when I put "high 1 day ago" as the entry price, and set Conditional Entry to Yes.

So, using this filter to trade is like the old phrase, trying to catch a falling knife. Funny thing is, it catches it pretty well. Or at least it goes up after falling a couple of days after your buy.

Kevin_in_GA
4,599 posts
msg #115557
Ignore Kevin_in_GA
9/26/2013 6:51:02 PM

One could always use a limit order, but you might miss out on a bunch of good trades. Avoiding drawdown is important but for me frequency is what needs to be maximized if the system gives you a positive expectancy.

Note that the last 4 months have not been kind to this system, generating about a 3-4% loss. All part of the larger landscape.

jimmyjazz
102 posts
msg #115571
Ignore jimmyjazz
9/27/2013 10:00:48 AM

Kevin, how does this system different from your z-score approach?

Kevin_in_GA
4,599 posts
msg #115581
Ignore Kevin_in_GA
9/27/2013 12:27:33 PM

The z-score looks at the relative relationship between the stock and the ^SPX. This only looks at ROC.

dknoonan
27 posts
msg #115668
Ignore dknoonan
10/2/2013 1:15:16 AM

On 6/3/13 Mahkoh said this about doubling down to recoup some of the drawdowns:

"In my example from 5/20: Originally 282 trades from 5/18/2012 until 5/18/2013. Of these 98 experienced a drawdown of more than 4 %, which accounts for about 1 out of 3. Average gain if these were opened as 2nd positions 2.31 %, 72 profitable.

If one were to use this doubling down approach, at what point would you double down? Is it when the trade has gone against you 4%?

I think it is interesting that of 98 trades where they went against you by 4% or more, 72 become profitable not too much later. I suppose this is because the filter picks stocks that are in a sustained uptrend ( ROC(80) > 20 ).

I wonder if another way to mitigate big drawdowns is to scale out. After a trade goes down by x percent, sell off half of the position.

I don't think SF can simulate these second position scenarios, whether doubling down or scaling out, right? Is there other simulation software that can?





Kevin_in_GA
4,599 posts
msg #115672
Ignore Kevin_in_GA
10/2/2013 9:50:39 AM

While it is a very different system, I will occasionally double down on a trade in the Pangolin Z system, but only once and only if the stock has dropped by more than 8% from the entry price. This is always recovered some losses, and occasionally turned a losing trade into a small win. I have not optimized this and am not aware of any software that can do this automatically.

mahkoh
1,065 posts
msg #115680
Ignore mahkoh
10/2/2013 2:49:05 PM

"In my example from 5/20: Originally 282 trades from 5/18/2012 until 5/18/2013. Of these 98 experienced a drawdown of more than 4 %, which accounts for about 1 out of 3. Average gain if these were opened as 2nd positions 2.31 %, 72 profitable"

It was the second position that was profitable 72 out of 98 times, that does not mean that the whole trade turned out positive. But is does indicate that you have a good chance of at least recouping some loss.

mahkoh
1,065 posts
msg #115939
Ignore mahkoh
modified
10/15/2013 2:12:21 PM

I have always liked this filter for its sheer simplicity (and its returns, obviously)
However there has also been one thing for me to ponder: The filter assumes that a 2% drop in rate of change has the same impact on a stock, whether it trades for $5 a share or $250 . I don't believe that to be the correct and have been looking for a way to make the ROC requirement variable; the lower the stock's price, the higher the drop needs to be before the filter triggers. I think I have found a way using the square root of the stocks price in a formula:

Fetcher[
S&P 500
set{root,pow(close,0.25)}
set{rocroot,-7/root}
add column rocroot
ROC(7,1) crossed below rocroot

ROC(80,1) above 20
close above MA(200)
add column ROC(7,1)
sort on column 5 ascending

draw ROC(7,1) on plot ROC(80,1)
]



These settings require a stock that trades at $5 to drop about 5 % before triggering while a stock above 150 will only need to drop about 2 %.

tonyctl
7 posts
msg #115950
Ignore tonyctl
10/15/2013 6:41:59 PM

This is a great idea! What should the exit filter look like if going by the square root of ROC?

mahkoh
1,065 posts
msg #115968
Ignore mahkoh
10/16/2013 1:40:18 PM


Fetcher[
symlist(enter comma separated stocks here)
S&P 500
set{root,pow(close,0.25)}
set{rocrootexit,7/root}
ROC(7,1) above rocrootexit
]



However, keep in mind that I just picked some values that result in what I THINK to be correct settings.

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