StockFetcher Forums · Filter Exchange · Intraday Mean reversion of Strong stock.<< 1 2 3 >>Post Follow-up
Billirider321
62 posts
msg #104997
Ignore Billirider321
2/16/2012 10:05:27 AM

Baseline selection -

1. Only strong stock within Sp 500 or nas 100
2. Liquidity not a problem
3. You will need to automate or monitor through a bsaket trader
4. SF backtesting is difficult you have to do it manually.
5. Even when you do manually sometime you might get better file and can close trade earlier during the day which you would not know as you cant see intraday data.

Further work-

1. What would be the exit strategy
a. ATR based may be .5 atr
b. percentage based exit

2. Improve the filter check if spy/iwm is in uptrend.

3. Index Not near reversals.

4. Market breadth is healthy




Here is the filter





Billirider321
62 posts
msg #105007
Ignore Billirider321
2/16/2012 9:35:58 PM

Here is the filter -

S&p 500
/* relative strength(^SPX,90) above 1.1 */
and roc(13,10) is above 1
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,90)
set{ Opendiff , open - atr(30)}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, S2 one day ago - close}
Set{ profitAtr, Opendiff - close}
open above close 1 day ago
and add column pp 1 day ago
and add column s1 1 day ago
/*and add column SuppdiffminusS1
and add column SuppdiffBy2 */
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and low is below Opendiff
and chart-length is 6 months
and close > 5
and volume > 500000



johnpaulca
12,036 posts
msg #105009
Ignore johnpaulca
2/16/2012 10:35:12 PM

Clickable.....

Fetcher[
S&p 500
/* relative strength(^SPX,90) above 1.1 */
and roc(13,10) is above 1
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,90)
set{ Opendiff , open - atr(30)}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, S2 one day ago - close}
Set{ profitAtr, Opendiff - close}
open above close 1 day ago
and add column pp 1 day ago
and add column s1 1 day ago
/*and add column SuppdiffminusS1
and add column SuppdiffBy2 */
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and low is below Opendiff
and chart-length is 6 months
and close > 5
and volume > 500000

]



Billirider321
62 posts
msg #105045
Ignore Billirider321
modified
2/19/2012 12:39:26 AM

Here is the next level of improvement -

1. Check Prfit ATR and profit field. As of now profitatr is what you will make on each trade.

Hurdles -

I am trying to see how we can preset the order in IB or some other system.

Challenges -

1. Trades need to be open > previous close
2. Enter limits order immideately after open.

Oppurtunity -

we can backtest on intraday data and see if we enter exit order after we enter limit order. Or else every order is closed at end of day.


Fetcher[S&p 500
relative strength(^SPX,21) above 1
and roc(13,10) is above 1
and ma(20) 1 day ago is above ma(50) 1 day ago
ma(50) 1 day ago > ma(200) 1 day ago
add column relative strength(^SPX,21)
set{ Opendiff , open - atr(30)}
set{ one_half_avgvolume_21days , average volume(21) * 2}
set{ suppdiff , s2 1 day ago - s1 1 day ago}
Set{ SuppdiffBy2, SuppDiff/2}
Set{ SuppdiffminusS1, S1 1 day ago + SuppdiffBy2}
/* Set{ profit, SuppdiffminusS1 - close} */
Set{ profit, close - S2 one day ago }
Set{ profitAtr, close - Opendiff }
set{ profitatrpercentage1, profitatr / close}
set{ profitatrpercentage, profitatrpercentage1 * 100}
open above close 1 day ago
and add column pp 1 day ago
and add column s1 1 day ago
/*and add column SuppdiffminusS1
and add column SuppdiffBy2 */
and add column s2 1 day ago
and add column Opendiff
and add column low
and add column atr(30)
and add column profit
and add column profitAtr
and add column profitatrpercentage
and low is below Opendiff
and add column sector
and add column industry
rsi(2) 1 day ago < 90
and chart-length is 12 months
and close > 5
and volume is below one_half_avgvolume_21days
draw RSI(2)
]



Billirider321
62 posts
msg #105048
Ignore Billirider321
2/19/2012 2:51:47 AM

I have been putting lot of thought on building this system. This is based on something which I have read from engineering returns website( a must read for math/stat guys).

On an average you get 50 to 100 stocks which are eligible for trading. What it means is this stocks are strong and any intra day weakness you can buy. Sell at end of day or you can select you own exit ( may be a 1.5 % or 2 % exit).

Out of these selected stocks you have to make sure you are not selecting anything which show weakness at open may be because of the news or some other stuff.

You have to make sure there is no earning announcement which will move this stock.

LOGIC -

We are buying stock 1 ATR(30) below previous close price. I had been researching another option where in you buy stock which are at S2 support. As of now buying at 1 ATR below is profitable.

Create some 10 major group( based on sector ) and the enter orders in group. One cancel all order type.

Second option is to use a basket trader which will monitor all stock and enter as price closes below (Prev close - 1 ATR)

saico
59 posts
msg #105054
Ignore saico
modified
2/19/2012 6:03:45 PM

Hi,

thanks for all the input and work you provide here in this thread.

What I noticed is, that stocks that gap down at the open are those , that produce very often the highest returns.



Billirider321
62 posts
msg #105058
Ignore Billirider321
2/19/2012 10:13:29 PM


thanks for all the input and work you provide here in this thread.

What I noticed is, that stocks that gap down at the open are those , that produce very often the highest returns.


Saico,

No problem , I am ready to share this strategy following footsteps of kevin.
Can you tell me if IB will allow to enter such a large number of trades through basket trader. Say you have 50K and you
enter 90 orders 10 K each in basket trader. My guess is it will not allow you to enter so many order as you will go above your
margin requirement.

Note - I will try to test and see how gap downs are working.

thanks

Billirider321
62 posts
msg #105060
Ignore Billirider321
2/20/2012 1:14:19 AM

I do see that it improves a bit if i dont have the Open > close restriction

Cheating - Only cheating during backtesting is requiring volume < Volume(21) * 2. This is to eliminate any earnigs related movement.

saico
59 posts
msg #105062
Ignore saico
modified
2/20/2012 7:57:38 AM

Its not a problem to enter that amount of orders even your actual account size is much less. This is for what I love IB alot., since it gives you lots of flexibility. If you transmit a basket with orders for a cash value of lets say 500k, but ur actual account is 25k you still wont experience any restrictions as long as they are resting orders.

Another way to preset those orders is by using IB's Excel API.

Billirider321
62 posts
msg #105077
Ignore Billirider321
2/20/2012 7:43:31 PM

Saico,

How does those resting order becomes active order. Do you need to manually make it active.
Is the resting order in TWS system at IB side or is it at clients site. In other words if you enter order previous night and close TWS will it work. What I am trying to get to is I dont want to monitor this system actively. May be just check my account once in a while.

Improvement - Next step is to think how can we improve this system

Thanks

StockFetcher Forums · Filter Exchange · Intraday Mean reversion of Strong stock.<< 1 2 3 >>Post Follow-up

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