| StockFetcher Forums · Filter Exchange · New here: What is your screen you bet money on? | << 1 2 3 4 5 ... 6 >>Post Follow-up |
| judgetrade 107 posts msg #35349 - Ignore judgetrade |
3/14/2005 3:14:12 PM Hi, I am new here, nice site, nice screens! I am trading two systems right now: mid term relative strenght (www.pitbull.com) and short term realative weakness (a system that I have programmed with fasttrack that ranks the most oversold stocks every day, buys them, hold for 4 Days an then reranks.) So I base my strats on stuff that has been researched by akademics (the newer onces, not the guys who still defend the efficient market hypothesis): (Korajczyk, R.O., Sadka, R. (2003), http://www.afajof.org/Pdf/forthcoming/Korajczyk_Sadka.pdf): "There is a growing literature on the predictability of stock returns based on the information contained in past returns. At very short horizons, such as a week or a month, returns are shown to have negative serial correlation (reversal), while at three to twelve month horizons, they exhibit positive serial correlation (momentum). During longer horizons, such as three to five years, stock returns again exhibit reversals." From the billion screens I went through I like the following the best so far: offset is 5 show stocks where price is above .2 and 3 and RSI(2) is below 1 and volume > 1000000 __________________________________ offset 15 Show stocks where the High is less than 25 percent above the bottom linear regression line(60,1.25) and the 21 day slope of the close is above .25 and close is above close 1 day ago and price is between 3 and 12 and offset 0 days ago _________________________________________________ So here is my question: What is the screen you bet sucessfully bet your money on? Thank you. Best Regards Andreas |
| judgetrade 107 posts msg #35363 - Ignore judgetrade |
3/15/2005 4:36:45 PM I tested the following screen with a similar code on fasttrack from 1997 - today: offset is 1 show stocks where price is above .2 and RSI(2) is below 1 Results (no trading costs applied, but usually such strats are very robust to trading costs): LastValue 1405727, AnnRet 88.7%, Mdd 74.0% on 03/18/03 [allways in the market] LastValue 651169, AnnRet 70.9%, Mdd 32.2% on 09/17/97 [only in the market when the nasdaq trends up] Since the original screen adds the following line "and volume above 1000000" the results should be even better, if you assume that high volume are prefered by mutal funds. Here the Fasttrack (www.fasttrack.net) Code: It ranks the stocks by the lowest RSI and buys the lowest 5 holds 4 days and then reranks. [Expression] fam = |0|.fam STTABUY = (Rsi(fam, 2) *-1) Save (STTABUY) [ExprFamilyTrade] Family = STTABUY StartDate = 06/01/97 StopDate = 06/01/05 MMarket = RYMXX Positions = 5 BuyMinRank = 5 HoldMaxRank = 5 HoldMinDays = 4 Signal = buyandhold FnuFile = 5554|0|BH [ExprFamilyTrade] Family = STTABUY StartDate = 06/01/97 StopDate = 06/01/05 MMarket = RYMXX Positions = 5 BuyMinRank = 5 HoldMaxRank = 5 HoldMinDays = 4 Signal = momentumft FnuFile = 5554|0|MFT Some Data from the result file: [...] 4 USTR 12/17/04 12/21/04 4 32 3 -0.8 70040 5 GREY 12/17/04 12/21/04 4 17 1 6.9 87996 2 WSFS 12/17/04 12/22/04 5 60 1 -0.5 96730 3 SONS 12/17/04 12/23/04 6 1580 2 4.3 76360 2 ROG 12/22/04 12/28/04 6 606 2 1.1 97780 3 JILL 12/23/04 12/28/04 5 47 3 -2.0 74805 4 ALX 12/21/04 12/28/04 7 19 3 -1.2 69223 5 EAGL 12/21/04 12/28/04 7 599 5 2.5 90223 1 AFP 12/20/04 12/30/04 10 684 1 -1.4 71134 1 CBMD 12/30/04 01/03/05 4 172 1 -2.1 69675 2 WTFC 12/28/04 01/03/05 6 371 2 -2.8 95091 3 DCO 12/28/04 01/03/05 6 1103 3 4.5 78153 4 WST 12/28/04 01/03/05 6 1134 4 8.5 75133 5 IDEV 12/28/04 01/03/05 6 1492 5 -4.0 86614 1 INSU 01/03/05 01/07/05 4 1312 1 -2.0 68260 2 AVTR 01/03/05 01/07/05 4 624 1 -2.7 92510 3 LAVA 01/03/05 01/07/05 4 1472 1 -3.7 75293 5 HGIC 01/03/05 01/07/05 4 1223 4 -3.6 83481 1 DEL 01/07/05 01/11/05 4 699 2 4.0 70972 2 LFG 01/07/05 01/11/05 4 577 3 1.8 94159 3 AXE 01/07/05 01/11/05 4 534 3 -0.9 74600 4 FCNCA 01/03/05 01/11/05 8 140 1 -7.0 69858 5 TMP 01/07/05 01/11/05 4 357 5 4.8 87482 1 SWKS 01/11/05 01/14/05 3 726 1 0.6 71398 2 KDN 01/11/05 01/14/05 3 632 2 1.8 95863 3 PCH 01/11/05 01/14/05 3 367 3 -0.6 74178 4 SURW 01/11/05 01/14/05 3 29 4 -2.6 68063 5 QSFT 01/11/05 01/14/05 3 1148 2 4.0 90981 1 RYMXX 01/14/05 Holding 59 1672 1672 0.3 71580 2 RYMXX 01/14/05 Holding 59 1672 1672 0.3 96109 3 RYMXX 01/14/05 Holding 59 1672 1672 0.3 74368 4 RYMXX 01/14/05 Holding 59 1672 1672 0.3 68237 5 RYMXX 01/14/05 Holding 59 1672 1672 0.3 91214 If you have a simple screen, let me know if you want me to backtest it. Only simple stuff, because you can not programm everything in fasttrack. Regards Andreas (forgive my bad english, its late in germany so I do not spell check it). |
| marine2 963 posts msg #35374 - Ignore marine2 |
3/16/2005 8:48:48 PM Ask that same question to TheRumpledOne and I am sure he will tell you all about his RSI(2) filters' abilities to do wonderful things for you. |
| corsino 259 posts msg #35568 - Ignore corsino |
4/11/2005 12:46:33 AM As I posted elsewhere, I ran the same backtest on about 25 filters I had compiled from various sources. My purpose was to eliminate some of them from my scans and save time. Although other filters may perform better at other times, these two backtested the best at this time : RSI(2) Filter : Stocks where RSI(2)<1 and average volume (10) is above 300000 and close is between 0.5 and 3 and close more than 10% below close 1 day ago >20% DECREASE : Stocks where close dropped more than 20% over the last 1 day and average volume (10) is above 100000 and close is between 0.5 and 3 Of course, this was an entirely mechanical backtest, buying the complete scan, using no judgement, and holding for one-week periods. It is entirely possible, that other scans in the hands of skilled traders would perform better. |
| corsino 259 posts msg #35569 - Ignore corsino |
4/11/2005 1:17:24 AM Perhaps I should have explained the backtest again. 1. For each of 25 filters, I used offsets of 68, 58, 48, 38, 28, 18, and 8. 2. At each offset, I recorded the performance for a 1-week holding period. 3. I then added the total Percentage gain or loss for the seven offsets. The RSI(2)<1 scan total was approx + 57% The >20% loss scan total was approx + 46% |
| leaddog 38 posts msg #35571 - Ignore leaddog |
4/11/2005 7:13:44 PM corsino, Did you just use the stock fetcher performance feature, no entry criteria? |
| corsino 259 posts msg #35572 - Ignore corsino |
4/11/2005 11:56:48 PM leaddog Yes, I just used Stockfetcher. I took one filter at a time, offset it 68, 58, 48, 38, 28, 18, and 8. At each offset, I recorded the performance percentage after 1 week. If there were no stock picks at an offset, I just recorded a 0. I then added the percentages recorded for that filter. I did the same for 25 filters. The offsets I used were arbritary, as was the 1-week performance period. The price range of 0.5 to 3 was also arbitrary, although I was interested in low-priced stocks. I wasn't trying to prove that one filter is better than another, it was out of curiosity to eliminate some from my list. I'll probably do the same periodically, to see if there are any filters that consistently do well. |
| corsino 259 posts msg #35573 - Ignore corsino |
4/12/2005 12:22:22 AM leaddog I just realized that I didn't answer your question fully. No, I did not use any additional entry criteria . At each offset that I got a list of scanned stocks, I just clicked on the "Performance" header to see the results for the entire list. |
| shelupinin 120 posts msg #35575 - Ignore shelupinin |
4/12/2005 5:16:12 AM Hi, judgetrade ! I bet my money on following filter that filter not far from you RSI(2) < 1 ... I add stocks which matched my SF filter to "watchlist" at my online broker optiosxpress.com and then monitor price movement at the beginning of trade day, if price is going up then I quickly buy that stock... |
| leaddog 38 posts msg #35582 - Ignore leaddog |
4/12/2005 9:57:46 PM corsino, I took your exercise another step further with the RSI(2) <1 filter. I went back 70 days and using the stock fetcher performance feature checked everyday up to today buying and holding for a week. It came out to 129.59% gain! I wonder if there is something I am missing.... |
| StockFetcher Forums · Filter Exchange · New here: What is your screen you bet money on? | << 1 2 3 4 5 ... 6 >>Post Follow-up |
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