sohailmithani
192 posts
msg #122517
- Ignore sohailmithani |
1/14/2015 12:15:16 AM
Hi Kevin,
The REVERSERSI (2,5) or REVERSERSI (2,90) do not work in back test some how. Also, the selection criteria based on R_R also does not work. Any idea how to get these going?
Thanks
|
Kevin_in_GA
4,599 posts
msg #122518
- Ignore Kevin_in_GA |
1/14/2015 11:00:17 AM
Sorry - as I have said many times before, I do not use SF's back-testing capability. This is best addressed to the SF support team.
|
mahkoh
1,065 posts
msg #122519
- Ignore mahkoh |
1/14/2015 6:07:09 PM
Kevin, I was wondering: Stratasearch uses weighted ATR as default and I am assuming you used this for determining stop and position size. Yet you use SF's unweighted ATR in the filter. Or is my assumption not correct?
Have you considered moving the stop up if today's close minus atr(20) is above yesterday's stop?
As for sorting to R/R; RSI(2) dropping below 5 and then moving above 90 in a single day is a very unlikely scenario. Glancing through the list and selecting those stocks that have not yet violated an uptrend might be a better idea.
|
Eman93
4,750 posts
msg #122521
- Ignore Eman93 |
1/15/2015 12:25:04 AM
Nice work as always.
I have a hard time with automated systems like this, although I don't stick to my own targets most of the time anyway.. LOL
|
astroanalyst
48 posts
msg #122540
- Ignore astroanalyst |
1/17/2015 7:49:12 AM
Thanks for sharing... Your generosity is exceeded only by your virtuosity :)
|
graftonian
1,089 posts
msg #122542
- Ignore graftonian |
1/17/2015 8:52:19 AM
Kevin,
Thanks for sharing. The code and notes are well written, giving me, as a newbie, a great lesson in SF. Going to paper trade a bit, then take the giant leap of faith.
Again, Thank You,
Duane
|
Kevin_in_GA
4,599 posts
msg #122543
- Ignore Kevin_in_GA |
1/17/2015 3:55:41 PM
@graftonian:Paper trade - absolutely. Take a leap of faith - ummm ... start with a small amount of your trading capital, and only after you have paper traded it for a few months (not weeks).
Question - Grafton, MA? If so we lived there for almost seven years.
|
durgin
60 posts
msg #122556
- Ignore durgin |
1/19/2015 4:50:49 PM
Kevin,
Can you provide some idea of the performance of these filters?
Phil
|
wkloss
231 posts
msg #122559
- Ignore wkloss |
1/20/2015 1:03:25 PM
Kevin,
Re:/*DETERMINE THE MAXIMUM AMOUNT YOU ARE WILLING TO LOSE*/
SET{ACCOUNTSIZE, 25000}
SET{RISKLEVEL, ACCOUNTSIZE*0.005}
Does account size assume margin is being used at 2x when it shows the # of shares to buy?
When placing trades, do you always assume that all trades will be filled and stop adding trades when existing positions plus new orders meet your 2x account size or do you fudge a little because you know rarely will all new orders will be filled?
When choosing which orders to place, do you skip certain symbols when you see that several are in the same industry. For example, about a week ago the 1st 3 symbols were all in finance/banking and they all looked like the same trade to me. I took the 1st one, skipped the next 2 then went farther down the list to get other industries. (I supposed a correlation study could be done each evening but that might be something of interest to someone who doesn't have a day job.)
Bill
|
graftonian
1,089 posts
msg #122564
- Ignore graftonian |
1/20/2015 5:33:57 PM
Kevin,
No not Grafton, MA but Grafton, IL. The towns founder named it after his home town in MA, sometime in the early 1800s.
It sits at the confluence of Mississippi and Illinois Rivers.
Question for you: Did you name this system for a little animal that rolls up into a ball to avoid being eaten?
Graftonian
|