StockFetcher Forums · Filter Exchange · Shadow Walker<< >>Post Follow-up
30 posts
msg #91421
Ignore Underworlds
4/19/2010 10:53:30 PM

Okay, guys. Here's a simple filter that I call 'Shadow Walker'. What makes this different from the filters I've seen so far is that it selects the stocks according to the lengths of their lower shadows in relation to the length of their upper shadows.

I was just fooling around and came up with the idea to see what would happen if I took this approach.

Backtest Setup...
Name: Shadow Walker
Approach Type: Long
Start Date: 01/29/2010
End Date: 04/19/2010
Benchmark Symbol: ^DJI

Exit Setup
Stop Loss: 30%
Profit Stop: 10%
Trailing Stop Loss: N/A
Minimum Holding Days: N/A
Maximum holding days: 25

Extra Indicators
Entry Columns:
Show Performance After: after 2 days
after 5 days
after 10 days
after 25 days
after 40 days

Advanced Options
Selection Method: select by volume descending
Entry Price: open
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 25
Maximum Open Positions: 20
Maximum Selected Stocks: All

Now, here are the results...

Trade Statistics
There were 48 total stocks entered. Of those, 28 or 58.33% were complete and 20 or 41.67% were open.
Of the 28 completed trades, 27 trades or 96.43%resulted in a net gain.
Your average net change for completed trades was: 8.39%.
The average draw down of your approach was: -3.06%.
The average max profit of your approach was: 10.55%
The Reward/Risk ratio for this approach is: 40.53
Annualized Return on Investment (ROI): 119.59%, the ROI of ^DJI was: 43.83%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 20 times or 71.43% 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) 8 times or 28.57% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

And, the filter...

set{bear_shdw_min, max(Open, Close)}
set{bull_shdw_max, min(Open, Close)}
set{shdw_bull, bull_shdw_max - Low}
set{shdw_bear, High - bear_shdw_min}

MACD Fast Line(12,26) is approaching MACD Slow Line(12,26) from below
and MACD Slow Line(12,26) is greater than 0
and MACD Histogram(12,26) has been increasing for the last 3 days
and RSI(14) crossed above RSI(21) within the last 2 days
and RSI(7) crossed above RSI(14) within the last 2 days
and RSI(14) is greater than 50
and Momentum(10) crossed above CEMA(Momentum(10),5) within the last 2 days
and DIV(9) is greater than 0

and shdw_bull is greater than shdw_bear
and Close is greater than Open
and Open is greater than Close 1 day ago

and Volume is greater than 100000
and Average Volume(90) is greater than 500000

and not otcbb
and not etf

/* Draw commonly used indicators */
draw MACD Fast Line(12,26)
draw MACD Slow Line(12,26) on plot MACD Fast Line(12,26)
draw RSI(14)
draw RSI(7) on plot RSI(14)
draw RSI(21) on plot RSI(14)
draw Momentum(10)
draw CEMA(Momentum(10),5) on plot Momentum(10)

do not draw shdw_bull
do not draw shdw_bear

Please contribute your suggestions to helping me make this a better filter, if you can. Thanx.

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