StockFetcher Forums · Filter Exchange · frequency of consecutive up or down days<< >>Post Follow-up
9 posts
msg #49215
Ignore estetson
1/13/2007 12:01:04 AM


I have been working on a bunch of filters over the past few months, trying to find "the perfect filter" for profitable purely mechanical trading. So far I have not found the holy grail, but I have created some interesting and potentially useful filters in the process.

Here is one that I think some people here might like to see. It displays the percentage of the time over a 100 day period and a 20 day period that on any given day the price will go in the same direction as it did the previous day. It also shows the average percent gain (or loss) per day, that you would get if you always traded in the same direction as the stock went the previous day.

I have set the parameters to exclude stocks priced below 2 dollars, low liquidity stocks (below 1 million dollars traded per day) and stocks with a low average daily range (below 4 percent). These values can be adjusted according to personal preference.

The interesting thing about this filter is that it shows that stocks go through cycles where they get streaky for a while and then they get choppy for a while. I wonder if there would be a way to use this to catch the stocks as they are just entering a streaky phase -- then just trade with the direction of the previous day change.

Another interesting thing I noticed is that if you average the "dailygainpctavgrange" value for all the stocks on the list where "trendiness100" is above 50 (i.e. in last 100 days the stock went in the same direction on consecutive days more than 50% of the time), you find out that it's almost 0.1 -- that's 10% of the avg daily range, per day. So if you're trading a stock with an avg daily range of 5%, then you'd be making an average of 0.5% gain per day. Over the course of the trading year, that's a 120% gain on the year.

I don't know if this could really be turned into an effective trading system, but I just thought I'd post the filter to see if anyone has any thoughts and ideas about it. So here is the filter below. I'm not sure if it will appear as a link the way I see posted in other threads, because I've never posted a filter before, but here goes!

Fetcher[set{avgliquidity, Price * Average Volume(30)}
set{avgliquiditymil, avgliquidity / 1000000}

set{signtoday, sign(Day Change)}
set{signyesterday, sign(Day Change 1 day ago)}
set{sign2days, signtoday + signyesterday}
set{normalizedsign2days, sign2days / 2}
set{relativechange, Day Change / Average Day Range(30)}
set{consecutivedays, relativechange * normalizedsign2days}
set{baddayprelim, signtoday * signyesterday}
set{badday, baddayprelim - 1}
set{normalizedbadday, badday / 2}
set{nonconsecutivedays, abs(relativechange) * normalizedbadday}
set{alldays, consecutivedays + nonconsecutivedays}
set{dailygainpctavgrange, cma(alldays,100)}
set{consecutiveup100, count(sign2days > 1, 100)}
set{consecutivedown100, count(sign2days < -1, 100)}
set{trendiness100, consecutiveup100 + consecutivedown100}
set{consecutiveup20, count(sign2days > 1, 20)}
set{consecutivedown20, count(sign2days < -1, 20)}
set{trendiness20prelim, consecutiveup20 + consecutivedown20}
set{trendiness20, trendiness20prelim * 5}

Price > 2
avgliquiditymil > 1
Average Day Range(30) > 4

add column avgliquiditymil
add column Average Day Range(30)
add column trendiness100
add column trendiness20
add column dailygainpctavgrange

draw trendiness20
draw cma(trendiness20,10)
draw trendiness100
draw cma(trendiness100,10)
draw dailygainpctavgrange

sort by column 7 descending

81 posts
msg #49467
1/22/2007 7:56:41 PM

Hi,ck this out.Buy the ten day QQQQ low(does not have to be consecutive lows),sell out one week later.Sounds simple and it works.I would like to know what the figures are if you back test.Let me know,thanks,Michael....

69 posts
msg #49495
Ignore Railwhore
1/24/2007 2:26:42 AM

funny how HSOA is at the top - its one my most favorite day trading stocks...

StockFetcher Forums · Filter Exchange · frequency of consecutive up or down days<< >>Post Follow-up

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