StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 22 23 24 25 26 ... 32 >>Post Follow-up
765 posts
msg #110966
Ignore gmg733
2/4/2013 3:07:43 PM


Looking at the page 19 filter, you have a 4% pull back candidates and a 6% pull back for the entry. Is this correct?

low more than 4% below close 1 day ago
set{limitentry, close *0.94}

During the WFA, are you optimizing these two variable independently?


11 posts
msg #110989
Ignore Marketyoda
2/4/2013 4:54:06 PM


Do you have a max stock price that you will trade? Has there been anything you've seen in backtesting to hint at higher priced stocks not returning as much as other price ranges?


4,599 posts
msg #111005
Ignore Kevin_in_GA
2/5/2013 9:47:21 AM

@gmg: Yes, both are optimized in the WFA, once a month.

@marketyoda: No upper limit was used in the backtest. Lower limit was 5 dollars. The key really is liquidity - illiquid stocks will screw you on the exit (not the entry since it is a limit order, but it may not get filled).

4,599 posts
msg #111009
Ignore Kevin_in_GA
2/5/2013 9:57:43 AM

Anyone in KERX or HLF should seriously consider taking your profits now. HLF up more than 8% and KERX up 5%.

4,599 posts
msg #111025
Ignore Kevin_in_GA
2/5/2013 10:45:42 AM

New trade this morning - MHP in at 47.28. Currently trading at 47.34.

62 posts
msg #111054
Ignore Billirider321
2/5/2013 3:19:29 PM


Are you setting a stop loss once the trade is in money.


4,599 posts
msg #111055
Ignore Kevin_in_GA
2/5/2013 3:40:24 PM

No. Although with MHP today that might not have been a bad idea.

The backtest does not include any stop losses or profit gains - it is impossible to determine the order of events using EOD data if you try. The Connors system relies on statistics, and so part of that is taking a loss occasionally. This variant has been about 68% profitable since 1/2/2007, which means 1 out of three will take a loss.

I would like to backtest this using a double-down on the trade if it moves more than 5 or 10% against you to see how it impacts performance. This approach usually results in higher win rates but feels riskier.

11 posts
msg #111060
Ignore Marketyoda
2/5/2013 6:26:39 PM


Thanks for the info!

I've been papertrading this for a little bit. Had a doubledown scenario last week with RIMM/BBRY.

I divide my balance into 5 equal (as close as I can get) cash-size positions. Last week, RIMM took 2 positions. Here's the way it went:

Entry #1 (1/29): 200 shares @ $15.21
Entry #2 (1/31): 210 shares @ $12.45 (Price gapped below 12.95 target at open)

Williams %R Exit (2/4 @ open): $13.71

Entry #1 result: -$300.00 (before commissions)
Entry #2 result: +$302.40 (before commissions)

Would have been a small loss with commissions factored in, but better than a big loss. I wonder how many double down scenarios there are and how many actually work out or at least soften the blow a bit.

200 posts
msg #111064
Ignore tomm1111
2/6/2013 12:56:57 AM

Kevin, Great filter. I have a question regarding the SS code you posted previously in the thread. In the third line of code, you reference the "low tomorrow" (ref(low,1) < close * 0.94) to create a limit order at close*0.94 of current day. Can you please explain why this is coded this way? I'm trying to follow the logic. Thanks, Tom

"Yes. The exact SS code is as follows:

(close-low)/(high-low) < 0.2 and
ref(low,1) < close * 0.94 and
low < ref(close,-1) * 0.94 and
adx(5) > 40 and
close > 5 and
mov(volume,21,simple) > 250000

Entry is a limit order at close*0.94. "

4,599 posts
msg #111069
Ignore Kevin_in_GA
2/6/2013 8:54:55 AM

That is the correct code for backtesting the proposed system. You would remove the forward-looking reference when trading this.

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