StockFetcher Forums · Stock Picks and Trading · Discussions for Ed S nibor100 Exploring VE's Profitable Short-Sell Filter<< 1 2 >>Post Follow-up
nibor100
552 posts
msg #151051
Ignore nibor100
3/3/2020 10:27:01 AM

@ksk8,

If your post was directed to me, let me clarify a few things:

a. I never said or hinted that my goal was to match either your short filter's performance nor V.E.s short filter performance with a long filter, as I agree that would be near impossible...I'm just angling to get some of the 5 day build-up gains that many of the stocks in V.E.s short filter seem to enjoy. If I fail no big deal, I always learn a few things from these types of explorations.

b. One of the reasons I'm starting with V.E.s short filter is because it isn't just Penny stocks as over 2/3 of his short trades in the past 14 months, based on Olathegolf's data, are >$5.

c. Sorry, but since I don't short stocks I will not be spending any time trying to improve either of y'alls short filters, so you are on your own to do that.

Thanks,
Ed S.

Village Elder
230 posts
msg #151052
Ignore Village Elder
3/3/2020 10:40:51 AM

Ed - you are right in that I specifically avoid penny stocks. The first line of the filter requires any result to be priced above $3.

Fetcher[
close above 3
close above close 1 day ago
volume above 1000000
roc(5,1) above 50
shares outstanding above 10

add column roc(5,1)
sort on column 5 descending
ADD COLUMN SHARES OUTSTANDING

draw roc(5,1) line at 50
chart-time is 21 days
]



This is the filter I have been using - pretty bare bones in all honesty. I honestly made no effort at optimizing any of the variables on this, and just picked round numbers or multiples of 5.

If you simply reverse some of the requirements, you don't get anywhere near the same returns, in part because people are happier taking a profit off the table from an overbought stock than going long on an oversold stock that may or may not recover. My rationale on this was that traders lack rigor and base their decisions on short term gain (take the profit now before it drops) versus short term loss (hold until whenever I can get out at breakeven).

KSK8
453 posts
msg #151055
Ignore KSK8
3/3/2020 11:59:10 AM

nibor100,

I thought everyone was with the assumption that a long version of the shorting systems were possible. But if you guys are looking for a filter that can be identical to it's results and performance, then heck I'd be rooting for that.

So on the notion of finding 5-day runners, here's a filter that has frequent multi-day gainers. This filter uses volume factors so hopefully, this gives some ideas. Let me know what you think.
Because its an OTC based filter, I would strongly advise against trading it, but see if you can dissect it and find out why it yields stocks that explode. I wouldn't bother backtesting it since the majority are heavy losers.

However, the frequency of multi-day exploders can be emphasized by just in this past month:

BTCY: +360%
TECR: +500%
TOMZ: +847%
HVBTF: +104%
SPSO: +124%
FNHI: +334%
PKLBF: +412%

Fetcher[
market is OTCBB

set{liq, volume*price}
set{x1, count(close > open,1)}
set{x2, count(liq reached a new 13-week high,1)}
set{x3, count(close reached a new 13-week high,1)}
set{x4, count(volume above 200000,1)}
set{x5, count(close < 10,1)}
set{x6, count(close above Upper Bollinger Band(20,2),1)}
set{x7, count(Accumulation Distribution increasing for 1 day,1)}
set{x8, count(Volume is above Volume 1 day ago,1)}
set{x9, count(close is 10% above close 1 day ago,1)}

set{v1, x1*x2}
set{v2, v1*x3}
set{v3, v2*x4}
set{v4, v3*x5}
set{v5, v4*x6}
set{v6, v5*x7}
set{v7, v6*x8}
set{v8, v7*x9}
set{buy, v8*x9}

buy > 0

draw Bollinger Band(20,2)
add column liq{liquidity}


offset is 5
]



Hopefully, this gives some ideas. I really do hope you find something that can perform identically to the results of V.E's filter. I myself would be more than down to trade it.

nibor100
552 posts
msg #151058
Ignore nibor100
3/3/2020 12:32:26 PM

@V.E. I suggest you add your current filter to your read-only thread so those who just follow that thread can see the latest.

@KSK8,
Thanks for the filter, I had already been looking at volume trends prior to shorting day for V.E.s filter but I'll study this one closely.

Thanks,
Ed S.

Village Elder
230 posts
msg #151093
Ignore Village Elder
3/6/2020 7:54:35 AM

Ed:

Here is a recoded version of the filter I use, but this one only selects for stocks where the entry criteria have been met today and not any other day within the last 10 days (to avoid retrading the same stock too often). This is what I have been doing so if you want to back test anything this would be the logical one.

The only discretionary rule is rule 1 - you can take a profit even if the ROC(5,1) remains above 50. In a purely mechanical backtest I would use ONLY the ROC(5,1) cross and exit at the EOD price on the day it crosses.

Hope this helps.

Fetcher[
/*Define individual entry criteria*/
set{entry1, count(close above 3,1)}
set{entry2, count(close above close 1 day ago,1)}
set{entry3, count(volume above 1000000,1)}
set{entry4, count(roc(5,1) above 50,1)}
set{entry5, count(shares outstanding above 10,1)}

/*Now combine them into a single signal for today*/
set{entry6, entry1 * entry2}
set{entry7, entry6 * entry3}
set{entry8, entry7 * entry4}
set{entry, entry8 * entry5}

/*Pick candidates where all of the criteria are met for today AND for the first time in the last 10 days*/
count(entry above 0,1) equals 1
count(entry above 0,10) equals 1

add column roc(5,1)
sort on column 5 descending
ADD COLUMN SHARES OUTSTANDING

draw entry
draw roc(5,1) line at 50
chart-time is 21 days
]



Just remember that in backtesting you have to account for reverse splits and adjustments that would not have had you trading that stock when the signal seemed to be triggered. Also watch out for acquisitions since the price goes nowhere.

StockFetcher Forums · Stock Picks and Trading · Discussions for Ed S nibor100 Exploring VE's Profitable Short-Sell Filter<< 1 2 >>Post Follow-up

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