StockFetcher Forums · Filter Exchange · Gap Investigator<< 1 2 3 4 5 >>Post Follow-up
shillllihs
5,804 posts
msg #153131
Ignore shillllihs
7/15/2020 10:27:38 PM

The Bobster says he thinks it’s a rising bear market and it doesn’t feel good.


Marco of Sicily
6 posts
msg #153371
Ignore Marco of Sicily
8/2/2020 8:39:19 PM

Here is a Gap fil,ter I have used for years to gather info on Gaps. This filter is one I use on ETF's but you can adjust the criteria to fit your needs. I have developed different systems based on the info obtained from this filter. I pulled this info from TRO and many other traders over the years and adjust the criteria to fit my trading style. Simple but informativ


Submit
Fetcher[

and stock is an ETF
add column separator
add column average day range(20)


and average volume(100) is above 100000
add column separator
set{Xgapped, open - close 1 day ago}
set{Xgapup, count(Xgapped > 0, 1)}
set{Xgapdn, count(Xgapped < 0, 1)}

set{absgap, abs(Xgapped)}

set{gappedup100, count(Xgapup > 0, 100)}
set{gappeddn100, count(Xgapdn > 0, 100)}

set{cl1lo, close 1 day ago - low}
set{hicl1, high - close 1 day ago }

set{fillup, count(cl1lo > 0, 1)}
set{filldn, count(hicl1 > 0, 1)}

set{gapupfilled, Xgapup * fillup }
set{gapdnfilled, Xgapdn * filldn }

set{gapup100f, count(gapupfilled > 0, 100)}
set{gapdn100f, count(gapdnfilled > 0, 100)}

set{gapfilled, gapup100f + gapdn100f}
set{dollargap, open - close 1 day ago}
add column close 1 day ago { Prior close}

add column separator
add column open
add column separator
add column high
add column separator
add column low
add column separator


set{CCb,days(open is above close 1 day ago,100)}
set{CCa,days(open is below close 1 day ago,100)}
set{CxC, CCa - CCb}
and add column CxC {gap Up/Down}
add column separator
add column dollargap {today's gap $}
add column separator
add column gap { today's gap %}
add column separator

set{GGb,days(close is above close 1 day ago,100)}
set{GGa,days(close is below close 1 day ago,100)}
set{GxG, GGa - GGb}
add column separator
and add column GxG {close Up/Down}
add column separator
add column count(close is above close 1 day ago, 100) { close UP-100days}

add column separator
set{upper, gapup100f / gappedup100 }
set{ding, gapdn100f / gappeddn100 }
and add column gappedup100{Gap up}
add column separator
and add column gapup100f{Up Filled}
add column separator
add column upper { gap up filled %}
add column separator
and add column gappeddn100{gap down}
add column separator
and add column gapdn100f{down filled}
add column separator
add column ding { gap down filled %}

add column separator
and add column absgap 100 day high{largest gap}
add column separator

]





shillllihs
5,804 posts
msg #153381
Ignore shillllihs
8/3/2020 11:45:09 AM

That’s awesome. Hope everything works out for you.

Marco of Sicily
6 posts
msg #153389
Ignore Marco of Sicily
8/3/2020 3:47:42 PM

Thank you shillllihs. Trade well my friend !


ron22
255 posts
msg #153393
Ignore ron22
8/3/2020 10:13:22 PM

@Marco of Sicily, Please answer a few questions so that I can shorten my learning curve with this filter.
1. Do you use pre-market data? If so, does it help?

2. Do you get better results with gap up or gap down ETF's?

3. What is the minimum gap you consider? 0.5 ATR, 1.0 ATR, 2.0 ATR, 3.0 ATR or something else?
Obviously a close of $30.00 with an open of $30.10 is not tradeable.
4. How do you determine your entry and exit for each trade?

Thank you very much for helping me. Ron

Marco of Sicily
6 posts
msg #153460
Ignore Marco of Sicily
modified
8/7/2020 7:17:33 PM


Hello Ron !

1. I use end of day data.

2. I have no bias concerning Gap Up or Gap Down. That is where the filter is valuable. Rather than imposing my bias on the market I let the filter tell me which way to go. If a filter gaps down consistently I know not to go Long on the close but to wait until after the morning open for a better entry point. If a stock consistently gaps down and does not consistently fill the gap I know it is not a good daytrade candidate to fade. Likewise, if a stock consistently Gaps Up I can look to buy the close, especially when it has Gapped Down the last few days. These type of stocks will often revert to their usual behavior. I use this filter to not only trade gaps but to get better pricing on Swing Trades by buying at the better price by using it's Gap tendencies.

3. Depends on the type of trade. For a Daytrade I often will trade as little as a 0.25% Gap. On a Swing Trade the Gap I prefer would be at least 0.50% and larger would be better. Your style of trading would dictate.

4. For entries in general I screen for Technical Signals. I have 5 Signals I use and have developed criteria for each signal that I look for that has backtested profitable. I only trade when the ETF or Stock meets at least one Signal and preferably more. When my Filters flas 3,4 or 5 out of five signals at the same time I have a very good chance of success. For me, Exits are much harder. For years I have left too much money on the table. I would be afraid of a reversal and then bail on a trade right before it reversed and becam a big winner. Finally I realized that this is just my personality and that I would never be comfortable with longer term trading or Investing. Now I devise systems that go for higher win percentages and smaller targets. This fits me but would drive many traders crazy. Everyone is taught to let your winners run but for me it never worked. I became much more successful when I faced the fact that I could only successfully trade a system that I was comfortable with. For example, last month I was successful on 91% of my trades. Obviously they were for smaller gains. I rarely gain more than 1% on a trade and I never hold a trade more than a few days.


I hope this answers your questions. Actually the Gaps are a very small portion of my trades. The vast majority are mean reversion trades based on Technical Signals but automated through the filters. I'm an old retired guy who has narrowed his trading down to 2 or 3 systems that work for me and I try to make a few bucks to supplement my retirement. For me it comes down to the Math and developing filters that tilt the odds in my favor. There are 20 different ways to trade profiably but it has to be a way that fits you.


Best Wishes,

Marco



ron22
255 posts
msg #153465
Ignore ron22
8/7/2020 10:27:36 PM

Hi Marco, I appreciate your detailed reply. This information will help me in my quest to develop another filter to add to my tool belt. Thank you and Good Trading.

roca1018
163 posts
msg #153467
Ignore roca1018
8/8/2020 7:25:21 AM

Marco,

Do you have any interest in sharing the 2-3 filters that you prefer?

Thanks

Rich

Marco of Sicily
6 posts
msg #153470
Ignore Marco of Sicily
8/8/2020 6:23:00 PM

You're Welcome Ron.

Mactheriverrat
2,982 posts
msg #153473
Ignore Mactheriverrat
8/8/2020 10:01:02 PM

A million Filters out there.
What's the buy trigger is the question.

StockFetcher Forums · Filter Exchange · Gap Investigator<< 1 2 3 4 5 >>Post Follow-up

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