StockFetcher Forums · Filter Exchange · Weekly Reversal Strategy<< 1 2 3 >>Post Follow-up
davesaint86
562 posts
msg #154166
Ignore davesaint86
modified
10/4/2020 5:18:26 PM

I saw this strategy on another site and attempted to build the filter for it. I forgot who posted the code for the RS, ROR, Score, but I added it to the filter. Thanks. If you filter one week prior, this is when many of the buys triggered. You would have also bought the Monday following the March 23rd reversal candle low.

Buy Rules
• The price on the weekly must undercut the previous 3 weeks (Reversal Bar)
• Price must close above the prior week’s close
• The volume must be above the average
• You enter on Monday the following week
Sell Rules
• Sell ½ the position at a 8% gain
• You sell the second half after prices closes below the 50 DEMA or weekly 10 WEMA



Fetcher[Show stocks where average volume(50) is above 500000 and close is above 5
Show stocks where weekly low is below weekly low 1 week ago
And show stocks where weekly low 1 week ago is below weekly low 2 weeks ago
And show stocks where weekly low 2 week ago is below weekly low 3 weeks ago
And show stocks where weekly close is above weekly close 1 week ago

/* RATE OF RETURN */
set {rateor1, close - close 28 days ago}
set {rateor2, rateor1 / close}
set {rateor, rateor2 * 100}

/* RELATIVE STRENGTH */
set {rs1, relative strength(^INX,28)} /* S&P 500 Index */
set {rs2, relative strength(^DJIA,28)} /* Dow Jones Industrial Average */
set {rs3, relative strength(^RUI,28)} /* Russell 1000 */
set {rs4, relative strength(^IXIC,28)} /* NASDAQ Composite */
set {rsavg1, rs1 + rs2}
set {rsavg2, rs3 + rs4}
set {rsavg3, rsavg1 + rsavg2}
set {rsavg, rsavg3 / 4}

/* SHARPE RATIO (the higher the ratio the riskier the investment) */
set {srclose, close 28 days ago}
set {srreturn, close - srclose}
set {srpercent, srreturn / srclose}
set {rfreturn, 0.0015417}
set {srperf, srpercent - rfreturn}
set {etfstdev, cstddev(close,28)}
set {etfvol, etfstdev / ma(28)}
set {sharpe, srperf / etfvol}

/* ADD THEM UP */
set {score1, rateor + rsavg}
set {score2, score1 + sharpe}
set {score, score2 / 3}


draw weekly ema(4)
draw weekly ema(21)
set{E15, weekly ema(10) - weekly ema(40)}
set{ema10/40-Longposition, count(E15 > 0,1)}
set{ema10/40-Shortposition, count(E15 < 0,1)}
draw ema10/40-Longposition on plot
draw ema10/40-Shortposition on plot
and draw Slow Stochastic(5,1) Fast %K line at 20.00 and draw Slow Stochastic(5,1) Fast %K line at 80.00
and draw Slow Stochastic(5,1) Fast %K line at 50.00

set{E10, close above Upper Bollinger Bands(20,2)}
set{BBLongposition, count(E10 > 0,1)}
set{BBShortposition, count(E10 < 0,1)}
SET{BBTRIGGER,0}
add column separator
add column rateor1 {change}
add column rateor {ror}
add column rsavg {rel str}
add column sharpe
add column score

add column separator
add column BBLongposition{BBSell}
add column separator
add column ema10/40-Longposition {wema-10/40}
add column separator
add column e15 {delta}
add column separator
add column weekly ema(4) {wema4}
add column separator
add column weekly ema(10) {wema10}
add column separator
add column weekly ema(21) {wema21}
add column separator
add column weekly ema(40) {wema40}
add column separator

ADD COLUMN ROC(63,1) {3 mth %}
add column separator
ADD COLUMN ROC(21,1) {1 mth %}
add column separator

add column Upper Bollinger Bands(20.2) {Up-BB}
add column separator
add column lower Bollinger Bands(20.2) {Low-BB}
ADD COLUMN SEPARATOR


draw weekly ema(10)
draw weekly ema(40)
draw Average Volume(50)

sort column 10 descending
chart-display is weekly
chart-time is 2 years
]




Cheese
942 posts
msg #154167
Ignore Cheese
modified
10/4/2020 5:50:10 PM

Very interesting. Thank you, dave

Cheese
942 posts
msg #154168
Ignore Cheese
modified
10/4/2020 6:09:16 PM

@davesaint86

Is BBSell meant to be in this line of code ?

add column BBLongposition{BBSell}

Thanks

davesaint86
562 posts
msg #154176
Ignore davesaint86
modified
10/4/2020 8:20:22 PM

Cheese (KD) yes to your question. The BB Sell is the upper Bollinger Band and can be used as a sell. If you look up FSK in StockCharts on the Daily chart you will see that price is above the upper Bollinger band. However, it is not above the upper Bollinger band on the weekly. With that said technically it's not part of the sell strategy from the video I saw. If you offset the filter by a week it looks like 81 out of the 93 stocks listed closed the week out with a gain.

Cheese
942 posts
msg #154179
Ignore Cheese
10/4/2020 10:44:41 PM

Thank you very much, dave.

Cheese
942 posts
msg #154306
Ignore Cheese
10/13/2020 8:47:51 AM

Thanks again, dave.
I think in some cases, drawing snappy's cma(PVI,22) may add value to some of the trading decisions
for some of your filter picks.



davesaint86
562 posts
msg #154308
Ignore davesaint86
10/13/2020 9:22:17 AM

Thank you! I found the video I watch. All - if I have the code wrong please correct the filter.

https://members.thetradersplan.com/income-video



snappyfrog
315 posts
msg #154309
Ignore snappyfrog
10/13/2020 9:36:06 AM

Thank you Cheese

Cheese
942 posts
msg #154312
Ignore Cheese
10/13/2020 9:15:08 PM

@davesaint86 and @snappyfrog

So, I've watched Steven Cawiezell's video and I appreciated what you've given us even more,

Steven Cawiezell's material is timely and has good value.
https://thetradersplan.com/
https://members.thetradersplan.com/income-video

In that video, Steven Cawiezell stressed that his system is rules-based.

However, he then disclosed that he simply decided to stay out of the March 2020 downturn because
he didn't understand covid. He did not show any rule to support this decision.

I suspect that without a rule, he might not have avoided the more recent Sep 2020 pullback.

Steven Cawiezell's use of weekly EMA(10) and weekly EMA(40) didn't seem to be able to avoid
painful drawdowns in either Mar 2020 or Sep 2020.

Dave's filter appeared to have cleverly attempted to mitigate Steven Cawiezell's gaping flaw of
not having a robust exit rule in times of pullbacks. Dave's filter made use of EMA(4) and of
Slow Stochastics(5,1) %K

Personally, I would use a two-step process:

1. Use dave's filter as is, to get the potential simulated picks from Steven Cawiezell's system, then
2. Use snappy's CMA(PVI,10) to keep me out of part of the drawdowns and to let winners run.
The rule appears to be simply BUY ABOVE, SELL BELOW

In summary, Steven Cawiezell seems to be a good system. I look forward to using it,
with the added improvements from dave and snappy.

Just my two cents

Thanks again, dave and snappy

ron22
221 posts
msg #154313
Ignore ron22
modified
10/13/2020 10:42:14 PM

@davesaint86, Thank you for your filter. I like it a lot. Good trading. Ron

StockFetcher Forums · Filter Exchange · Weekly Reversal Strategy<< 1 2 3 >>Post Follow-up

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