StockFetcher Forums · Filter Exchange · V2 & V1 - Value Zone<< 1 2 >>Post Follow-up
davesaint86
720 posts
msg #158869
Ignore davesaint86
modified
3/23/2022 7:37:51 PM

Had another training session with Gregg Gossett last night where he introduced to me the V1 and V2 Value Zone strategy rules. He said Kelly Lovvorn and Alexander Elder taught him these strategies. Below is a V2 filter that I attempted create. I think it still needs some work. V1 and V2 are a mean reversion strategies, where price after reaching exhaustion come back down through the Upper Keltner Bands into what he calls the Value Zone. The Value Zone is area within the Keltner Band(20).
Price should come into the zone and consolidate for minimum of two days.
The next day (day 1) if still consolidating will start the V2 pattern.
The (day 2) candle should have a lower low and a close lower than the Day 1 candle. This candle should be at least 1/4 ATR below the day 1 candle. The lower end of the candle should wash out the some of the candles in consolidation pattern.
The (day 3 candle) should have a higher low than the day 2 candle. It also needs to close higher than they day 1 and day 2 candles. One would buy at the close on this candle.

Any improvements that help improve this filter will be appreciated. Thanks! I set the offset to 5 days. MFC is an example of a V2 (though not perfect). I look at V2 as just a fractal with a breakout above the fractal. GLD was a valid V2 but signal today, but this filter did filter it, so something is wrong with it.

Fetcher[show stocks with an Average Volume(30) between 500000 and 1000000000
Low is below the Lower Keltner Band(20) 1 day ago
close is above the lower Keltner band(20)

and where close > close 1 day ago
and where close > close 2 days ago
and 25%-atr > 0.00
and where low 1 day ago < low 2 days ago
low 1 day ago < low


price > 10

set{atr25, atr(20) * 0.25}
set{alow, low 2 days ago - atr25}
and draw alow on plot price
and low below alow 1 day ago
set{QtrAtr, pdl - atr25}


set{25%-ATR, alow - low}
add column 25%-ATR
do no draw 25%-ATR

add column rsi(14)
add draw rsi(14) line at 50
add column separator

add column Low {Todays-Low}
add column Low 1 day ago {Low-1-Day Ago}
add column Low 2 dasy ago {Low-2-Days Ago}
add column separator
add column alow
add column atr25

add column separator
add column Close {Today's Close}
add column close 1 day ago {1-day-ago}
add column close 2 days ago {2-days-ago}

add column separator
sort on column 5 descending
date offset 5 days
]



davesaint86
720 posts
msg #158870
Ignore davesaint86
3/23/2022 7:49:38 PM

Here is an actual V2 trade I took at close today of GLD,

https://www.tradingview.com/x/KuzdFlrI/


Cheese
1,374 posts
msg #158871
Ignore Cheese
3/23/2022 11:12:07 PM

https://www.stockfetcher.com/forums/Filter-Exchange/V2-V1-Value-Zone/158869
========================

@davesaint86

Your Value Zone Keltner Band(20,1) idea seems to work well
with Elder Impulse System code by John Mactheriverrat.


Fetcher[


SYMLIST(SPY,QQQ)


/*
https://www.stockfetcher.com/forums/General-Discussion/Hi-Y-all/158432/30
Mactheriverrat modified 3/6/2022 1:36:42 PM

*/
/* Filter based mostly on the Elder Impulse System. The indicators are EMA 13 and Macd Histogram(12,26,9) with a 2 day moving average I added as to show strength of the Histogram. */

apply to Sector(Oils-Energy)
chart-time is 3 months
Draw ema(13)

/* 1313 is number of consecutive days EMA(13) above (+)/below(-) previous EMA(13) */
set{1313b,days( ema(13) is above ema(13) one day ago ,250)}
set{1313a,days( ema(13) is below ema(13) one day ago,250)}
set{13x13, 1313a - 1313b} and add column 13x13 {13_x_13}

Set{cntema13aboveema13,count( eMA(13) > eMA(13) 1day ago,1)}
draw cntema13aboveema13

Set{cntema13aboveema13b,count( eMA(13)< EMA(13) 1day ago,1)}

draw cntema13aboveema13b


draw cema(var1 Legend{var1, macd Histogram(12,26,9)} ,2)

do not draw macd Histogram(12,26,9)
set{var1, macd Histogram(12,26,9)}
draw var1 Legend{var1, macd Histogram(12,26,9)} PlotType{var1,zerobar}


add column var1 Legend{var1, macd Histogram(12,26,9)}











/*
https://www.stockfetcher.com/forums/Filter-Exchange/V2-V1-Value-Zone/158869
V2 & V1 - Value Zone
davesaint86 modified 3/23/2022 7:37:51 PM
*/
draw Upper Keltner Band(20,1)
]



davesaint86
720 posts
msg #158872
Ignore davesaint86
modified
3/23/2022 11:48:55 PM

Thanks Cheese! The signals seem to line up correctly when I analyzed SPY going back to the COVID crash.
https://school.stockcharts.com/doku.php?id=chart_analysis:elder_impulse_system

Davesaint

Cheese
1,374 posts
msg #158873
Ignore Cheese
modified
3/24/2022 10:35:20 AM

https://www.stockfetcher.com/forums/Filter-Exchange/V2-V1-Value-Zone/158869
========================

@davesaint86

Mac's above filter for surrogate Elder impulse System
and a StockCharts image for real Elder impulse System
can be found here:

https://www.stockfetcher.com/forums/General-Discussion/Hi-Y-all/158432/30

https://postimg.cc/yJpczk9L

I think Mac might also have posted other StockCharts images for real Elder impulse System
in other threads. Mac might also have posted the real link to StockCharts.

Happy trading, and thank you both for sharing.

nibor100
937 posts
msg #158877
Ignore nibor100
3/24/2022 1:34:02 PM

@davesaint86,

1. After looking at your filter, and a chart of GLD on SF, and your GLD buy chart from TradingView I wrote the filter below to show what is going on in SF for their standard Keltner channels and their standard Average True Range.
I also subtracted the SF 2ATR value from the closing price of GLD yesterday and your buy price yesterday.
Note they are all different....
so I guess I need to research how TradingView calculater their Average True Range

Fetcher[
apply to symlist(gld) date offset 1 days
show stocks with an Average Volume(30) between 500000 and 1000000000

add column Lower Keltner Band(20)
add column low
set{var1, lower Keltner Band(20)} add column var1 add column var1 1 day ago
set{var2, upper Keltner Band(20)} add column var2 add column var2 1 day ago
add column var2 1 day ago minus var1 1 day ago
add column atr(20) 1 day ago
add column 2 multiplied by atr(20) 1 day ago

add column 181.78 minus 6.43
add column 181.81 minus 6.43
]



2. I found the Trade Naviagator platform indicator manual (that's the trading platform Gossett uses in all of his videos) online and they calculate their Keltner Channels in essentially the same way that SF does, using the original Keltner method circa 1960 where the bands are averages of High-Low added to and subtracted from the center moving average.

Clearly neither piece of sw is using Average True Range for those channel/band calculations so the bands/channels are not 1 ATR in distance from one another on a chart.

In fact, SF actually has a way of basing the band/channel calculation on standard deviations if one wanted such.

Hope this helps some,
Ed S.



davesaint86
720 posts
msg #158879
Ignore davesaint86
3/24/2022 2:43:27 PM

Thanks Ed! Gossett had a programmer create a scanner that scans daily for all of his strategies. He showed me the scanner. He said I will have access to the scanner when I'm done with the training. I thought it would be nice though to build the filters in SF so other could use or improve on them.

Davesaint

davesaint86
720 posts
msg #158880
Ignore davesaint86
3/24/2022 2:45:35 PM

Here is the V1 filter.

Fetcher[show stocks with a Average Volume(30) between 500000 and 1000000000 and where close > close 1 day ago and where low < low 1 day ago and 25%-atr > 0.00

Low is below the Lower Keltner Band(20) 1 day ago
close is above the lower keltner band(20)


price > 10

set{atr25, atr(20) * 0.25}
set{alow, low 1 day ago - atr25}
and draw alow on plot price
and low below alow 1 day ago
set{QtrAtr, pdl - atr25}


set{25%-ATR, alow - low}
add column 25%-ATR
do no draw 25%-ATR

add column rsi(14)
add draw rsi(14) line at 50
add column separator

add column Low {TDL}
add column Low 1 day ago {PDL}
add column alow
add column atr25

add column separator
add column Close {TDC}
add column close 1 day ago {PDC}
add column separator
sort on column 5 descending
]



fotchstecker
297 posts
msg #158894
Ignore fotchstecker
3/26/2022 10:22:59 PM

Thanks for this, Dave.
Question: what are your thoughts on a selection filter? When the filter returns a lot, one would need a limited number of candidates to trade...

nibor100
937 posts
msg #158897
Ignore nibor100
3/27/2022 2:50:23 AM

Gossett has a youtube video that might help....
Ed S.

How to use V1 & V2 Entry Triggers to enter you Stock Trades

StockFetcher Forums · Filter Exchange · V2 & V1 - Value Zone<< 1 2 >>Post Follow-up

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