StockFetcher Forums · Filter Exchange · McClellan Oscillator and SPY<< 1 2 >>Post Follow-up
snappyfrog
521 posts
msg #159252
Ignore snappyfrog
modified
6/29/2022 10:28:17 PM

I have been following the McClellan Oscillator (advancing minus declining stocks)
for divergence from SPY close.

SPY was in consolidation from late May - June 8, 2022 while McClellan was showing
a drop. This gave me confidence in buying puts to short SPY.

This lead me to wondering if I could use the McClellan in any way to help
me buy puts / calls.

I came up with this filter that looks at the 10 day high and low of the McClellan.
When the McClellan value leaves the 10 day value of the low, I want to buy a call (go long),
holding until the McClellan actually drops from the 10 day high value. I would then
sell the call and buy puts (go short). I would repeat this process to sell the puts and
go back into calls.

There are some fakes, but I have the RSI(14) in the chart also to help guide me on when
to hold through a slight reversal / flag / pennant. I consider a RSI value above 53 as being
bullish strength while below 47 to be bearish strength.

Note also that RSI will tend to stay below 60 in a bearish market and above 40 in
a bullish market.

Your thoughts and ideas are always appreciated.

Edit: When you click to Fetch, if it says you have exceeded your subscription, just
click it again.

Fetcher[
apply to symlist(SPY)
set{vara,ind(^advn,close)}
set{vard,ind(^decn,close)}
set{var,vara - vard}
set{var1,cema(var,39)}
set{var2,cema(var,19)}
set{mcclellan,var2 - var1}
draw mcclellan 10 day low
draw mcclellan 10 day high
draw ema(13)
add column separator
add column mcclellan 10 day low
add column mcclellan
add column mcclellan 10 day high
draw rsi(14) line 53
draw rsi(14) line 47
]



compound_gains
216 posts
msg #159253
Ignore compound_gains
6/30/2022 12:40:24 PM

How far out are you buying the calls / puts?

snappyfrog
521 posts
msg #159260
Ignore snappyfrog
7/1/2022 7:57:04 AM

I am buying monthlies at least 1 month out.

sanket_9999
5 posts
msg #159465
Ignore sanket_9999
8/16/2022 11:01:47 AM

Hi can you please explain when to buy the SPY and sell SPY?

snappyfrog
521 posts
msg #159480
Ignore snappyfrog
8/22/2022 9:47:23 AM

I pull my buy / sell Criteria in the original post.

One thing I didn't mention is watching RSI(14). Depending on the
Strength (above 53) or weakness (below47) makes a difference
On if and when I buy / sell also.

ron22
255 posts
msg #159503
Ignore ron22
8/26/2022 5:22:05 PM

Snappy, Interesting filter. Did you have a chance to back test it? Thank you for posting it.

snappyfrog
521 posts
msg #159526
Ignore snappyfrog
9/1/2022 8:33:10 AM

Have not back tested it except for looking at the chart over the last year.

It does give some head fakes when used alone, but RSI helps in those cases.

I recently bought $425 puts on the 19th of Aug
when McClellen made a head and shoulders pattern with RSI oversold.
I am still holding the puts.

ron22
255 posts
msg #159539
Ignore ron22
9/1/2022 4:24:27 PM

Snappy, Using RSI for confirmation is a good approach. Thanks.

snappyfrog
521 posts
msg #159570
Ignore snappyfrog
9/8/2022 8:31:47 AM

Bought on Aug 19th at $889 will sell at open today at approximately $2800.

shillllihs
5,777 posts
msg #159571
Ignore shillllihs
9/8/2022 10:29:19 AM

Your system seems great right now that it’s a bear market but flip it and I’m not sure it works, look back 2 years. I may be wrong.

StockFetcher Forums · Filter Exchange · McClellan Oscillator and SPY<< 1 2 >>Post Follow-up

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