StockFetcher Forums · Filter Exchange · A short filter with a high ROI, anyone have any ideas for improvement?<< >>Post Follow-up
19 posts
msg #54911
Ignore dccolt
9/18/2007 8:39:40 PM

Here is a short filter that has a high ROI; however, the problem with it is that it filters out too many stocks and allows too few possible stocks. I have played with it until I am blue in the face, so I am posting it for suggestions.

The million dollar question is... does anyone have any ideas of how to keep the same filter principle (a new 52 week high, with increasing price yet decreasing volume) yet find more stocks for possible shorting???

Fetcher[Price reached a new 52 week high within the last 5 days
Price gained more than 25% over the last 3 days
Volume decreasing over the last 3 days
Price between 1 and 25

Here are the backtesting results:

Approach Information
Approach Name: Filter 1 (1404.81%) - Price +25%/3days, Vol -, 52 ...
Test started on 12/29/2006 ended on 09/18/2007, covering 179 days
Filter used:
Filter 1 (1404.81%) - Price +25%/3days, Vol -, 52 week high/5days, $1-25 (saved filter)

Trade Statistics
There were 19 total stocks entered. Of those, 19 or 100.00% were complete and or 0.00% were open.
Of the 19 completed trades, 6 trades or 31.58%resulted in a net gain.
Your average net change for completed trades was: 2.39%.
The average draw down of your approach was: -5.72%.
The average max profit of your approach was: 10.57%
The Reward/Risk ratio for this approach is: 3.70
Annualized Return on Investment (ROI): 1404.81%, the ROI of ^SPX was: 9.25%.

Exit Statistics
Stop Loss was triggered 13 times or 68.42% of the time.
Stop Profit was triggered 6 times or 31.58% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
Completed 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg
Winners: 6 7 9 8 7 6
Losers: 13 11 10 11 10 12
Win/Loss Ratio: 0.46:1 0.64:1 0.90:1 0.73:1 0.70:1 0.50:1
Net Change: 2.39% -0.27% -4.15% -0.03% -2.59% -3.20%

Statistics By Variable: Match Price
<1 <2 <3 <4 <5 <6 <7 <8 <9 <10
Completed 0:1 2:5 0:3 2:0 1:2 1:1 0:1 - - -
2 day chg 0:1 4:2 2:1 0:2 0:3 0:2 1:0 - - -
5 day chg 1:0 4:3 3:0 0:2 0:3 0:2 1:0 - - -
10 day chg 1:0 3:4 3:0 0:2 0:3 0:2 1:0 - - -
25 day chg 1:0 1:6 1:0 1:1 1:2 1:1 1:0 - - -
40 day chg 1:0 1:6 3:0 0:1 0:3 1:1 0:1 - - -

Statistics By Variable: Average Volume
<250000 <500000 <750000 <1000000 <1.2M <1.5M <1.8M <2.0M <2.2M <2.5M
Completed 5:11 - 1:0 0:1 - - - - 0:1 -
2 day chg 7:8 - 0:1 0:1 - - - - 0:1 -
5 day chg 8:8 - 0:1 1:0 - - - - 0:1 -
10 day chg 7:9 - 0:1 1:0 - - - - 0:1 -
25 day chg 5:9 - 1:0 1:0 - - - - 0:1 -
40 day chg 5:11 - - 1:0 - - - - 0:1 -

I have other filters with high ROI's but the same problem of not enough stocks are allowed for them to be considered successful. TIA.

169 posts
msg #54922
Ignore betyerbottomdollar
9/18/2007 11:04:42 PM

what are your exits?

19 posts
msg #54923
Ignore dccolt
9/18/2007 11:11:08 PM

I have ran it several ways, but the exits for the above filter are 1% stop and 10% profit with a maximum 25 day hold.

56 posts
msg #55084
Ignore Systrader
9/23/2007 12:17:15 PM

I have considered that to short a stock you would want to see some exhaustion of the upward trend and also you want to have stock that are above $5 to have enough downward movement.
RSI can help, as it should turn down and cross below the 80 value. Also having 25% increase in a very short time would be too high unless there were gapping stocks .. not very frequent at that level, so this is also relaxed.

Fetcher[Price reached a new 52 week high within the last 5 days
Price gained more than 3% over the last 3 days
Volume decreasing over the last 2 days
RSI(14) above 80
Price above 5

This could be further modifed to look for a candle formation such as doji and bearish engulfing pattern to see the reversal, in whcih case the RSI may already have crossed below 80.

19 posts
msg #55094
Ignore dccolt
9/23/2007 9:33:12 PM


I appreciate your input. I am going to play around with RSI for a while. Thanks.

6,370 posts
msg #55100
Ignore TheRumpledOne
9/23/2007 11:28:02 PM

The filter doesn't need to be improved... you just have to TRADE THE STOCKS profitably.

6,370 posts
msg #55101
Ignore TheRumpledOne
9/23/2007 11:28:41 PM

Was in my inbox:

More Than Just When To Buy Perspectives for the week ending September 23, 2007

Most investors concern themselves with one thing; buying the right stock. Since this is the first choice you must make it makes sense that this be the focus but long term success can not be achieved if this is the only focus of the trader. The Stockscores Approach goes beyond this first step to encompass three more essential elements of stock market success. Together, I refer to these as the four pillars for profit. They are:

Whether buying or short selling, when entering a stock we must do all that we can to ensure that we have a high probability of making a profit. When buying a stock, we should ensure the following:

- Buy stocks that are controlled by the buyers in the market, which is to say that the market is optimistic about them. The easiest way to do this is to look for rising bottoms on the stock chart.
- Don't chase stocks higher. Buy early in an up trend when the stock is breaking from a period of sideways trading.
- Focus on stocks trading with abnormal market behavior. Abnormal activity is the clue that new information is coming in to the market that is not yet widely disseminated.
- Look for stocks breaking through ceiling prices as this also indicates that investors are trading with a new and optimistic perception of the fundamentals.

Risk Management
Imagine you are great at the first pillar and are able to pick winning stocks 70% of the time and you average a $1000 profit when you are right and lose $3000 when you are wrong. How much money do you make over ten trades? Despite being a good stock picker your account suffers an overall loss of $2000.

This demonstrates the importance of effective risk management. You have to limit losses and let profits run. You have to plan your losses so you don't allow a small loss turn in to a big one.

Don't take positions in stocks based on what you can afford, do so based on what you can afford to lose. Be comfortable with your loss exposure for taking more risk than you are comfortable with will almost certainly ensure that you make emotional mistakes. The fear of losing money is a powerful motivator to break your exit strategy rules.

There are two scenarios where you will sell a stock. The first scenario will have you selling the stock at a loss when the market proves the entry wrong. This is at the point that you plan in the risk management component to take the loss and is typically at support before the entry signal was triggered.

The second scenario is the more favorable selling at a profit. Most investors tend to do this too early and fail to maximize their gains. In general, we sell stocks at support. Support can be defined by candlestick charts, chart patterns or trend lines. The slower the stock is rising, the longer term support level we should use to trigger an exit signal. If the stock starts to move up very quickly choose shorter term support as the trigger point for a sell order.

Never sell because of what you learn from publicly available information. It is always behind what is happening in the current market because the stock market is forward looking.

Emotional Control
This is the hard part. I often joke that you are predisposed to fail in the stock market if you are a normal human being. The best traders are those that don't care about losing money, who don't have an aversion to the loss of their capital. For most of us, this is just not the case. We avoid pain and pursue pleasure which means we hold our losers and sell our winners early. Doing so ensures long term failure in the stock market so you must reprogram your long term habits to sell your losers and hold your winners. This is the most important component of trading success and yet is the greatest stumbling block for investors.

To achieve success in the market you need to master each of the four pillars for profit. The Stockscores Approach focuses on each of these in detail and can be learned through the StockSchool Pro home study course, available on the web site in the Products area.

19 posts
msg #55134
Ignore dccolt
9/24/2007 6:43:58 PM


Your posting is oh so correct... if I think back on the stocks I have purchased, the entries have been good but it is the exits are what I need to work on. I have a problem with premature exiting. Hmmm, much to ponder. I will reread your post every day for the next few days before I start trading. Thanks.

StockFetcher Forums · Filter Exchange · A short filter with a high ROI, anyone have any ideas for improvement?<< >>Post Follow-up

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