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General Discussion · Something To Play With
msg #116136
10/21/2013 4:38:39 PM

Excellent results the past year and before, in up markets.I backtested using a 6% stop and exit if RSI(2) > 90. I thought this might have trouble in down markets. Picked a random 4 months, the last part of 2008 and it was-47%. Of course nobody in their right mind would be using a long strategy at this time.
You'd think there would be indicators when used with the SPY that would tell you when to be out of the market. I've been unable to black box that. I suppose if you could do that, you could just get rich playing the SPY. I guess it's like some Supreme Court Justice said, "I can't define pornography, but I know it when I see it". Anyway, I'm interested on anything further on this. Nice catch.

Filter Exchange · TRO'S CROCK POT 2.0
msg #116013
10/17/2013 2:16:20 PM

Sounds like TRO's been watching too many future apocalypse movies.

Filter Exchange · TRO'S CROCK POT 2.0
msg #115888
10/14/2013 12:16:53 PM

Oops, misplaced my ending ] with Fetcher, sorry.

Filter Exchange · TRO'S CROCK POT 2.0
msg #115887
10/14/2013 12:14:30 PM

Great, if you only get an occasional 10 - 12% wallop. But if you have an up Monday and the market is down the rest of the week you get your head handed to you. The inability to properly test the crock strategy violates a fundamental tenet of proper strategy development. I've done a down and dirty conversion of Kevin"s latest crock pot to a daily system, so it can be backtested. Breaking down the logic:
1. You want stocks that have shown they gain 2% a week a high percentage of the time. 100 days should give you that.

2. Missing is that you also want stocks that are trending up. I've added a couple of indicators for that.

3. It would be nice to have stocks that have a large daily range. I've added an indicator for that.

set{dhiop, high - open}
set{Long_Profit, dhiop / open }
set{dyProfitPct, 100 * Long_Profit }

set{dyopen, count(open above 5,1)}
set{dyvolume, count(volume above 2500000,1)}
set{twopcthit, count(Long_Profit > .02 , 1)}

set{tradeentry, open * dyvolume}
set{tradeentry100, count(tradeentry above 0.5,100)}
set{profithit, tradeentry * twopcthit}
set{twopct100, count(profithit > 0.5 , 100)}
set{winpct100a, twopct100 / tradeentry100}
set{winpct100, winpct100a * 100}

set{tradeentry25, count(tradeentry above 0.5,13)}
set{twopct25, count(profithit > 0.5 , 13)}
set{winpct25a, twopct25 / tradeentry25}
set{winpct25, winpct25a * 100}

add column dyProfitPct
add column tradeentry100 {entries over the last 100 days}
add column twopct25 {hit 2% target over last 25 days}
add column winpct100 {25 day win percentage}
add column separator
add column tradeentry25 {entries over the last 25 days}
add column twopct25 {hit 2% target over last 25 days}
add column winpct25 {25 day win percentage}
add column separator
add column open
add column high
add column low
add column close
add column separator

close above 5
twopct25 above 8
ROC(11,1) > 0
CCI(6) > 0
ATR(10) > 2

draw twopcthit
sort column 7 descending

Hold max. 5 days with 10% stop. 5 stocks/day, max. 5 stocks. Choose stocks ROC(11,1) descending.
Makes 4.7% for the last 4 months, but loses money the 2, 4 month periods before that. Win/loss ratio, of course, is always great. I"m sure Kevin or someone else can do a better job of getting a daily crock than I have.

msg #115851
10/12/2013 2:49:31 PM

Are you testing this manually? Is this that the weekly high, regardless of what day it falls on, is used or is it only the Monday high? For backtesting one could try the same thing using the prior week high, but that is probably something outside of the topic of this thread.

I am using only the high of the Friday filter, not consecutive days. I'm not sure the historical statistical argument applies here. If you go in at the open on Monday, you enter at a fixed point from which the price can go up or down. If you enter only when the high of the previous Friday is breached, you're entering during an upward swing. The chances are that you haven't entered on the high for the day. I'm backtesting manually and it works for me, so far. I am using the following Friday close to exit any losers, and cancelling any GTC buy stops that haven't hit by Thursday close. Is it possible in SF to scan some weeks in 2008 to early 2009? I'd love to see how this works in serious down markets. And thank you for responding to my posts. I'm amazed at all the things you manage to get to. Is there a Mrs. Kevin that puts up with all of this?

msg #115815
10/10/2013 2:41:47 PM

Kevin, I guess the reason you're seeing 90% winners over the past few weeks and I'm seeing closer 50%, is that I'm looking at all the stocks selected on Fridays, while you're picking only the first 5. Are you comfortable that the first 5 will always do better than the total scan? As I posted earlier, selecting only the stocks that trade above Friday's high, usually 4 or 5, I get 100% winners, but that too could just be a lucky short-term run. That's why I hope you're able to somehow code this in SS for backtesting. Also, the system desperately needs a set exit strategy for losing trades. The reason I keep nit-picking at this, is that I know there's something here, but I just don't feel that it's right yet. There's a reason this thread shut down for so long. Either it didn't work out so great in the real world, or everybody involved back then is living in big homes at The Villages that they bought for cash.

msg #115788
10/9/2013 4:43:26 PM

No argument with you Kevin. You the man. However, I'm not sure where this 80% figure comes from. Summing up the 6 weeks I've now looked at, it's nearer 50%. Also, I've always had a problem with getting in at the open. I do a lot of swing trading and I've found that getting in once the price goes your way a bit, gives better results (high above previous close, or previous high). You stay out of a lot of trades where you get in at the open and it heads rapidly south. Is there a reason to always get in at the open other that it's easier to backtest? Any way to backtest Crock Pot in SF or SS?

msg #115776
10/9/2013 11:39:16 AM

Just reread yor posts and see that you are using 2% and not the 1% that TRO set up his code for. So at 80% you could get 100% in a year.
But if you get in at the open, you get more like 50% reliability. No offense intended, I just couldn't see why you'd be "peeved" by my post.

msg #115775
10/9/2013 11:32:40 AM

oldsmar52 Give me a break! You make it sound like I'm trying to rewrite the Bill of Rights. Your 100% a year assumes no losing trades using TRO's original code. Even a casual check shows many losses. Even if you could make 100% a year, why would it peeve you to see an improvement on that?

msg #115750
10/8/2013 2:03:50 PM

I've been playing with TRO's original long. Changing a couple of things, I get 100%, with a 2% profit goal. I use the high of the Friday stocks and use a buy stop at that high. About half of Fridays's choices never get bought the following week. I checked out the past 3 Fridays, ending with 10/4/13 and got 17 winners, no losers. I wouldn't know how to backtest other than manually. It would be nice if someone knows an easy way to check this back further. One problem with this (isn't there always), a high %age of the stocks that are in the 17 winners are priced between 2 and 5 dollars, so a 2% gain can be between $.04 and $.10. I believe that entering a sell stop for your 2% profit will run into problems with the bid/asked spread. Since your sell stop becomes a market order at the asked price, you might actually end up with a loss instead of a 2% gain. Anybody have any thoughts on this? Then there's commissions and slippage....

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