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Filter Exchange · Need help with this
msg #152089
5/7/2020 2:40:34 PM

Part of what you're using is from the Run Forest, Run filter by TheRumpledOne. To quote from TRO's post, "The "Run Forest, Run" filter shows how many times a stock ran a certain percentage over the last 100 days. Column 04_09 is the number of times high minus open is between 4% and 9%. Column 10_19 is the number of times high minus open is between 10% and 19%." I think it's a good concept but as we all know, 'past performance is not a guarantee of future success.'

Here's a link to the original post about it.

Personally, I find it helpful to know how often a stock dropped over the same time frame as well, which this filter doesn't show. If a stock gained 5% 30 days out of the last 100 that's not bad. But if it also lost 5%, say, 40 days out of the last 100 then I don't want to touch it.

One last thought. Combining filters is not necessarily a bad idea, but you have to make sure those filters don't have conflicting conditions or variable names. You've got so much going on in that combined filter that it's hard to know what to pay attention to.

Filter Exchange · Ema(10) and Upper Bollinger Band(20,0.25) - Bullish filter.
msg #152014
5/1/2020 4:56:08 PM

No worries, Mac. I think we all do that.

Filter Exchange · Ema(10) and Upper Bollinger Band(20,0.25) - Bullish filter.
msg #152001
4/30/2020 7:18:53 PM

Okay, I'm confused (and not by the typo - you have */ where you should have /*).

*/ e13e26 is number of consecutive days ema(13) above (+)/below(-) previous eMA(26) */
set{e13e26b,days( ema(10) is above Upper Bollinger Band(20,0.25),250)}
set{e13e26a,days( ema(10) is below Upper Bollinger Band(20,0.25) ,250)}
set{e10abovebb20, e13e26a - e13e26b} and add column e10abovebb20 {e10abovebb20}

You're saying this section is counting the times the EMA(13) crossed over or under the EMA(26), but your set statements are using the EMA(10) and the BBs. It's the same for your other set statements that come after this section. I get having the EMA(10) cross the upper BB is part of the trigger, but where do the EMA's 13 and 26 come in?

Also, you're subtracting the number of days that it's over the upper BB from the number of days that it's under the upper BB to get the number of says it was over. Doesn't your first set statement there give you that or am I missing something else there?

General Discussion · Got an Ameritrade Acc't? Check your email ...
msg #151906
4/25/2020 10:59:26 PM

Keeping TOS, but for how long? I'm getting tired of finding a platform that I like only to have the parent company get bought out.

Shared Symbol Lists · Shared List: SPDR ETFs
msg #151886
4/24/2020 1:43:48 AM

I'm looking at older shared lists and I'm not sure how to post this but I hope this works. Yes, I alphabetized them. Don't judge me.


Filter Exchange · Making an ETF ladder
msg #151741
4/5/2020 4:27:45 PM

"Your selection metrics are essentially the same - performance and performance relative to another benchmark. Really just the same thing since the highest performers will also be the highest against any given benchmark, so they do not really "corroborate" each other."

True, they don't corroborate each other. I'm using them more for helping me decide. If there are two ETF's with the same Relative Strength I'm going to look at the Rate of Return (and the Sharpe's Ratio* now too), then pick the one that looks best based on the RoR and the chart. Looking at it on a weekly time frame is a good idea too. I'm make a copy for that and see if it changes any of the results.

I've read a lot of old forum posts. Every time I want to learn about an indicator, or think of an idea and want to know what someone here has said about it I go searching the forums. It's quite useful. This idea came about because of some of Kevin's posts about ETF rotation, and to a lesser degree, TRO's Run Forest Run filter. I especially liked Kevin's ideas in his post, A SIMPLE MARKET TIMING FILTER. ( He was talking about the nine sectors of the S&P 500 and how to trade ETF's that covered those sectors. As he said in that post, "Trading this is simple - buy the ETF with the highest Relative Strength, and sell it and buy the countertrend ETF if it becomes the leader."

This isn't in a 401k, but my broker does have a 3 day hold period for funds after a sale. I took that into account by figuring out just how much I have to invest, then dividing that by 5. The amount per ETF will change every week, of course, depending on if I'm making a profit or not, but this way there will always be something available to buy with while waiting for my last sale to clear.

I always welcome feedback here, and I do appreciate when people point out things I may be missing.

*I'm using only the Sharpe's Ratio because that seemed to be the most useful for this strategy. Like the RoR, it's another good tool to help me decide which ETF would be the best choice.

Filter Exchange · Curious Anomaly in SF "minus" vs "-"
msg #151738
4/5/2020 3:59:22 PM

That is weird. I played around with it, changing the variable names just to see if that made any difference but it didn't (just adding 52 in front). I also added just a 'hi - lo' column to see the actual difference. I found just what you found with the abs function. When I used the "-" symbol it always gave the low number, but when I spelled out "minus" it gave the actual difference.

Maybe someone from the SF team can tell us why.

Filter Exchange · Making an ETF ladder
msg #151735
4/5/2020 1:27:28 PM

@Village Elder

That's a good point. I have read that post before, even copied the filter to study later. Now that I have time I'll look into it more. As far as leveraged ETF's go, yes, I can see how this filter would bring those up more often. I'm using it with watchlists of commission free ETF's from my broker rather than the whole ETF market so I'm not seeing those. I changed that to "market is ETF" for posting because obviously you can't see my watchlists.

No, I definitely wouldn't hang on to leveraged ETF's for more than a day, at the most. I did put a few bucks into a couple of them recently. Only on days when the market was going down and watching closely so I could sell for a relatively small profit. One of them went down when I wasn't expecting it to, but I held on and was able to sell it for a small loss the next day when it came close to what I paid. I got lucky. I broke even on those before I realized I'm not ready to mess with them now, if ever.

I do appreciate your feedback. Thank you.

Filter Exchange · Making an ETF ladder
msg #151716
4/5/2020 12:02:12 AM

Here's a variation using four different indexes rather than different times from just one. My thinking is that if an ETF is doing better than four of the major indexes (or at least falling slower) then that's better than beating one no matter how many times. I could be way off base here, but I hope I'm not.

market is ETF

set {ind1, relative strength(^INX,28)} /* S&P 500 Index */
set {ind2, relative strength(^DJIA,28)} /* Dow Jones Industrial Average */
set {ind3, relative strength(^RUI,28)} /* Russell 1000 */
set {ind4, relative strength(^IXIC,28)} /* NASDAQ Composite */
set {rsavg1, ind1 + ind2}
set {rsavg2, ind3 + ind4}
set {rsavg3, rsavg1 + rsavg2}
set {rsavg, rsavg3 / 4}

set {ror07a, close - close 7 days ago}
set {ror07b, ror07a / close}
set {07day, ror07b * 100}

set {ror14a, close - close 14 days ago}
set {ror14b, ror14a / close}
set {14day, ror14b * 100}

set {ror21a, close - close 21 days ago}
set {ror21b, ror21a / close}
set {21day, ror21b * 100}

set {ror28a, close - close 28 days ago}
set {ror28b, ror28a / close}
set {28day, ror28b * 100}

set {avg1, ror07b + ror14b}
set {avg2, ror21b + ror28b}
set {avg3, avg1 + avg2}
set {avg4, avg3 / 4}
set {avgror, avg4 * 100}

rsavg is > 1
avgror is > 0

do not draw rsavg
do not draw avgror
draw ema(14)
draw ema(28)

add column avgror {avg. ror}
add column separator
add column ind1
add column ind2
add column ind3
add column ind4
add column rsavg {rel str}

sort column 5 descending

Filter Exchange · Making an ETF ladder
msg #151715
4/4/2020 11:55:11 PM


I had a Chartmill subscription for a while. I liked it until they completely redesigned the site. I think they still give good data and analysis but it's harder for me to find things now. I still like to see what they have to say about a stock I'm thinking of buying, though.

As for Relative Strength, I keep in mind a comment I read on these forums from Kevin, I think, on an old post. He was explaining that a high RS doesn't mean the stock is going up if the index is going down. The stock may be going down too, just slower than the index. I won't base my decisions on just the RS. But it is good to know how the stock is doing compared to an index. (Or, as I'll post below, multiple indexes.)

Rate of Return is another thing that I think should never be used by itself. We've all heard the "past performance does not guarantee future results" mantra from financial service companies even while they're patting themselves on the back for how well they've done. It may be a cliche by now, but it's true. I don't know if I'd use it for individual stocks but ETF's seem to be less volatile, even over the last month. Except for some inverse ones and I'm not touching those again.

This may turn out to be a complete bust. Obviously I'm hoping it doesn't. If it doesn't work I can always tell myself it was a learning experience (he said with a chuckle).

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