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General Discussion · 1,600% with only 42 trades
KSK8
msg #146107
1/16/2019 5:59:45 PM

Fetcher[

/* short open , cover close */

set{c1, open - low}
set{c2, c1/open }
set{c3, count(c2 > .01 , 100)}
set{d1, count(close > 0.1,1)}
set{d2, count(close < 10,1)}
set{d3, count(volume > 1000000,1)}
set{d4, count(rsi(2) > 90,1)}
set{d5, count(close is 10% below high,1)}
set{d6, count(c3 > 90,1)}
set{e1, d1*d2}
set{e2, e1*d3}
set{e3, e2*d4}
set{e4, e3*d5}
set{e5, e4*d6}

e5 > 0

market is not OTCBB
market is not ETF

]



Disclaimer: THIS IS ONLY BASED UPON PRICE.

If it was all based upon PRICE and PRICE ONLY while excluding commissions, liquidity and crap, then a $10,000 portfolio would turn into over $164,000 with 1 year of mechanically trading this by shorting the open and covering the close. I did not want to set a higher portfolio amount because I felt 10k is the most generic starting equity for backtesting.

Manual backtesting results using SF data;

January 2018-January 2019

$10,000

2018
Jan 30 ATOS 10% gain +1000 = 11,000
Feb 13 CTRV 8.65% gain +951 = 11,951
Feb 21 DCAR 12.03% gain +1,437 = 13,388
March 1 BPMX 3.57% gain +477 = 13,865
March 2 MNGA 15.27% gain +2,117 = 15,982
March 15 EARS 6.10% gain +974 = 16,956
April 3 SLS 5.65% loss -958 = 15,997
April 4 SLS 22.99% gain +3,667 = 19,674
April 11 MYSZ 2.22% gain +436 = 20,110
April 13 MARA 8.54% gain +1,717 = 21,827
April 16 MARA 7.24% gain +1,580 = 23,407
May 1 HTBX 27.91% loss -6,532 = 16,874
May 7 EARS 3.41% gain +575 = 17,449
May 8 EARS 2.56% gain +446 = 17,895
May 14 APRI 3.33% gain +595 = 18,490
May 21 ADOM 14.86% loss -2,747 = 15,742
May 22 ADOM 13.92% gain +2,191 = 17,933
May 24 HTBX 4.76% loss -853 = 17,079
May 29 NSPR 4% gain +683 = 17,762
June 1 CRIS 10% gain +1,776 = 19,538
June 11 DPW 4.48% gain +875 = 20,413
June 29 MNGA 33.33% gain +6,803 = 27,216
Aug 1 GSAT 14.06% gain +3,826 = 31,042
Sep 13 INPX 21.36% gain +6,630 = 37,672
Sep 26 INPX 2.17% loss -817 = 36,854
Oct 3 FLKS 2.53% gain +932 = 37,786
Oct 4 SINT 8.33% gain +3,147 = 40,933
Oct 5 TRPX 3.77% gain +1,543 = 42,476
Oct 8 AMMA 8.59% gain +3,648 = 46,124
Oct 22 FTFT 19.39% gain +8,943 = 55,067
Oct 26 UAVS 17.14% gain +9,438 = 64,505
Nov 1 TNXP 5.56% gain +3,586 = 68,091
Nov 12 ZIOP 10.77% gain +7,333 = 75,424
Nov 23 ABIL 12.28% gain +9,262 = 84,686
Nov 29 TNXP 3.33% gain +2,820 = 87,506
Nov 30 TNXP 21.95% gain +19,207 = 106,713
Dec 17 PTX 20.62% gain +22,004 = 128,717
Dec 21 INPX 14.17 gain +18,239 = 146,956
2019
Jan 2 BPMX 0.00% gain ------------
Jan 7 FLKS 16.00% gain +23,512 = 170,468
Jan 9 BPMX 5.11% gain +8,710 = 179,178
Jan 16 ABIL 8.29% loss -14,853 = 164,324

164k with only 42 trades. -assuming I made no errors.

Unfortunately this would not be possible live trading mechanically as a result of liquidity, fee's, availability of shares and other crap, but I think the prospect of this specific filter is worth sharing.

Maybe the statistical concept of it could be expanded upon.






General Discussion · 1,600% with only 42 trades
KSK8
msg #146115
1/16/2019 10:12:24 PM

I appreciate it thanks!

I do happen to have a few killer long systems but I'll prioritize a separate thread them.

General Discussion · 1,600% with only 42 trades
KSK8
msg #146156
1/19/2019 1:53:12 PM

nibor100,

Yeah that's what I did, if I had more than 1 candidate show up on the filter I would chose whichever had the highest market cap (cheapest to borrow).

Along with the RSI criteria I was trying to achieve a statistical edge with this version. Any idea on how I can add a statistical component that gives me an overview of prior whipsaw and volatility? Currently I am satisfied with these types of systems but I love the prospect of improvement and that's an area I feel there is room for.



General Discussion · 1,600% with only 42 trades
KSK8
msg #146180
1/20/2019 5:30:49 PM

Village Elder,

Thanks for doing this. I actually agree almost 100% with this assessment. Keep in mind I did say earlier it wasn't possible to trade each and every stock it gives because of the many factors that present themselves as a hinder to select plays.

So I agree with your testing on this, but I disagree with the notion that the overall stock market trend is a factor. I firmly stand strong in believing that the overall market activity has little influence on the majority of stocks that this specific filter spits out. A different paradigm in the psychology plays out when this type of phenomenon transpires, exactly similar to the other systems I've posted.

I only trade nowadays on those types of occasions and when the fundamentals of the move coincide with the sentiment. Along with that, I only focus on heavily liquid plays when there is enough crowd, that way entering in large positions is easier to do without influencing the price.

I do agree with your premise that volatility and whipsaw is an essential disadvantage if you don't compound which is why crowd size is imperative with this system's overall performance.

So noting you were able to to understand the volatility prospect, perhaps you can offer a criteria or statistical component that correlates with this factor? I have yet to see someone do so... There are no wrong answers!


General Discussion · 1,600% with only 42 trades
KSK8
msg #146320
1/30/2019 8:15:56 AM

Screw commissions killing the trade!

TIME TO GO BIG OR GO HOME!

Regarding that, I have built a mechanical shorting system that yields 10% PER TRADE with a high win rate.

Under this system's criteria the theory is that sometime during the day the price will fall 10% or more below its open.

The caveat is that it only spits out candidates a few times per month and often there is severe whipsaw that can be so volatile it makes this system not practical to function mechanically.

This is just for fun. I don't recommend trading it.

Check it out!

RULES: Short open, and take profit once price dips 10% below the open, and if that dip fails to transpire then cover close.

Fetcher[
/* short open, take profit at 10% or cover at close */
set{x1, average true range(1)}
set{x2, CEMA(x1, 14)}
set{x3, x1 / x2}
set{x4, open - low}
set{x5, x4/open }
set{x6, count(x5 > .02 , 100)}
set{x7, count(close > 0.1,1)}
set{x8, count(close < 10,1)}
set{x9, count(volume > 1000000,1)}
set{x10, count(rsi(2) > 95,1)}
set{x11, count(close is 10% below high,1)}
set{x12, count(x6 > 80,1)}
set{x13, x7*x8}
set{x14, x13*x9}
set{x15, x14*x10}
set{x16, x15*x11}
set{x17, x16*x12}
set{x18, count(x3 > 3,1)}
set{final, x17*x18}

final > 0

market is not OTCBB
market is not ETF

offset is 0

]




BACKTESTING VERSION

The "fell 10% below open price" column indicates a success of achieving 10%.

Fetcher[
/* short open, take profit at 10% or cover at close */
set{x1, average true range(1)}
set{x2, CEMA(x1, 14)}
set{x3, x1 / x2}
set{x4, open - low}
set{x5, x4/open }
set{x6, count(x5 > .02 , 100)}
set{x7, count(close > 0.1,1)}
set{x8, count(close < 10,1)}
set{x9, count(volume > 1000000,1)}
set{x10, count(rsi(2) > 95,1)}
set{x11, count(close is 10% below high,1)}
set{x12, count(x6 > 80,1)}
set{x13, x7*x8}
set{x14, x13*x9}
set{x15, x14*x10}
set{x16, x15*x11}
set{x17, x16*x12}
set{x18, count(x3 > 3,1)}
set{final, x17*x18}
/* this is offset by one day for backtesting purposes */
final 1 day ago > 0
/* remove the (1 day ago) for present-day scanning */

market is not OTCBB
market is not ETF

/* Did price fall below 10% ?? */
set{v1, open-low}
set{v2, v1/open}
set{v3, v2*100}
set{v4, count(v3 > 10,1)}
add column v4{fell 10% below open price}

offset is 15

]






Filter Exchange · 1-Bar Reversal
KSK8
msg #159115
5/24/2022 1:43:48 PM

Another gift from THE KING...This one sports a high win rate...

Have fun with it!

Entry:
Long next day's open
Exit:
At market close

Fetcher[

market is not OTCBB

set{v1,min(open,close)}
set{v2,max(open,close)}
set{v3,v2 - v1}
set{v5, v1 - low}
set{v4, v3 * 2}
set{v6, high - v2}

set{a1, count(v5 is greater then .2,1)}
set{a2, count(v5 is greater then v4,1)}
set{a3, count(v3 is greater then 0,1)}
set{a4, a1+a2}
set{a5, a4+a3}

/*enable the line below for increased accuracy*/

/*a5 > 2*/

set{c1, close 1 day ago}
set{o1, open 1 day ago}
set{c2, close 2 days ago}
set{o2, open 2 days ago}
set{rc1, c1-o1}
set{rc2, c1-o2}
set{x1, c1*0.02}
set{x2, c2*0.02}

set{b0, count(rc2 is below 0,1)}
set{b1, count(rc1 is below 0,1)}
set{b2, count(abs(rc1) is above abs(x1),1)}
set{b3, count(abs(rc2) is above abs(x2),1)}
set{b4, b1+b2}
set{b5, b4+b3}
set{b6, b5+b0}

b6 > 3
COG(5) > COG(5) 1 day ago

volume > 100000
close > open
open < Lower Bollinger Band(20),1)
ATR(30) is above 0.50
rsi(2) < 5


do not draw ATR(30)
do not draw Bollinger Band(20)
do not draw rsi(2)
do not draw b6

offset is 9

]






Filter Exchange · 1-Bar Reversal
KSK8
msg #159476
8/20/2022 8:57:25 PM

Good question Bert,
Whilst loosening the criteria does enable more plays to pop up, it unfortunately reduces the accuracy. On the other hand, increased criteria, increases the accuracy, but further decreases the # of plays.

Because of SF's limits with backtesting and because programs like Stratasearch aren't working as they used to, it's hard to experiment around with the filter's potential.

However, the remedy to increase the # of plays, whilst not decreasing the accuracy would be to decrease part of the criteria (perhaps removing the b-band condition) in conjunction with conducting technical analysis on the intraday timeframe to inspect the likelihood of a 1 bar reversal for the corresponding stock.

But if you want something that is in the wall's of SF, then deploying a S/R criteria into the filter would be the solution. However, I'm no expert with utilizing S/R in stockfetcher filters, but I'd render it the best case solution.


Filter Exchange · 1-Bar Reversal
KSK8
msg #159490
8/25/2022 2:19:05 AM

If you end up furnishing a modified version, do feel free to post it here, I'd be intrigued to check it out.

Filter Exchange · 5% pullback -LONG
KSK8
msg #149062
9/7/2019 4:55:22 PM

Since people are posting filters I might as well keep the momentum going.

Even though I prefer shorting microcap stocks as my method of trading, here's a bullish recipe for a 5% pullback that works pretty well. -Had it sitting around so I might as well post it.


Fetcher[

/* buy open, take profit at 5% */

market is not OTCBB
market is not ETF
average volume(10) above 50000
close > 0.1

/* extreme oversold */
RSI(2) is below 5

/* SSR -anti short seller criteria */
close more than 10% below close 1 day ago

/* price reached a top within the past 60 periods */
count(RSI(2) 1 day ago above 99,60) is above 0

/* 5% pop's (credit to TRO) */
set{x1, high - open}
set{x2, x1/open }
set{B5A, count(x2 > .05 , 100)}
B5A > 5

]



Now if only SF would add more functions to their syntax I would be able to publish some killer long strategies...


Filter Exchange · 5% pullback -LONG
KSK8
msg #149130
9/15/2019 2:44:34 PM

You forgot to include this line:

Fetcher[set{rsitops, count(count(RSI(2) 1 day ago above 99,60) is above 0 1 day ago,1)}]


Witness how the results dramatically improve.

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