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Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
Nickster8074
msg #107478
8/8/2012 10:32:31 PM

Tom, I calculated the stochastics as you stated (%k period, %d period, smoothing) and you are correct. It is calculated that way. So basically, stochastics %d (5,1,5) is a 5 day moving average of the %k and stochastics %d (5,1,10) is a 10 day moving average of %k.

Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
Nickster8074
msg #107381
8/6/2012 10:19:02 AM

I backtested this filter by hand using the opening price the day following the signal and had some mighty impressive results. The only difference is that I used 3% stop loss as opposed to a 3% trailing stop loss. After commissions, I came up with slightly more than a 51% return from 4/4/12 to 8/3/12, a four month period. It seems quite choppy, but the results speak for themselves. Excellent filter once again Kevin!

Filter Exchange · DT Oscillator Help
Nickster8074
msg #106799
6/27/2012 2:00:51 PM

Four, thanks very much! This is exactly what I was looking for. I really appreciate it.

Filter Exchange · DT Oscillator Help
Nickster8074
msg #106792
6/27/2012 8:37:55 AM

Four, I appreciate your input and we're heading in the right direction. In the first clickable filter you posted, Draw CEMA (StochRSI(5,8),3), what I need is the red line (as it appears now) and a 3 day moving average of the red line as my signal. Is that possible?

Filter Exchange · DT Oscillator Help
Nickster8074
msg #106785
6/26/2012 8:15:57 PM

I've made a few filters on my own over the time I've been a SF member, but this particular oscillator is giving me trouble. I've seen Metastock formulas of the oscillator and that coding is way over my head. The DTosc was described best in this paragraph:

"The DTosc is basically running a stochastic through the RSI, so its an indicator of an indicator, that makes it reach the oversold area easier during corrections and pullbacks. Which for me is ideal. The DTosc that Is displayed is a moving average of the raw data, so we are achieving what is known as double smoothing of the actual data the second (slower) line of the DTosc is a moving average of the 1st moving average! In the chart below we have an 8 period RSI, through that a 5 period Stochastic is run to obtain the RAW data, we then take a 3 period moving average of that RAW data (Blue line) and then the pink line is a 3 period moving average of the blue moving average."

Sorry, no pic. The site is http://thehovistrader.wordpress.com/my-style/momentum-indicators/ about halfway down the page.

I'd figure it would start simple like StochRSI(5,8) for the raw data, then how do you make a 3 day moving average of the StochRSI indicator?

I wouldn't be running this as a filter to choose stocks, I'd be just using symlist to see SPY and QQQ. Any help would be great, I appreciate it as always.

I can also post the MetaStock data if it helps. Thanks, Nick

Filter Exchange · Winning Strategy
Nickster8074
msg #105690
3/26/2012 10:31:20 PM

So, in other words, wait for this filter to spit out a stock, not an ETF, leveraged or otherwise. Got it.

Filter Exchange · Winning Strategy
Nickster8074
msg #105688
3/26/2012 9:42:37 PM

Does anyone else feel that trading TVIX tomorrow is a scary proposition? It's at the lowest price it's ever been, but it's price action has been ridiculous.

Filter Exchange · Winning Strategy
Nickster8074
msg #105606
3/22/2012 6:20:08 PM

Also, percentage of winners is less important than the Equity Summary (At the top of the backtest summary page). 51% winners aren't bad if winners average 10% gain and losers average 5% loss.

Filter Exchange · Winning Strategy
Nickster8074
msg #105598
3/22/2012 8:14:30 AM

And Tesla, be sure to select 2 stocks per day, 3 or 5 stocks maximum holdings.

Filter Exchange · Winning Strategy
Nickster8074
msg #105592
3/21/2012 10:19:05 PM

Initially, I was using levamit's original filter and adding the line "RSI(2) < 1" and sorting by IMI(4) ascending. I'd buy at open, sell at open. 3 day hold. 2 stocks max per day. 5 stocks max for my portfolio. No stop loss. Big winners within the last two weeks include: JKS and AMPE. Upon tombrown's recent work, I'm going back to the original filter, selected by volume descending. 2 stocks per day, 3 day hold. Exits will be 7 day hold or RSI(2) > 55, whichever comes first. Not only does this backtest better than the filter I was using, I place fewer trades and pay less in commissions. A word of advice, look into optionshouse.com for trading. $3.95 flat rate trades, no matter the volume. Dealing in these lower priced stocks, once you move into the thousands in trading volume per trade, IB or Tradestation's commissions start cutting into your bottom line. Also, regarding slippage, I wouldn't be too concerned. In live trading, 50% of the time, you'll get a price at or below the open. 50% of the time, you'll get a price above. It's a wash.

On a side note, a big thanks to both levamit and tombrown. Your work on this forum has been enlightening, keep up the great work!

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