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General Discussion · "Reports Tool"
Village Elder
msg #151777
4/8/2020 11:05:54 AM

Just one more thing that SF is dropping that it used to offer. Sad.

Instead of expanding their filter language and syntax they continue to offer less and less - their screening language is their core product, but they have made essentially no improvements in something like a decade of operation.

General Discussion · 1,600% with only 42 trades
Village Elder
msg #146166
1/20/2019 2:43:59 PM

Intriguing approach. I spent some time back testing this since I was understandably skeptical about your stated returns - too many other systems have made similarly eye-popping ROI claims only to fall apart under a rigorous back test.

Rather than compounding the results, in most trading system back testing it is often more valuable to look at trading systems where the trade amount is held constant. It is simply unrealistic to think that one could short $100,000 on a $0.10 stock with no challenge or impact on price.

Here I have held the trade amount at $10,000 per trade (and for the sake of argument your starting equity is $30,000 which allows for three trades per day maximum, or continued trading during drawdowns up to 66%).

To inject some level of reality, I set the slippage from bid/ask spreads at $0.01 and round trip commissions at $9.95. I'm ignoring the challenge of finding enough shares because I really want to see how this approach plays out.

Here is every trade pulled up by SF since 1/1/2017:

SIGNAL DATETICKERNEXT DAY OPENSLIPPAGEENTRY PRICESHARES PURCHASEDNEXT DAY CLOSESLIPPAGEEXIT PRICECOMM.GAIN/LOSS (%)GAIN/LOSS ($)TOTAL PROFIT ($)
01/03/17EVOK$3.10$0.01$3.093236.245955$2.85$0.01$2.86$9.957.05%$734.39$734.39
01/06/17PTX$3.45$0.01$3.442906.976744$3.36$0.01$3.37$9.951.08%$193.54$927.92
01/11/17AIPT$3.05$0.01$3.043289.473684$2.82$0.01$2.83$9.956.43%$680.84$1,608.76
02/16/17CVRS$0.64$0.01$0.6315873.01587$0.62$0.01$0.63$9.95-0.99%-$9.95$1,598.81
03/01/17AIPT$2.46$0.01$2.454081.632653$2.33$0.01$2.34$9.953.71%$439.03$2,037.84
03/03/17CVRS$1.29$0.01$1.287812.5$1.19$0.01$1.20$9.955.67%$615.05$2,652.89
03/14/17CVRS$1.55$0.01$1.546493.506494$1.39$0.01$1.40$9.959.01%$899.14$3,552.03
03/28/17RGSE$1.40$0.01$1.397194.244604$1.43$0.01$1.44$9.95-4.47%-$369.66$3,182.37
04/24/17RGSE$1.22$0.01$1.218264.46281$1.24$0.01$1.25$9.95-4.19%-$340.53$2,841.84
05/08/17MNKD$1.05$0.01$1.049615.384615$1.12$0.01$1.13$9.95-8.96%-$875.33$1,966.51
05/10/17MNKD$1.32$0.01$1.317633.587786$1.27$0.01$1.28$9.951.35%$219.06$2,185.57
05/15/17IDXG$2.50$0.01$2.494016.064257$2.43$0.01$2.44$9.951.05%$190.85$2,376.42
06/21/17MBRX$1.05$0.01$1.049615.384615$1.01$0.01$1.02$9.950.97%$182.36$2,558.78
06/23/17TOPS$7.60$0.01$7.591317.523057$6.80$0.01$6.81$9.9510.46%$1,017.72$3,576.50
06/27/17MBRX$1.86$0.01$1.855405.405405$3.28$0.01$3.29$9.95-44.76%-$7,793.73-$4,217.24
07/06/17RTTR$0.60$0.01$0.5916949.15254$0.57$0.01$0.58$9.950.73%$159.54-$4,057.70
07/14/17MOSY$1.51$0.01$1.506666.666667$1.30$0.01$1.31$9.9513.51%$1,256.72-$2,800.98
07/21/17TOPS$3.20$0.01$3.193134.796238$4.45$0.01$4.46$9.95-29.47%-$3,991.14-$6,792.12
07/24/17TOPS$4.10$0.01$4.092444.987775$4.60$0.01$4.61$9.95-11.28%-$1,271.39-$8,063.51
07/25/17TOPS$4.20$0.01$4.192386.634845$3.20$0.01$3.21$9.9530.53%$2,338.90-$5,724.61
07/26/17MBRX$2.22$0.01$2.214524.886878$2.36$0.01$2.37$9.95-6.75%-$723.98-$6,448.59
08/11/17DRYS$3.19$0.01$3.183144.654088$3.35$0.01$3.36$9.95-5.36%-$566.04-$7,014.63
08/25/17INNT$9.80$0.01$9.791021.45046$9.50$0.01$9.51$9.952.94%$286.01-$6,728.63
09/11/17TRXC$1.16$0.01$1.158695.652174$1.26$0.01$1.27$9.95-9.45%-$1,043.48-$7,772.10
10/03/17DRYS$3.18$0.01$3.173154.574132$3.13$0.01$3.14$9.950.96%$94.64-$7,677.47
10/06/17TOPS$5.40$0.01$5.391855.28757$5.50$0.01$5.51$9.95-2.18%-$222.63-$7,900.10
10/17/17TRXC$4.40$0.01$4.392277.904328$3.69$0.01$3.70$9.9518.65%$1,571.75-$6,328.35
10/23/17DRYS$4.07$0.01$4.062463.054187$4.06$0.01$4.07$9.95-0.25%-$24.63-$6,352.98
10/25/17DRYS$4.74$0.01$4.732114.164905$4.65$0.01$4.66$9.951.50%$147.99-$6,204.99
11/03/17TOPS$11.20$0.01$11.19893.6550$16.80$0.01$16.81$9.95-33.43%-$5,022.34-$11,227.33
11/24/17TEUM$1.33$0.01$1.327575.757576$1.13$0.01$1.14$9.9515.79%$1,363.64-$9,863.69
11/27/17TEUM$1.56$0.01$1.556451.612903$1.19$0.01$1.20$9.9529.17%$2,258.06-$7,605.63
11/28/17TEUM$1.25$0.01$1.248064.516129$1.09$0.01$1.10$9.9512.73%$1,129.03-$6,476.59
12/19/17TEUM$1.70$0.01$1.695917.159763$1.54$0.01$1.55$9.959.03%$828.40-$5,648.19
12/21/17MNGA$5.70$0.01$5.691757.469244$4.80$0.01$4.81$9.9518.30%$1,546.57-$4,101.62
12/26/17TEUM$3.05$0.01$3.043289.473684$2.50$0.01$2.51$9.9521.12%$1,743.42-$2,358.20
12/27/17HTGM$2.09$0.01$2.084807.692308$2.05$0.01$2.06$9.950.97%$96.15-$2,262.04
01/29/18ATOS$7.20$0.01$7.191390.820584$6.48$0.01$6.49$9.9510.79%$973.57-$1,288.47
02/12/18CTRV$2.31$0.01$2.304347.826087$2.11$0.01$2.12$9.958.49%$782.61-$505.86
02/20/18DCAR$2.91$0.01$2.903448.275862$2.56$0.01$2.57$9.9512.84%$1,137.93$632.07
02/28/18BPMX$0.28$0.01$0.2737037.03704$0.27$0.01$0.28$9.95-3.57%-$370.37$261.70
02/28/18ATOS$8.28$0.01$8.278.76$16.04$0.01$16.05$9.95-48.47%-$68.15$193.55
03/01/18MNGA$1.31$0.01$1.307692.307692$1.11$0.01$1.12$9.9516.07%$1,384.62$1,578.16
03/14/18EARS$1.64$0.01$1.636134.969325$1.54$0.01$1.55$9.955.16%$490.80$2,068.96
04/02/18SLS$8.49$0.01$8.481179.245283$8.97$0.01$8.98$9.95-5.57%-$589.62$1,479.34
04/03/18SLS$8.70$0.01$8.691150.747986$6.70$0.01$6.71$9.9529.51%$2,278.48$3,757.82
04/10/18MYSZ$1.35$0.01$1.347462.686567$1.32$0.01$1.33$9.950.75%$74.63$3,832.44
04/12/18MARA$1.64$0.01$1.636134.969325$1.50$0.01$1.51$9.957.95%$736.20$4,568.64
04/13/18MARA$1.52$0.01$1.516622.516556$1.41$0.01$1.42$9.956.34%$596.03$5,164.67
04/13/18DPW$1.21$0.01$1.208333.333333$1.15$0.01$1.16$9.953.45%$333.33$5,498.00
04/30/18HTBX$3.26$0.01$3.253076.923077$4.17$0.01$4.18$9.95-22.25%-$2,861.54$2,636.46
05/04/18EARS$2.05$0.01$2.044901.960784$1.98$0.01$1.99$9.952.51%$245.10$2,881.56
05/07/18EARS$1.95$0.01$1.945154.639175$1.90$0.01$1.91$9.951.57%$154.64$3,036.20
05/11/18APRI$0.30$0.01$0.2934482.75862$0.29$0.01$0.30$9.95-3.33%-$344.83$2,691.37
05/18/18ADOM$1.48$0.01$1.476802.721088$1.70$0.01$1.71$9.95-14.04%-$1,632.65$1,058.72
05/21/18ADOM$1.58$0.01$1.576369.426752$1.36$0.01$1.37$9.9514.60%$1,273.89$2,332.60
05/23/18HTBX$2.10$0.01$2.094784.688995$2.20$0.01$2.21$9.95-5.43%-$574.16$1,758.44
05/25/18NSPR$1.25$0.01$1.248064.516129$1.20$0.01$1.21$9.952.48%$241.94$2,000.38
05/31/18CRIS$2.78$0.01$2.773610.108303$2.49$0.01$2.50$9.9510.80%$974.73$2,975.11
06/08/18DPW$0.67$0.01$0.6615151.51515$0.64$0.01$0.65$9.951.54%$151.52$3,126.62
06/28/18MNGA$0.60$0.01$0.5916949.15254$0.40$0.01$0.41$9.9543.90%$3,050.85$6,177.47
07/31/18ABIO$0.75$0.01$0.7413513.51351$0.68$0.01$0.69$9.957.25%$675.68$6,853.14
07/31/18GSAT$0.64$0.01$0.6315873.01587$0.55$0.01$0.56$9.9512.50%$1,111.11$7,964.26
09/12/18INPX$8.80$0.01$8.791137.656428$6.92$0.01$6.93$9.9526.84%$2,116.04$10,080.30
09/25/18INPX$9.20$0.01$9.191088.139282$9.40$0.01$9.41$9.95-2.34%-$239.39$9,840.91
09/25/18ABIO$0.57$0.01$0.5617857.14286$0.53$0.01$0.54$9.953.70%$357.14$10,198.05
10/02/18FLKS$0.56$0.01$0.5518348.62385$0.54$0.01$0.55$9.95-0.91%-$91.74$10,106.31
10/03/18SINT$0.30$0.01$0.2934482.75862$0.28$0.01$0.29$9.951.75%$172.41$10,278.72
10/04/18TRPX$6.36$0.01$6.351574.80315$6.12$0.01$6.13$9.953.59%$346.46$10,625.18
10/05/18AMMA$0.36$0.01$0.3528571.42857$0.33$0.01$0.34$9.952.94%$285.71$10,910.89
10/19/18FTFT$1.65$0.01$1.646097.560976$1.33$0.01$1.34$9.9522.39%$1,829.27$12,740.16
10/25/18UAVS$1.05$0.01$1.049615.384615$0.87$0.01$0.88$9.9518.18%$1,538.46$14,278.62
10/31/18TNXP$0.72$0.01$0.7114084.50704$0.68$0.01$0.69$9.952.90%$281.69$14,560.31
11/09/18ZIOP$2.60$0.01$2.593861.003861$2.32$0.01$2.33$9.9511.16%$1,003.86$15,564.17
11/21/18ABIL$3.42$0.01$3.412932.55132$3.00$0.01$3.01$9.9513.29%$1,173.02$16,737.19
11/28/18TNXP$7.21$0.01$7.201388.888889$6.97$0.01$6.98$9.953.15%$305.56$17,042.75
11/29/18TNXP$6.65$0.01$6.641506.024096$5.19$0.01$5.20$9.9527.69%$2,168.67$19,211.42
12/14/18PTX$0.48$0.01$0.4721276.59574$0.38$0.01$0.39$9.9520.51%$1,702.13$20,913.55
12/20/18INPX$3.74$0.01$3.732680.965147$3.21$0.01$3.22$9.9515.84%$1,367.29$22,280.84
12/31/18BPMX$0.11$0.01$0.10100000$0.11$0.01$0.12$9.95-16.67%-$2,000.00$20,280.84
01/04/19FLKS$0.50$0.01$0.4920408.16327$0.42$0.01$0.43$9.9513.95%$1,224.49$21,505.33
01/08/19BPMX$0.14$0.01$0.1376923.07692$0.13$0.01$0.14$9.95-7.14%-$769.23$20,736.10
01/15/19ABIL$2.17$0.01$2.164629.62963$2.35$0.01$2.36$9.95-8.47%-$925.93$19,810.18


Some observations:

1. During 2017 (strong uptrend in the markets with low volatility) this system did poorly - by the TOPS short trade on 11/03/2107 you were down more than 33% - if you were compounding $10,000 you were down to only $4,356 a loss of more than 56%. Most folks would have bailed on this before that level of pain was reached.

2. By the end of 2017 you were net - $2262 with fixed trade sizing, but up about 15% if you were compounding.

3. By the end of 3Q 2018, you were up about 33% with fixed trade sizing, but lagging behind the market return. However, in 4Q this system caught fire, more than doubling that return to 67% in two years, basically crushing the S&P for the same period of time.

4. Drawdown and trade volatility are the weak points to this otherwise profitable system. It might make sense to put in place some metric for market trend (PSAR, ema cross, etc.) and only trade when the market is trending lower.

General Discussion · 1,600% with only 42 trades
Village Elder
msg #146185
1/21/2019 12:16:00 AM

IMHO, without volatility this system really wouldn't work. Just look at its construction - you require a consistent 1% difference from open to low, as well as a pullback from the high of at least 10%. That is unusually volatile, and explains why you see so few hits compared to other strategies.

My thoughts on MARKET volatility relative to this strategy:

In low volatility environments, when the market is trending upward, there may be a tendency for long players to stay pat, or for others to jump in (FOMO). That suppresses returns for this setup.

In high volatility environments, when everything around you is crapping the bed, there is a sense that one should take profit off the table (which works great for this setup).

The trade record supports this (weak in 2017, strong in 2018) but that is not by itself conclusive. Just an observation on my part. Overall this approach performed quite well in ROI but not as well in risk-adjusted returns (ROI / S.D. of returns).

General Discussion · 1,600% with only 42 trades
Village Elder
msg #146206
1/21/2019 5:51:53 PM

What is the least slippage you can model without it being zero? Answer is one cent. The low and high of the day do not necessarily include the bid/ask spread (that is a fee added on by the broker).

The fact that you might be taking a hit on pennies is no surprise - that is why most traders ignore them.

My guess on slippage is that I am underestimating the costs for shorting most of these stocks, if they are shortable at all through most brokers. And besides, this is to test a system and so some assumptions regarding slippage need to be made or the backtest is not meaningful.

Stock Picks and Trading · A Newbie's Journey
Village Elder
msg #147830
5/18/2019 8:38:47 AM

Why not use the custom Bollinger Bands?

something like

Fetcher[
set{volUBB, cubb(volume,30,2.0)}
set{volLBB, clbb(volume,30,2.0)}
set{vol, volume}

draw volUBB on plot vol
draw volLBB on plot vol
]



StockFetcher for iPad · Adding comments in the filter
Village Elder
msg #146740
2/26/2019 11:20:43 PM

Yes - that is how you do it.

General Discussion · Avergage Volume
Village Elder
msg #147854
5/21/2019 7:35:29 AM

When doing math in SF code, it is almost always better to do it within user-defined variables (the SET{} statement) rather than trying to integrate it into the filter selection. Also remember that you can only do one mathematical operation per set{} statement - a real limitation with SF code. Not sure why they can't improve on this.

Filter Exchange · Bulkowski's Adam White Setup
Village Elder
msg #146743
2/27/2019 8:54:14 AM

Fetcher[
close above 5
set{L5, low 5 week low}
draw L5 on plot price
set{L13, low 13 week low}
draw L13 on plot price

set{H5, high 5 week high}
draw H5 on plot price
set{H, high 1 week high}
draw H on plot price
set{L513, count(L5 is above L13, 1)}
draw L513
set{H15, count(H equals H5, 1)}
draw H15
plot-display is weekly
]



Same code but now the High and Low data are plotted onto the weekly price rather than below. You have to be careful mixing weekly indicators and daily plots - I think the indicators default to the plot-display setting rather than what you are thinking it will do. I also removed any stocks below 5 dollars to clear out the penny stocks. I would also consider a minimum volume requirement such as

average volume(30) above 250000

or

count(volume * close above 1000000, 30) above 29

to remove thinly traded stocks.

Do you have an entry and exit signal strategy here? There is no selection being made based on the indicators you are using.

General Discussion · Can someone help me with a couple snippets of code?
Village Elder
msg #148605
modified
7/20/2019 4:12:33 PM

How are you defining pivot high? From pivot points or something else?

If from PPs, which one? There are at least two (R1, R2) above the central PP. Need more clarity on what you are asking for before folks can help.

Perhaps this?

1. Close is less then most recent pivot point high for 3 (maybe 4 or more would work better) OR MORE days. This means it could be down 3 days, 4 days, 5 days etc. as long as its below recent pivot high and the moving averages are still stacked and sloped in an uptrend. This is the part I don't know how to code i.e. 3 or more days below the recent pivot point high while still having the 20ma above the 50MA and 20MA and 50MA above the 200MA

Fetcher[
set{pphigh, pp 5 day high}
close below pphigh
ma(20) above ma(50)
ma(50) above ma(200)

draw pphigh on plot price
]



Have you any backtesting that indicates this approach provides a tradeable "edge" over just buying SPY?

General Discussion · Connors RSI question on color
Village Elder
msg #147502
4/24/2019 10:51:35 AM

Not sure how to do this. Really sad commentary that the moderators and the SF coding team reads these but never seems to give a crap about answering.

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