StockFetcher Forums · View by Author: (230 messages)  [ Display By: Date / Subject ]<< 1 ... 19 20 21 22 23 >> 
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.

Filter Exchange · Simple filter help
Village Elder
msg #146705
2/23/2019 1:19:47 PM

Fetcher[
market is S&P 500
chart-display is weekly
add column weekly roc(24,1) {24 week return (%)}
sort on column 5 descending
]





Filter Exchange · TRUE Average True Range (ATR)
Village Elder
msg #146471
modified
2/7/2019 7:18:29 PM

Try this?

https://www.stockfetcher.com/forums/Indicators/Day-Range-Average-Day-Range-Day-Point-Range/26144

Day Range
Average Day Range(period)
Day Point Range

Description
The day range returns the difference between the high and low prices of the day, represented as a percent of the closing value. For example, suppose a stock closed at 10, the high was 11 and the low was 9. The difference between the high and low is 2. Represented as a percent, the day range is: 20%.

The average day range computes a simple average of the day range over a given number of days. This value is also represented as a percent of the closing price.

Finally, the day point range is the actual price difference between the high and low of the day. The day point range is not converted to a percent.


Filter Exchange · Larry Connors RSI Powerzones Long Strategy
Village Elder
msg #146459
2/6/2019 5:28:55 PM

The performance data provided was from when SF still supported backtesting - shame they removed this capability.

Looks like if you remove the symlist and replace with "ETF" you get a bunch of potential trades. MIght be worth back-testing manually.

Filter Exchange · Larry Connors RSI Powerzones Long Strategy
Village Elder
msg #146457
2/6/2019 4:21:15 PM

I believe this is the same as the Connors Long filter #2 posted in this older thread:

https://www.stockfetcher.com/forums/Filter-Exchange/HIGH-PROBABILITY-ETF-TRADING-BY-LARRY-CONNORS-GET-YOUR/93830/-1/93838

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.

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 #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.

StockFetcher Forums ·  · << 1 ... 19 20 21 22 23 >>

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2018 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.