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General Discussion · simple rotation filter -- dos the code match the rules?
Village Elder
msg #151130
3/8/2020 1:49:55 PM

No need to multiply by 0.5 if you are simply ranking from highest to lowest. The sum will work just as well.

Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151118
3/7/2020 12:56:02 PM

A good time to run a performance check on this system - I have posted all of the trades since 1/9 (two months of forward trading). All in cash as of yesterday's close.

Performance based on closed trades (since 1/9/2020, 59 calendar days, 42 trading sessions):

Starting Equity: $50,000
Ending Equity: $84,980
ROI: $34,980 (69.9%)

Total Trades: 77
Winning Trades: 63
Losing Trades: 14
Win Percentage: 81.8%

Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151109
3/6/2020 6:45:50 PM

OMER - STO 510 shares at the open price of $19.56
Trade closed at end of the day (exit rule 1 ). BTC at $18.08 for a gain of $754.80 (+7.57%)

OCUL - STO 1,400 shares at the open price of $7.12
Trade closed at end of the day (exit rule 2). BTC at $6.91 for a gain of $294.00 (+2.95%)

VSTM - STO 3,370 shares at the open price of $2.97
Trade closed at end of the day (exit rule 2). BTC at $3.38 for a loss of -$1,381.70 (-13.80%)

GNMK - STO 1,680 shares at the open price of $5.96
Trade closed at end of the day (exit rule 2). BTC at $4.75 for a gain of $2,032.80 (+20.30%)

CLSD - STO 3,130 shares at the open price of $3.20
Trade closed at end of the day (exit rule 2). BTC at $3.02 for a gain of $563.40 (+5.63%)

Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151096
3/6/2020 10:20:12 AM

OCUL - STO 1,400 shares at the open price of $7.12

VSTM - STO 3,370 shares at the open price of $2.97

GNMK - STO 1,680 shares at the open price of $5.96

CLSD - STO 3,130 shares at the open price of $3.20

Also, here is a simple tracking filter (just replace the current symlist with any open or new trades and you can see things like the open price, shares to short, profit, and ROC(5,1) values):

Fetcher[
symlist(omer,ocul,vstm,gnmk,clsd)
set{sharestoshort1, 10000/open}
set{sharestoshort, round(sharestoshort1, 1)}
set{change, open-close}
set{profit, change * sharestoshort}
add column open
add column sharestoshort
add column profit
add column roc(5,1)
]



Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151095
3/6/2020 8:53:52 AM

Trades for today - 3/6/2020:

OCUL
VSTM
GNMK
CLSD

Stock Picks and Trading · Discussions for Ed S nibor100 Exploring VE's Profitable Short-Sell Filter
Village Elder
msg #151093
3/6/2020 7:54:35 AM

Ed:

Here is a recoded version of the filter I use, but this one only selects for stocks where the entry criteria have been met today and not any other day within the last 10 days (to avoid retrading the same stock too often). This is what I have been doing so if you want to back test anything this would be the logical one.

The only discretionary rule is rule 1 - you can take a profit even if the ROC(5,1) remains above 50. In a purely mechanical backtest I would use ONLY the ROC(5,1) cross and exit at the EOD price on the day it crosses.

Hope this helps.

Fetcher[
/*Define individual entry criteria*/
set{entry1, count(close above 3,1)}
set{entry2, count(close above close 1 day ago,1)}
set{entry3, count(volume above 1000000,1)}
set{entry4, count(roc(5,1) above 50,1)}
set{entry5, count(shares outstanding above 10,1)}

/*Now combine them into a single signal for today*/
set{entry6, entry1 * entry2}
set{entry7, entry6 * entry3}
set{entry8, entry7 * entry4}
set{entry, entry8 * entry5}

/*Pick candidates where all of the criteria are met for today AND for the first time in the last 10 days*/
count(entry above 0,1) equals 1
count(entry above 0,10) equals 1

add column roc(5,1)
sort on column 5 descending
ADD COLUMN SHARES OUTSTANDING

draw entry
draw roc(5,1) line at 50
chart-time is 21 days
]



Just remember that in backtesting you have to account for reverse splits and adjustments that would not have had you trading that stock when the signal seemed to be triggered. Also watch out for acquisitions since the price goes nowhere.

Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151092
3/6/2020 7:47:01 AM

In order to help those who are trying to backtest what I am doing in this thread, and to formalize some of my seemingly discretionary choices into the code, here is an updated version of the filter that uses the same selection criteria, but is coded so that only stocks where the signal is new today and has not triggered in the previous 10 days are selected. This way one does not trade stocks one has already traded recently.

Hope this helps, but for me I have been doing this pretty much all along.

The exits rules are simple - take a profit any time, or wait for a cross below ROC(5,1) =50.

__________

Fetcher[
/*Define individual entry criteria*/
set{entry1, count(close above 3,1)}
set{entry2, count(close above close 1 day ago,1)}
set{entry3, count(volume above 1000000,1)}
set{entry4, count(roc(5,1) above 50,1)}
set{entry5, count(shares outstanding above 10,1)}

/*Now combine them into a single signal for today*/
set{entry6, entry1 * entry2}
set{entry7, entry6 * entry3}
set{entry8, entry7 * entry4}
set{entry, entry8 * entry5}

/*Pick candidates where all of the criteria are met for today AND for the first time in the last 10 days*/
count(entry above 0,1) equals 1
count(entry above 0,10) equals 1

add column roc(5,1)
sort on column 5 descending
ADD COLUMN SHARES OUTSTANDING

draw entry
draw roc(5,1) line at 50
chart-time is 21 days
]



Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151091
3/6/2020 7:41:13 AM

NCNA - STO 1,150 shares at the open price of $8.68
Trade closed at end of the day (exit rules 1 and 2). BTC at $7.99 for a gain of $793.50 (+7.95%)

OMER - STO 510 shares at the open price of $19.56
Holding trade until an exit rule is triggered.

XAIR - STO 920 shares at the open price of $10.89
Trade closed at end of the day (exit rules 1 and 2). BTC at $9.31 for a gain of $1,453.60 (+14.51%)

Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151085
3/5/2020 8:11:33 AM

Trades for 3/5/2020:

OMER

XAIR

Stock Picks and Trading · Short -Sell Filter
Village Elder
msg #151080
3/4/2020 7:32:43 PM

INO - STO 1,175 shares at the open price of $8.50
Trade closed at end of the day (exit rules 1 and 2). BTC at $8.02 for a gain of $558.13 (+5.59%)

MITO - STO 3,310 shares at the open price of $3.02
Trade closed at end of the day (exit rule 1). BTC at $2.67 for a gain of $1,158.50 (+11.59%)

APT - STO 925 shares at the open price of $10.81
Trade closed at end of the day (exit rule 2). BTC at $16.00 for a loss of -$4,800.75 (-48.01%)

NCNA - STO 1,150 shares at the open price of $8.68
Holding trade until an exit rule is triggered.

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