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Filter Exchange · BUYING THE DIP
abelduarte
msg #115530
9/25/2013 2:17:03 PM

Kevin, how do you exit this strategy if rate of change dipped below 2% because a change of trend is occurring ? This is my biggest concern with your filter, other than that those seem like amazing returns.

Filter Exchange · DIA and SPY Oversold
abelduarte
msg #117532
12/26/2013 7:20:15 PM

Backtesting this filter has produced only 100% winning trades over a 2 year period. I haven't tested much over many other time periods nor 2007-2008 but it seems to make money in bull markets.

Buy signal:

Show stocks where close near Bottom Linear Regression Line(45)
And Linear Regression Slope(45) above 0.1
Symlist(spy, dia)


Exit trigger:

Show stocks where close near Top Linear Regression Line(45)
Symlist(spy, dia)


The simple idea is to buy the SPY or DIA ETF when the closing price is near 1 standard deviation from the linear regression line (Oversold) and sell when the SPY or DIA ETF are close to the top 1 standard deviation from the linear regression line (Overbought).

This filter shows a realized gain of 74% over the two year period from jan 2010 - dec 2011

If you want to stick with a buy and hold and receive less signals you can adjust the numbers from 45 days to 200 days and still get a nice 15% annual realized return.

Just add this filter to your filter list and subscribe for email notifications on the daily.



Filter Exchange · DIA and SPY Oversold
abelduarte
msg #117539
12/27/2013 12:10:57 PM

Modified entry filter:

Show stocks where close near Bottom Linear Regression Line(45)
And Linear Regression Slope(45) above 0.1
And Linear Regression Slope(200) above 0.1

symlist(cpb, gm, mgm, wynn, tw, ebay, agn, pbyi, uthr, cvi, pagp, cog, twtr, cgpn, s, yhoo, fnf, rx, cg, mtw, esl, tex, aks, lxu, oln, uns, pegi, amid)


Same exit as above but it uses the best performing stocks of the year to get higher returns than the overall market. Whats funny about this is that it still managed to make a pretty nice return even from 2006-2008.



Filter Exchange · DIA and SPY Oversold
abelduarte
msg #117562
12/30/2013 10:15:29 AM

Thanks Duke, forgot about the fetcher command

Filter Exchange · DIA and SPY Oversold
abelduarte
msg #117586
1/1/2014 11:39:13 PM

I've adjusted it to simply not trade and just stay on the sidelines if the 50 day moving average moves below the 100 day moving average on the dia or spy.

Doesn't perform very well during full blown bear markets.

Filter Exchange · OPTIONS STRATEGY - SELLING WEEKLY PUTS
abelduarte
msg #118208
2/17/2014 12:56:41 PM

Hey Kevin, have you looked into using this along with Linear Regression ? I noticed the few times the indicator failed it was because the security was overbought and then suddenly failed. Try an approach with linear regression and not limiting yourself to only selling puts.

Modified filter:

symlist(aapl,amzn,goog,pcln,qqq)
set{volatility, atr(5)}
set{base, close}
set{putstrikeprice, base - volatility}
set{callstrikeprice, base + volatility}

add column weekly close {close}
add column volatility
add column putstrikeprice {Target put strike price for selling puts}
add column callstrikeprice {Target call strike price for selling calls}

draw price line at putstrikeprice
draw price line at callstrikeprice
draw Linear Regression(45,1.0)

If you look at Apple this week its right up there at the 45 day linear regression channel. The better approach this week would be to sell a call instead of a put.


Filter Exchange · Trend acceleration/deceleration filter
abelduarte
msg #117624
1/7/2014 2:51:03 PM

Fetcher[draw MACD Histogram(12,26,9)

draw Linear Regression(45)
draw Linear Regression(200)
and close above ma(200)
and Linear Regression Slope(200) above 0

draw Linear Regression Slope(45)
draw Linear Regression Slope(200)

set {reg45avg, cma(Linear Regression Slope(45), 45)}
set {reg200avg, cma(Linear Regression Slope(200), 200)}

set {slopeofslope45, 45 day slope of Linear Regression Slope(45)}
set {zero45, 0}

set {slopeofslope200, 200 day slope of Linear Regression Slope(200)}
set {zero200, 0}

draw slopeofslope45
draw slopeofslope200
draw zero45 on plot slopeofslope45
draw zero200 on plot slopeofslope200
]



Having played around with Linear regression a lot as of lately I decided to take it 1 step further and apply physics concepts to it. A stocks linear regression line slope is not the same today as it was yesterdays, the change in this slope can whether up or down can tell us whether a trend is accelerating or slowing down.




Backtesting Support · Understanding ROI ?
abelduarte
msg #115533
9/25/2013 6:42:14 PM

How does the backtesting calculate return on investment ? I seem to be getting 50% for one strategy but yet the simulated portfolio of 100,000 shows around 93,000... how is it possible to have an annualized ROI of above 50% and yet lose value in the portfolio ?

How is that ROI calculated ?

Thanks

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