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General Discussion · Strategy testing
cegis
msg #35490
3/29/2005 3:51:58 PM

TraderEyal,

If you're looking to see if the filter is returning the stocks you think it should (i.e., if you want to verify that you do not have some kind of logic problem in your filter), then you can use the "add column" phrase to show the values for all of the criteria that you are using and make sure the values displayed fit what (you think) the filter should be selecting.

HTH,

C


General Discussion · how to set time ?
cegis
msg #35315
3/10/2005 7:02:59 PM

Look at the days() function...

HTH,

C


Filter Exchange · Help with a filter (ADR5 & Beta)...
cegis
msg #35057
2/3/2005 12:14:43 PM

Scott,

- Average Daily Range(5) can be expressed as cma(day point range,5). There may be other ways...

- You do NOT need the set{hi,high} nor set{lo,low} in your posted filter. Simply use set{dif,high - low}. By using the additional set{}s, you are increasing the (SF perceived) complexity of the filter. It doesn't make much difference in this case, but if you start chaining (nesting) a lot of set{}s together it could easily make the difference between a filter that runs and one that doesn't.

HTH,

C


Filter Exchange · Filter variation
cegis
msg #34888
1/14/2005 2:57:51 PM

Jim,

This works:

Fetcher[
Fast Stochastics(20) Fast %K reached a new 15 day low
and stock price is greater than .5
and slope of -DI(14) 2 days ago is greater than .25
and average volume(2) > 0

set{c1,volume / average volume(2)}
set{c,c1 * 100}
add column c
]



Note that I added the "and average volume(2) > 0", which cut out a handful of stocks.

I'm not too sure why the added set{}s were causing this problem, but since they were not necessary, I took them out. It's possible (but I'm guessing here) that "todays volume" was an issue in the substitution that's done by SF when calculating c1.

TomB (SF), any idea why Jim's filter didn't work?

HTH,

C


Filter Exchange · Filter variation
cegis
msg #34868
1/13/2005 10:17:55 AM

Jim,

Any chance average volume(2) = 0 on any of these stocks? That would make your division set{} "undefined", and SF probably drops the stock. If you take out the set{}s and add "and average volume(2) > 0", how many matches do you get?

HTH,

C


Filter Exchange · Filter variation
cegis
msg #34856
1/12/2005 11:05:59 AM

Jim,

One possibility for the change in number of matches might be that with the additional set{}s, the filter becomes too complex for SF to run. (I.e., above SF's complexity limit.) This could cause other set{}s in your filter to not get evaluated, thus making conditions that used these uncalculated set{} variables compare to zero instead of a "real" value. Just a thought...

HTH,

C


Filter Exchange · back testing
cegis
msg #34834
1/10/2005 1:16:02 PM

korzym,

You leave too many questions unanswered to provide any kind of answer. For example, what time period are you looking to backtest (as in performance over what period of time)? What do you want to assume as your entry price? What do you want to assume for your exit price? Etc...

Search for my post "Technique: Calcualte your own returns for any period" (or something similar; I added to it last week to move it near the top of the form list of threads...), then give it a try. If you don't understand something, or if you're not getting what you expect, post your backtest filter, what you're expecting, and what you're getting, and maybe someone can help...

HTH,

C


General Discussion · back testing
cegis
msg #34783
1/6/2005 4:32:44 PM

Alex,

My technique allows you to get the filter's results as of a specific date, then calculate returns for the next 5 days (or whatever) within the filter results. If you want the sum of the results for the past year or two, you'd have to run the resulting filter for the time period you want, and download each run into a spreadsheet. I know it's a pain, but that's the best you can do (that I'm aware of) using SF...

HTH,

C


General Discussion · back testing
cegis
msg #34759
1/5/2005 11:59:17 AM

Perhaps this thread will help: Technique: Calc your own returns - for any period.

I just added to it, so it's at (near) the top of the list of threads in this forum.

HTH,

C


General Discussion · Technique: Calc your own returns - for any period
cegis
msg #34758
1/5/2005 11:57:01 AM

People have been asking about this over the past few days, so I thought I'd bring it to the top of the list of threads...

This allows you to backtest for any period, including some entry/exit strategies.

HTH,

C


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