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Filter Exchange · New here: What is your screen you bet money on?
msg #35572
4/11/2005 11:56:48 PM


Yes, I just used Stockfetcher. I took one filter at a time, offset it 68, 58, 48, 38, 28, 18, and 8. At each offset, I recorded the performance percentage after 1 week. If there were no stock picks at an offset, I just recorded a 0. I then added the percentages recorded for that filter. I did the same for 25 filters.
The offsets I used were arbritary, as was the 1-week performance period. The price range of 0.5 to 3 was also arbitrary, although I was interested in low-priced stocks.
I wasn't trying to prove that one filter is better than another, it was out of curiosity to eliminate some from my list. I'll probably do the same periodically, to see if there are any filters that consistently do well.

Filter Exchange · New here: What is your screen you bet money on?
msg #35569
4/11/2005 1:17:24 AM

Perhaps I should have explained the backtest again.
1. For each of 25 filters, I used offsets of 68, 58, 48, 38, 28, 18, and 8.
2. At each offset, I recorded the performance for a 1-week holding period.
3. I then added the total Percentage gain or loss for the seven offsets.

The RSI(2)<1 scan total was approx + 57%
The >20% loss scan total was approx + 46%

Filter Exchange · New here: What is your screen you bet money on?
msg #35568
4/11/2005 12:46:33 AM

As I posted elsewhere, I ran the same backtest on about 25 filters I had compiled from various sources. My purpose was to eliminate some of them from my scans and save time. Although other filters may perform better at other times, these two backtested the best at this time :

RSI(2) Filter :

Stocks where RSI(2)<1 and
average volume (10) is above 300000 and
close is between 0.5 and 3 and
close more than 10% below close 1 day ago


Stocks where close dropped more than 20% over the last 1 day
and average volume (10) is above 100000 and
close is between 0.5 and 3

Of course, this was an entirely mechanical backtest, buying the complete scan, using no judgement, and holding for one-week periods. It is entirely possible, that other scans in the hands of skilled traders would perform better.

Filter Exchange · Trend reversal filter
msg #35567
4/10/2005 10:45:40 PM

Try " price greater than 3 days ago "

Filter Exchange · RSI(2) - The Little Indicator That Could
msg #35565
4/10/2005 7:32:45 PM


Since I had accummulated over two dozen filters gathered from various sources,I needed to thin them out.So I ran a rather unscientific backtest for the last 3 months. Comparing the results for a one-week holding period, and getting a new sample every ten days, for a total of seven samples, up to 8 days ago.This is the filter that performed the best, having 4 up weeks, 2 down weeks,and 1 week with no stocks. Accummulated result was +57.42 %.
No other of my filters came even close.

Show stocks where RSI(2)<1 and
average volume (10) is above 300000 and
close is between 0.5 and 3 and
close more than 10% below close 1 day ago

Reducing the volume to "above 50000" resulted in more picks, but lower percentage gain.

This was a purely mechanical comparison,using all the stocks from the scans.

General Discussion · Need Help with Momentum Filter
msg #34071
11/23/2004 8:40:36 AM

Need help setting up a filter for stocks(1 to 5 dollars) that just made a 52-week high after a brief and shallow pullback, say 5% , preferrably a "W" pullback.

Filter Exchange · "The PROPHECY"
msg #33634
10/23/2004 1:14:41 AM

Another advantage of including the sector description is that if, for example, I run a scan for stocks whose smoothed rsi crossed above 30 and five out of seven stocks are healthcare, then that sector is probably tradeable.

Filter Exchange · "The PROPHECY"
msg #33633
10/23/2004 12:45:07 AM

Actually, by doing the backtest, you can also see the performance at various time periods after that, and compare it with the DJI performance.

Adding the Sector column to the screen results helps quite a bit,since not all sectors move in sync. For some sectors, I can go to another website, like ASK Research, and look at the status of some indexes. Unfortunately, only a few of the indexes, like the oil, gold, semiconductor, and biotech , are included there. It is entirely possible that although the general market may be in a downtrend, a specific sector may be doing well, and its stocks could be traded profitably.

Filter Exchange · "The PROPHECY"
msg #33625
10/22/2004 3:47:40 PM

The idea of cooperating in improving a filter is great. However, I think that the rationale behind the filter should be stated.

Also, for some time now, I've been lurking and backtesting (using the 3 months ago feature) a lot of the filters appearing on this website. While most work and some are better than others in an up-market, none work very well in a down market lasting several days.

There should be a way of programming a filter that combines the condition of, say the nasdaq composite, with the stock screens.

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