StockFetcher Forums · View by Author: (54 messages)  [ Display By: Date / Subject ]<< 1 ... 2 3 4 5 6 >> 
General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later
crunkle
msg #82388
11/3/2009 11:21:09 PM

Kev

Be careful of the Fed announcement tomorrow afternoon. It could likely be a catalyst for a sharp sell-off.

Filter Exchange · swing filter using Slow stochtastics(30,10)
crunkle
msg #82091
10/30/2009 12:09:28 AM

Ran it again but as a short filter. Did much better. Although almost any short filter would have performed well during that period.

Approach Name: TEST 4


Test started on 01/02/2009 ended on 02/27/2009, covering 38 days
Filter used:

TEST 4 (saved filter)

Trade Statistics
There were 262 total stocks entered. Of those, 210 or 80.15% were complete and 52 or 19.85% were open.
Of the 210 completed trades, 119 trades or 56.67%resulted in a net gain.
Your average net change for completed trades was: 0.92%.
The average draw down of your approach was: -10.44%.
The average max profit of your approach was: 10.92%
The Reward/Risk ratio for this approach is: 1.19
Annualized Return on Investment (ROI): 149.74%, the ROI of ^SPX was: -120.86%.

Exit Statistics
Stop Loss was triggered 91 times or 43.33% of the time.
Stop Profit was triggered 119 times or 56.67% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
gain as a short. Did much better (although almost any short filter would have had success during that period)

Filter Exchange · swing filter using Slow stochtastics(30,10)
crunkle
msg #82089
10/30/2009 12:05:12 AM

push,

Copied and pasted your filter so I could backtest from 1/01 - 2/28. Here are the results using the same default settings that you also used (10% profit & loss stops, 25 day holding, etc.). Something isn't jiving.

Approach Name: TEST 4
Test started on 01/02/2009 ended on 02/27/2009, covering 38 days
Filter used:
TEST 4 (saved filter)

Trade Statistics
There were 262 total stocks entered. Of those, 210 or 80.15% were complete and 52 or 19.85% were open.
Of the 210 completed trades, 81 trades or 38.57%resulted in a net gain.
Your average net change for completed trades was: -1.87%.
The average draw down of your approach was: -10.92%.
The average max profit of your approach was: 10.44%
The Reward/Risk ratio for this approach is: 0.70
Annualized Return on Investment (ROI): -305.08%, the ROI of ^SPX was: -120.86%.

Exit Statistics
Stop Loss was triggered 129 times or 61.43% of the time.
Stop Profit was triggered 81 times or 38.57% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 0 times or 0.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


Filter Exchange · swing filter using Slow stochtastics(30,10)
crunkle
msg #82020
10/29/2009 12:11:18 PM

Push,

Understand that there's many filters that work well in a rising market (your scan begins 3/02/09, right at a multi-year bottom) and don't work well at all in a declining one.

Before you begin to put real money out there, test your filter in the Jan/Feb 09 period to see what it does in a collapsing market or at least during a period where the market fluctuates in both directions, like the year 2007.

Good luck

Filter Exchange · HELP IN SIMPLE PLAN
crunkle
msg #81894
10/27/2009 9:00:38 PM

jnafach

Trade management is infinitely more important than stock selection. Theoretically, you can throw darts at the stock listings. Cut your losers - manage your winners. The "average" professional money manager would sacrifice his mother for 20 - 25% a year. I'm pretty sure Warren Buffet is below that. Bill Miller at Legg Mason beat the S & P 500 for something like 10 straight years. Never came close to 25% annually (year-after-year). Not saying it can't be done but re-read the first sentence

General Discussion · Swing Trading Ideas and methods
crunkle
msg #80983
modified
10/12/2009 4:30:38 PM

LEAP popped up on a scan late today. Looks to be bouncing off support. RSI turning up. (Mon)

++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

(Tue) After trading up early, LEAP jumped out the window today. Fortunately, just a short fall...4% or so (using the after hours close. We'll see tomorrow.

StockFetcher 2.0 Beta · Problem with ATR%
crunkle
msg #80957
10/11/2009 2:15:52 AM

Hey! That did the trick. I can plug in my other criteria and play with the percentages, closing prices and volumes to narrow or widen the scans when necessary.

I see you posted At 8:49 AM Saturday. 'Preciate it. Hope this didn't keep you up all night.

Thanks again........

StockFetcher 2.0 Beta · Problem with ATR%
crunkle
msg #80882
modified
10/9/2009 10:57:24 AM

Here's a filter that gives me selected stocks with an ATR(14)/closing price ratio of 3.75% to 7.5% and higher (ex. LAD @ 8.62%)

Fetcher[
Show stocks where price is between 10 and 20 and ATR(14) is greater than .75
and volume is greater than 500,000
add column ATR(14)
]



Point is, it can be calculated manually. Let's do it electronically.

How about it SF?


StockFetcher 2.0 Beta · Problem with ATR%
crunkle
msg #80878
10/9/2009 10:28:44 AM

Average True Range(14) as a percent of the closing price
Average True Range(14) > 5%
Average True Range(14) > 10%
Average True Range(14) > 20%

The above was copied directly from the Average True Range section of the Examples drop-down menu at the top of this page and is not working as shown. Since the ATR is shown as a dollar and cents number why can't it be calculated as a percentage of the closing price?

Just looking for a simple command to rank stocks by volatility that show up on my filter scans without having to use a calculator. If two stocks each have a 75 cent ATR, I'd be more interested in trading the one selling at $15 than one at $40.

StockFetcher 2.0 Beta · Problem with ATR%
crunkle
msg #80846
10/8/2009 11:14:18 PM

Am having a problem trying to get ATR as a % of closing price. Using one of the examples you give - show stocks where ATR(14) >5% , the filter is not giving me a % of the close but instead only stocks where the ATR(14) range is greater than $5.00

StockFetcher Forums ·  · << 1 ... 2 3 4 5 6 >>

*** 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.