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General Discussion · IRA money induces you to use a longer timeframe
dknoonan
msg #116279
10/27/2013 5:18:30 PM

After posting this I noticed a thread that says Interactivebrokers.com allows you to trade within an IRA without the 3 day settlement. Is anyone doing that?

http://www.stockfetcher.com/forums/Filter-Exchange/HOW-TO-DESIGN-A-SYSTEM-NOT-JUST-A-FILTER/101013/70

About having all your capital active, is the following statement generally true?

You have 2 trading system A and B. If you have all your capital trading all the days of the year, A makes you 10% and B makes you 20%. Now if you trade B such that it is in cash for half of the trading days of the year, it will yield the same profit as if you traded A every day of the year.

If that is true, backtesting is probably a little deceptive to newcomers like myself. SF backtest keeps you 100% invested without so much as a pause. This might be real difficult to do in real life.

General Discussion · IRA money induces you to use a longer timeframe
dknoonan
msg #116278
10/27/2013 4:31:24 PM

When I trade with IRA money, after I sell, I need to keep the money in cash in my IRA for 3 days for "settlement." I think this means that If the average length of my trades is 3 days, I can only be trading with HALF my capital.

Conclusion: I should focus on a trading system where the average trade more like 3 weeks instead of 3 days.

Am I understanding this correctly? Thanks for your inputs...

Filter Exchange · BUYING THE DIP
dknoonan
msg #116205
10/23/2013 11:11:09 PM

Today this filter flags YHOO and FFIV. Before that, there have been 8 days where nothing has been flagged. In order to generate more hits I've tried to relax the requirements, by making it select on ROC(7) < -1.5 instead of the original -2. Also played with ROC(80) > 15 instead of 20. Neither garnered many more hits. Any thoughts?

Filter Exchange · TRO'S CROCK POT 2.0
dknoonan
msg #115940
10/15/2013 2:57:42 PM

Birds fly, fish swim, and SF people analyze. It is probably the one personality trait we all have in common. Most of us would probably analyze a rain drop sliding down a window pane!

Filter Exchange · TRO'S CROCK POT 2.0
dknoonan
msg #115901
10/14/2013 3:05:26 PM

Frank, I like the idea of delaying purchase until after open, and for stocks that have gone down, put in a buy stop to get in at its original open price. But the six from today might point the other direction -- buying at open would have served well. So maybe look at indicators for what kind of day it will be, before the market opens. It is bodes well, buy at open. If not, wait until after open and do the buy stops. What do you think?

Filter Exchange · TRO CROCK POT - SLOW COOKERS FOR SWING TRADERS
dknoonan
msg #115810
10/10/2013 11:12:47 AM

One way to backtest this semi-automatically would be dump the backtest data to Excel, then add a column for day of the week. Insert a new column "C", and give it a formula of =WEEKDAY(B2,2), and fill down column C. You'd want a trigger date of Friday I think, so filter out any rows that aren't a 5 in column C.

Filter Exchange · BUYING THE DIP
dknoonan
msg #115668
10/2/2013 1:15:16 AM

On 6/3/13 Mahkoh said this about doubling down to recoup some of the drawdowns:

"In my example from 5/20: Originally 282 trades from 5/18/2012 until 5/18/2013. Of these 98 experienced a drawdown of more than 4 %, which accounts for about 1 out of 3. Average gain if these were opened as 2nd positions 2.31 %, 72 profitable.

If one were to use this doubling down approach, at what point would you double down? Is it when the trade has gone against you 4%?

I think it is interesting that of 98 trades where they went against you by 4% or more, 72 become profitable not too much later. I suppose this is because the filter picks stocks that are in a sustained uptrend ( ROC(80) > 20 ).

I wonder if another way to mitigate big drawdowns is to scale out. After a trade goes down by x percent, sell off half of the position.

I don't think SF can simulate these second position scenarios, whether doubling down or scaling out, right? Is there other simulation software that can?





Filter Exchange · BUYING THE DIP
dknoonan
msg #115552
9/26/2013 4:44:52 PM

Yes. It is one of the many things I've tried to improve results. Over most time spans, close above open (a white candle) gets worse results. I was figuring that entering at ROC(7) < -2 means a descent, so why not wait until it starts its ascent before you get into the trade? But I think that getting into the trade after the first white candle has passed means I miss out on the gain of the first white candle. In most time spans this seems to greatly reduce the gains of the filter. So I commented it out. A similar effect occured when I put "high 1 day ago" as the entry price, and set Conditional Entry to Yes.

So, using this filter to trade is like the old phrase, trying to catch a falling knife. Funny thing is, it catches it pretty well. Or at least it goes up after falling a couple of days after your buy.

Filter Exchange · BUYING THE DIP
dknoonan
msg #115534
9/26/2013 2:10:25 AM

In pondering the question of stop losses, I had planned to run backtests on this Buying the Dip filter several times, with no stop loss, then stop loss of 2%, 4%, etc. Since my concern about stop losses has to do with avoiding a really catastrophic loss, I picked the worst timeframe I could find: Dec 31 07 to Feb 27 09.

So I ran with no stop loss first, expecting a horrible result as a baseline. What do I get? My $100,000 account grows to $125,620 !! Once again I am amazed at how counterintuitive the market is at times. I can see that whatever the final wisdom is on stop losses, my current line of inquiry isnít going to reveal it!

If anyone wants to verify my results, here are the particulars.
Filter
S&P 500
--close above open
ROC(7,1) crossed below -2
ROC(80,1) above 20
close above MA(200)
add column ROC(7,1)
sort on column 5 ascending
draw ROC(7,1) on plot ROC(80,1)

Exit Trigger: ROC(7,1) > 2
Min Days to Hold: 1
Fees Per Trade: 8.95
Dollars Per Trade: 20,000
Allow Neg Balance & Fractional Shares: Yes
On Advanced Tab, all NO. No Selection Criteria entered. Max trades per day: 3 Max Open Pos: 5

Filter Exchange · BUYING THE DIP
dknoonan
msg #115523
9/24/2013 9:24:40 PM

I believe the backtests are very promising. But whenever I try to do any kind of stop loss, the results suffer. Is it realistic to trade without setting a stop loss? Does the fact that this is only using S&P 500 stocks mitigate the risk somewhat?

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