StockFetcher Forums · View by Author: (81 messages)  [ Display By: Date / Subject ]<< 1 2 3 4 5 ... 9 >> 
Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
evo34
msg #122505
1/11/2015 1:34:27 AM

Just curious: you say that you look for a reward-to-risk ratio of > 1.00. The code doesn't seem to filter for that, though. Have you found that taking only trades where that value is > 1.00 performs better in the backtests, or is it simply a discretionary criteria for you? Thanks.

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
evo34
msg #122457
1/4/2015 2:43:56 AM

FYI -- the reward-to-risk ratio calc. is different in the two filters. It looks like the code in Pangolin W may be in error (it's using the raw diff. in share price).

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
evo34
msg #122448
1/1/2015 6:42:13 PM

Thanks for posting, Kevin. Were these tested against a survivorship-bias free dataset? If so, any meaningful difference in performance vs. using only current S&P 500 components?

Secondly, just wondering if you have tested hedging your trades with a short position in SPY? I.e., would it be worth it to hedge your notional long positions with X% short SPY, in terms of maximizing Sharpe ratio? Or would transaction costs likely overwhelm any advantage?

General Discussion · Earnings Announcements Dates
evo34
msg #117708
1/12/2014 12:55:34 AM

I usually use briefing.com (free account). You can do a web query and pull in upcoming earnings automatically in Excel. Or, if you use IB, they supply a data column that has next earnings date/time (if you pay some tiny fee like $1.50 a month). Worth it, in my view.

General Discussion · Watchlists should have abilities to REORGANIZE just like Filters list
evo34
msg #117629
1/7/2014 7:03:05 PM

Also, in my opinion, the old Watchlist format was easier to read than the new one. Not sure why it was changed.

General Discussion ·  When I organize any filters I move I lose.
evo34
msg #117585
1/1/2014 9:28:13 PM

I have had the same issue. There are some serious bugs with the way SF stores filters as ordered numbers. Deleting or re-ordering will wreak havoc with backtests. I alerted SF to this about a year ago.

General Discussion · IRA money induces you to use a longer timeframe
evo34
msg #116282
modified
10/27/2013 10:14:14 PM

Kevin, I'm not following what you are saying. There is no minimum hold time for a stock you buy in an IRA. There is a three day settle time after a sale. So if you are fully invested (100% of account value is long stocks/ETFs), and then sell a portion of your holdings, you cannot make any purchases until the cash clears (3 days after your sale).

General Discussion · So who can improve on the best short filter ever. Mesayah's Slim Shorty
evo34
msg #116253
modified
10/25/2013 11:33:00 AM

Just making sure I am reading this correctly: the filter only checks for avg. day range, price, volume and market cap, right? I.e., It does not filter against any of the calculated values, correct?

Backtesting Support · best way to backtest rolling periods
evo34
msg #115176
9/1/2013 7:40:55 AM

I am pretty sure there is no way to do what you ask. In my opinion, it's the number one weakness of SF. It's very time-consuming and even risky (making a silly typing mistake or accidentally erasing a result) to try to backtest a system for more than 2 years. I can understand charging extra for the feature. I can understand not allowing it during peak hours. But I truly cannot understand failing to offer it at all. Perhaps SF support can advise on why this is the case.

General Discussion · Backtesting exits question
evo34
msg #115175
9/1/2013 7:35:13 AM

Is it possible to create a backtest exit like the following:

If exit test is satisfied on today's close, exit the position at next open, only if next open price >= today's close. So if a stock closed at $8.00 and triggered my exit, the backtest would exit the position if the next day's open was $8.00 or higher. If not, position would be kept.

Thanks.

StockFetcher Forums ·  · << 1 2 3 4 5 ... 9 >>

*** 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