| StockFetcher Forums · View by Author: (231 messages) [ Display By: Date / Subject ] | << 1 2 3 4 5 ... 24 >> |
 | |
| General Discussion · Swing Trading Ideas and methods | |
| fotchstecker msg #154793 |
12/2/2020 4:31:31 PM Eman93, that begs the question: What scans are you running each day?! |
| Shared Symbol Lists · Vanguard ETFs | |
| fotchstecker msg #154773 |
11/30/2020 12:12:21 PM Here's a list of Vanguard ETFs, which VG makes surprisingly hard to scrape. I might do mutuals next. This list is as-of the post date today. Double check on your own to make sure it's comprehensive, but it should have nearly all if not all. EDV BIV VGIT BLV VGLT VMBS BSV VTIP VGSH BND ESG VCEB VCIT VCLT VCSH VTC VTEB VIG ESG ESGV VUG VYM VV MGC MGK MGV VONE VONG VONV VTHR VOO VOOG VOOV VTI VTV VXF VO VOT VOE IVOO IVOG IVOV VTWO VTWG VTWV VIOO VIOG VIOV VB VBK VBR BNDW BNDX VWOB VT ESG VSGX FTSE VEU FTSE VSS FTSE VEA FTSE VGK FTSE VPL VNQI VIGI VYMI VXUS FTSE VWO VOX VCR VDC VDE VFH VHT VIS VGT VAW VNQ VPU |
| General Discussion · What's the hype on VWAP all about? | |
| fotchstecker msg #154709 |
11/20/2020 8:40:38 PM Cheese, I'm hardly in that company and am always learning. SF is where I test ideas but most of my dev is in Tradestation. If you ever move to it, let me know I'll get you started in easylanguage and some strategies you can test out. |
| General Discussion · What's the hype on VWAP all about? | |
| fotchstecker msg #154706 |
11/20/2020 4:45:51 PM Cheese, I know your note was to yourself, but I just wanted to say that I've used 8EMA in a lot of system, too. |
| General Discussion · What's the hype on VWAP all about? | |
| fotchstecker msg #154702 modified |
11/20/2020 2:47:44 PM I just dug up an old VWAP related calculation I used to use for initiating buys. YMMV: AVG((O + H + L + C) * V, 90) / 4 / AVGV90 Where AVGV90 is average volume, 90 periods. I believe the above was TC2000 code. The way I used this at the time was to initiate longs when close was under vwap. I can't remember what timeframe chart I was using this on, but it likely was a 90 minute chart. The only reason I cared about VWAP was that it gave me rationale for a price to enter at. That's all. I didn't use it for anything other than to pay a price that generally the market was paying in that timeframe. Underneath this was the fact that whatever system I was using had triggered a signal. So, this was just a way to enter. Regarding what and how you backtested and whether it had a benefit, I would say this is hard to answer. I don't think there's really a way to backtest this unless you have tick-level data on the bar, curvefitting everything else notwithstanding. If you don't have that bar resolution, you make a lot of assumptions on a daily bar. |
| General Discussion · What's the hype on VWAP all about? | |
| fotchstecker msg #154681 modified |
11/19/2020 5:04:40 PM Don't know what you mean about "hype". VWAP is effective if you understand what it is, exactly like anything else. I can tell you that I personally know professional quants (real pros managing 1B books, not retailers mucking about) and they use VWAP regularly. They use it primarily for layering-in large positions after the market cross for some of the models they run. The VWAP period and timeframe they use for those executions is typically on an intraday basis. But I don't think any one of them thinks there's "hype" around vwap; it's just another technique, and to be honest it's a pretty straightforward and simple calcuation. |
| Filter Exchange · Started as a rotation filter -- enjoy | |
| fotchstecker msg #154678 modified |
11/19/2020 3:08:07 PM Hi, Ed. I'm not sure. I wonder if running the filter intraday is the difference. It seems after the market closes and the prices are settled for the day, when I re-run the filter I get the expected symbols for historical runs. At least, this is my cursory observation. When intraday scans are run, maybe that affects historical runs intraday, too. Not 100% sure. |
| Filter Exchange · Started as a rotation filter -- enjoy | |
| fotchstecker msg #154655 modified |
11/18/2020 8:30:35 AM Cheese, thanks. If you are interested in market breath studies like those, there are two really good ones with a variety of indicators/approaches: "stock market logic" by Fosback (older, but really good) "the complete guide to market breadth indicators" by Greg Morris. Newer, and includes analysis of many of the Fosback indicators. You can probably find the first on something like Abe Books and the latter on Amazon or similar. |
| Filter Exchange · Started as a rotation filter -- enjoy | |
| fotchstecker msg #154650 |
11/17/2020 6:01:18 PM Cheese, by the way, at time of this writing the bearish tickers from the 16th filter run are definitely (re) appearing: FAZ - Direxion Daily Financial Bear 3x Shares SRTY - ProShares UltraPro Short Russell 2000 TZA - Direxion Daily Sm Cap Bear 3X ETF UVXY - ProShares Ultra VIX Short Term Futures E SDOW - ProShares UltraPro Short Dow 30 ETF TWM - ProShares UltraShort Russell2000 HDGE - Active Bear ETF LABD - Direxion Daily S&P Biotech Bear 3X Share SPXU - ProShares UltraPro Short S&P500 VXX - iPath Series B S&P 500 VIX Short-Term Fu VIXY - ProShares VIX Short-Term Futures ETF DXD - ProShares Dow 30 SDS - Proshares S&P 500 RWM - Short Russell2000 ProShares DOG - SHRT DOW30 PROSHARES SH - SHRT S&P500 PROSHRS |
| Filter Exchange · Started as a rotation filter -- enjoy | |
| fotchstecker msg #154648 |
11/17/2020 2:50:55 PM Cheese, I'm laughing. :) |
| StockFetcher Forums · · | << 1 2 3 4 5 ... 24 >> |