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General Discussion · New List of Indices Supported
fotchstecker
msg #156036
modified
3/4/2021 6:05:17 PM

VXX isn't an index obviously and the problem with using UVXY or VXX (which are investable whereas obviously the VIX isn't) as a stand-in for VIX index is that when there's high vol, there are many sellers of vol. So whereas VIX will have a significant spike, the vol-related products won't because there are sellers of vol everywhere in the real market. This leads to the downside bias in the ETF that you don't see in the index and in the difference in the magnitude of the spike. What the VIX conveys as an "opportunity" on the chart is therefore not present to the same extent.
Big difference, not substitutable.



https://i.imgur.com/Fl5nrEI.png

General Discussion · New List of Indices Supported
fotchstecker
msg #155998
3/2/2021 9:02:12 AM

Thanks for this.
What are you using for vol indexes then?

Filter Exchange · basket correlation filter
fotchstecker
msg #155960
2/25/2021 9:13:13 PM

Ed, thanks. A simple improvement -- my favorite kind! Thanks.

General Discussion · Simple historical results should look like this...
fotchstecker
msg #155932
modified
2/23/2021 1:36:03 PM

Dear Stockfetcher:
It's been a while since any new features have been released. There are three that would be killer:

1. Historical results, simplified.
Run a filter starting some date in the past. The results view gives you all of the FORWARD filter runs with each date's symbols and their FORWARD results with the AVERAGED stats. Knowing the average of the highest-highs and lowest-lows will help real world trading by knowing where to set stops and take profits. This is NEEDED.

These results give you a good gauge for setting stops, profits, and holding periods. They COLLATE the filter's performance over time.

Here's what I currently use to understand SF flters using exported data from another system. The "start date" is the date the filter returned the symbol. The stats are based on OHLC data from the start date going forward.


2. All returned symbols from starting date, simple list for export:
Run a filter from some date in the past. There should be an option to output simple list of ALL of the tickers and the dates they appeared from a start date to an end date. This is not the "export CSV" feature that already exists and only includes one day. This is all days over a range. This useful for analysis here and in other systems. Eg:
ACRX 11/13/2020
ETSY 11/13/2020
TWLO 11/13/2020
AXNX 11/16/2020
GGB 11/18/2020
ASND 11/24/2020
CUBE 11/24/2020
DCUE 11/27/2020
ALYA 12/1/2020
ABT 12/2/2020
ALJJ 12/4/2020
VALU 12/4/2020
ONCT 12/8/2020
CTLT 12/8/2020
CMI 12/10/2020
ABC 12/11/2020
PHI 12/11/2020
KINS 12/15/2020
RC 12/16/2020
BJRI 12/17/2020
MOH 12/17/2020
YINN 12/18/2020
JP 12/18/2020
ONCY 12/24/2020
ICF 12/24/2020
LORL 12/24/2020


3a. In the filter results table, indicate how many times a given symbol has appeared in the filter results over X days, where X is configurable somewhere in the interface. What good is it to eyeball the last 3 negative returns for GOOG but where the earliest return is 74%? How can anyone use results with zero context? This adds context.

3b. To add to the above, a column with "cumulative return" up to the current date would help us interpret the symbols that have appeared several times over a recent period.

---actually, 3a/b could be part of one larger historial results view, too.


Really need some new tools for understanding filter results. Please consider. Thanks.


Filter Exchange · basket correlation filter
fotchstecker
msg #155904
modified
2/21/2021 11:30:57 AM

Here's a simple correlation filter for constructing a basket of symbols with varying correlations to SPY (or any symbol) over various periods. Just uncomment/comment-out the correlation range you want to use for a strongly, neutrally, or inversely correlated symbol. Adjust the correlation values as needed, too.

Improvements are welcomed, and any other methods you might have for constructing baskets based on correlation would be welcomed, too. Enjoy.


Fetcher[
/*
Tool for constructing a basket, starting with correlations to SPY
*/

market is ETF
add column Historical Volatility(100,1)
and add column corr(SPY,30,Close)
and add column corr(SPY,60,Close)
and add column corr(SPY,90,Close)
and add column corr(SPY,150,Close)
and add column beta
and add column industry
and add column sector

close < 500

sort ascending column 5

/*correlated
corr(SPY,30,Close) > .80
corr(SPY,60,Close) > .82
corr(SPY,90,Close) > .84
corr(SPY,150,Close) > .86
*/

/*neutral
corr(SPY,30,Close) between -.4 and .4
corr(SPY,60,Close) between -.4 and .4
corr(SPY,90,Close) between -.4 and .4
corr(SPY,150,Close) between -.4 and .4
*/

/*inverse
corr(SPY,30,Close) < -.8
corr(SPY,60,Close) < -.8
corr(SPY,90,Close) < -.8
corr(SPY,150,Close) < -.8
*/
]



General Discussion · vol expansion filter but needs one tweak...
fotchstecker
msg #155878
2/20/2021 9:56:31 AM

Thanks, Graf -- looks like an even easier way. By the way, I am using the filter you've been working versions on.

General Discussion · vol expansion filter but needs one tweak...
fotchstecker
msg #155862
2/18/2021 6:53:51 PM

Thank you jim and xarlor.

Xarlor, true enough, not as many in this filter as I thought. This morning I collated this and another filter's results over the last month and for some symbols there were 4,5,6 appearances. So I can only conclude that the other filter contributed at least half of the repeats.

That said, seeing how to do it helps a ton. Thank you.

General Discussion · vol expansion filter but needs one tweak...
fotchstecker
msg #155858
modified
2/18/2021 5:21:56 PM

Here's a simple filter for breakouts on yearly high. However, when you run it, you're likely filtering for stocks that have met the condition several times in the recent past.

Can the number of times a stock has met the condition over, say, the last 40 days be counted? Then it would be possible to just rank them by count.

Any help/ideas?

Fetcher[
show stocks where high reached a new 52 week high
close above MA(50)
close above MA(200)
MA(50) above MA(200)
/*market_cap is above 1000*/
volume ROC has been increasing for 4 days
Average Volume(30) > 500000
price above 1

set{SO, shares outstanding * 1}
/*show stocks where SO is above 1*/
And add column SO

chart time is 1 year
]



General Discussion · A personal DUHHH! Moment
fotchstecker
msg #155850
2/17/2021 9:20:38 PM

Good find.

General Discussion · One thing I'd really like to see...
fotchstecker
msg #155714
2/11/2021 11:26:33 PM

at my broker it's not possible to enter a market order in extended session. limit only.

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