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General Discussion · MACD
msg #156112
3/11/2021 7:37:31 PM

@Wisam Daoud

No, thanks. Filters are a dime a dozen. And EE credentials don't impress me in the least. The worst trading systems I've seen have come from electrical engineering folks who think their take on signal processing is something special. It ain't. Unless you're Claude Shannon. You're not.

And MACD is nothing interesting to me. If you want to post something, post a verifiable set of trades executed in the real world -- and not in a ripping bull market. And then start publishing signals from the same system tonight. But I'll tell you straight-up that for 15+ years a select group of extremely competent people have come through here and OPENLY shared their systems and ideas. So having no credentials and no history of shared work and no provable trades with something as prosaic as MACD is a no from me, dawg.

General Discussion · How to count appearances in a filter with ranking? xarlor?
msg #156100
3/10/2021 9:26:20 PM

Hi, Safetrade and Cheese -- thank you both for your suggestions. I'm going to give a try to both methods tomorrow to see what I come up with. Thanks again!

General Discussion · How to count appearances in a filter with ranking? xarlor?
msg #156075
3/9/2021 1:32:01 PM

xarlor helped me with a filter with counts of the symbols appearance on that filter for the past 40 days:

I'm trying to adapt the same concept to the filter below, but I'm struggling. xarlor or anyone else who can give a hand, please let me know.

Where I'm trying to go with this: This is a rotation filter, so the "top" symbols tend to stick around a while. However, it's valuable to know two count-related things:
1. When a symbol has suddenly entered, say, the top 10 or top 5 and has a comparatively low count of appearances. This often means that a significant change of momentum is occurring.
2. When a symbol has a high absolute count in general, but doesn't appear near the top, it often means a steady longer-term change.

One problem with the filter below is that it needs a selection criteria, not just a column-sort ranking like it currently uses because you need to count some kind of condition, not just sort the data. not sure of how to solve this, since the stocks are just bought as they rotate-in to the top 5.

Maybe the selection criteria is that count > 0 over the last 40 days? That way it includes everything that has appeared (but still needs a count solution).

Any help would be greatly appreciated.

Thank you.

chart-time is 1 year
set{20Return, ROC(20,1)}
set{ROCrank1, 20Return * .5}
set{60Crank, ROC(60,1)}
set{ROCrank2, 60Crank * .5}
set{ROCrotate, ROCrank1 + ROCrank2}

set{roc3, ROCrotate 3 months ago }
set{roc1, ROCrotate 1 months ago }
set{rocmomo, roc1 - roc3}
ADD column rocmomo

ADD column ROCrotate 3 months ago
ADD column ROCrotate 1 month ago
ADD column ROCrotate 1 week ago
ADD column ROCrotate

sort by column 10 descending

and draw MA(100)
/* and close > MA(100) */

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)

add column Historical Volatility(30,1)
add column Historical Volatility(100,1)

add column relative strength(spy,30) > -1

set{ma100a,count(close > ma(100),1)}
ADD COLUMN ma100a {above ma100}

set{ma20a,count(close > ma(20),1)}
ADD COLUMN ma20a {above ma20}

set{20x, count (close crossing above ma(20) within the last week,1)}
add column 20x

and add column industry
and add column sector

draw ma(20)

General Discussion · New List of Indices Supported
msg #156036
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.

General Discussion · New List of Indices Supported
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
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...
msg #155932
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
msg #155904
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.

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

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

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

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...
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...
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.

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