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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.

General Discussion · One thing I'd really like to see...
fotchstecker
msg #155700
modified
2/11/2021 8:58:36 AM

Thanks for commenting, Xarlor. I agree that the strategy itself dictates whether MOC, after-hours limits, or on next session make sense.

Have you found that after-hours orders are generally advantageous? I've wondered but never studied it. I did read a finance journal study once about the significance of overnight price change, so I might test it out.

I use a custom tool for orchestrating live orders based on filter CVSs. This exists because I need to assemble baskets and daily manual entry of these would take a long time. I can't recall but I think there might be a limit order capability in it. It was a long time since I developed and can't remember what I did with this last version. I mentioned this because I'm thinking aloud: I might be able to enter after-hours limit orders with it in the same way...





General Discussion · One thing I'd really like to see...
fotchstecker
msg #155661
modified
2/9/2021 1:38:51 PM

(...aside from real backtesting that is...)

I think there's a real problem with stockfetcher filter performance values (the Perf(%) column in the filter results tables).

The "performance" column is misleading. It uses the close price from signal day (or evening) as the basis of the performance percent-change going forward.

The problem is that if you judge the value of your filters based on eyeballing the PERF% column, you are using a datapoint that doesn't translate to the real world. Close data (and settled OHLC daily data) is after the fact. Prices are finalized after market close. You can't enter until the open the next day, which is a different datapoint. OPEN prices are almost invariably different from prior CLOSE prices, and this delta is hugely significant.

(You could do things like run filters intraday and try to buy at the end of the session, but you would be using unsettled data and likely incorrect symbols to buy. I've done this. It wasn't accurate at all because final prices changed the final filter results.)

------>You can't enter at a close price and therefore you can't expect to get the same price dynamics as the Perf(%) column is indicating. This is a BIG DEAL.

STOCKFETCHER!
What I'd like to see is a second default performance column based on the OPEN of the following day -- the time when you'd actually place real-world trades. I realize that this will require an extra day of data to generate, but it's MUCH CLOSER to what actual performance is like.

It can't be hard to add this and it is a much less misleading depiction of a given filter.

Filter Exchange · HULL MA 10/50 CROSS, PSAR, vortex, ad nauseum
fotchstecker
msg #155470
1/27/2021 5:30:07 PM

Graftonian, this is very helpful. I appreciate it much! Thank you.

Filter Exchange · HULL MA 10/50 CROSS, PSAR, vortex, ad nauseum
fotchstecker
msg #155465
1/27/2021 12:05:02 PM

Thanks, graftonian. For PSAR, does that mean you will exit on a green-to-red change (as in the colors of the PSAR as charted)?

I didn't understand what you mean by "last 3 significant periods" -- could you explain?

Filter Exchange · HULL MA 10/50 CROSS, PSAR, vortex, ad nauseum
fotchstecker
msg #155462
modified
1/27/2021 9:11:39 AM

Graftonian, I'm working on converting this to a strategy. My first question to you was about reducing the number of candidates. My second: What are your thoughts about how to create stoploss levels?

I have two that I'm testing:
1. An "EMA Ribbon" where the position is scaled-out in stages if price crosses below the 10, 20, and 30 EMAs.
2. Using the lowest value among the 30, 20, and 10 ATRs (in percent) as the stoploss in percent from the entry. The idea being that there are already range expansions in play and that a downside move at least as big as the largest recent average range move should draw a line.

However, neither of these really have anything to do with the indicators you use. Given your construction of the filter, what are your thoughts regarding where to draw a stopline on positions generated in the filter? Curious to hear your thoughts. Thanks!

Filter Exchange · HULL MA 10/50 CROSS, PSAR, vortex, ad nauseum
fotchstecker
msg #155443
modified
1/25/2021 9:14:37 PM

Impressive filter, Graftonian. Thanks.
I wonder: is there a way to rank or additionally filter the tickers that come through. Is there a way to get down to, say, 10 max candidates per day? (other than the obvious, like price ranges or similar.)

Filter Exchange · I have an idea, anyone wanna help?
fotchstecker
msg #155427
1/24/2021 6:27:22 PM

I don't think I could have written it like xarlor, but it's interesting especially because I have been thinking of point-based systems all weekend.

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