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Filter Exchange · EMA Crossover scan
msg #98027
12/16/2010 9:04:49 AM

Lou that is awesome. Did you use it on the crossover scan or swing scan?

Could explain how to use the regression exit?

Filter Exchange · EMA Crossover scan
msg #98017
12/15/2010 10:55:59 PM

I took a "sideways" period from 12/29/06 thru 3/30/2007. The SPY's ROI was -1% this scan was + 23% ROI

Win percent was 51% but 28% trades were left open. Meaning there weren't stopped for profit or loss. Reviewing the open positions, I noticed most were low beta. So you would want to be higher beta stocks during sideways action.

max drawdown avg was -2.63
Max profit 3.02

I have been using the 5%KD3 %D5 stochastic for short term trades. For longer you could use MACD histogram.

But this is not the scan I would use during a flat period, I would use more of swing trading scan. This one I used the same flat period as above. The Spy ROI was -1 this was +70%. Max drawdown -2.45% Mas avg profit was 4.13%. Win 58%. For trading this scan, I would use 3% stop and buying the stock at the end of the day. Exiting the trade, I would use the 5%KD3 %D5 cross as my exit or % profit with a trailing stop. Here is the scan.

Fetcher[Williams %R(14) is below -80 and Williams %R is rising the last 1 day
and daily volume is above 1000000 and price is above 4
and RSI(14) is below 40
and MFI(14) is rising the last 1 day
and RSI(14) is rising the last 1 day
and add column Beta {Beta}
volume < volume 1 day ago


Filter Exchange · EMA Crossover scan
msg #98014
12/15/2010 6:21:24 PM

Yes that blog is amazing, I took her idea and improved it a tiny bit.

During the same time frame I was able to acquire a 84% win rate with max draw down of under 1.5%.

Marlyn's filter had 67% win rate with max draw down of 2.5%.

Either way you look at it both filter are pretty amazing.

Filter Exchange · EMA Crossover scan
msg #97957
12/11/2010 12:45:20 PM

I'm sure some one has done this before but just wanted to share an simple winning scan.

Fetcher[ show stocks where close is between 10 and 50
and average volume(90) > 500000
and open < ema(21)
and open < ema(8)
and open < ema(4)
and close > ema(21)
and close > ema(4)
and close > ema(8)
and close > open
and close 3 days ago < ema(21)
and close 5 days ago < close 3 days ago
and close 5 days ago < ema(90)
and add column atr(10)
and sort on column 5 ascending
and MACD Fast Line(12,26,9) is above the MACD Slow Line(12,26,9)
draw resistance(45,15,2)
draw resistance(65,10)
draw support(65,10,1)
draw support(45,15,2)
add column slope of EMA(90)
add column slope of weekly MA(9)
and Slow Stochastic(10) Fast %K is below 75
and beta above 1
and add column Beta {Beta}

Buy it before close as long as the price is still above the upper moving average. I set my stops below the buy days low.

Name Created Start
Date End
Date Win(%) Lose(%) W/L
Ratio Reward/
Risk ROI(%) Options
Cross daily 12/8/2010 10/1/2010 12/8/2010 84% 16% 5.40:1 7.01 209.58%

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