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Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #113571
modified
5/21/2013 8:15:56 AM

Sorry to resurrect a dormant thread, but I decided to take a look at one specific stock that was caught by this filter and see if I could optimize the stop loss and limit values to maximize compounded weekly returns over the 6-month scan period. The stock is EVC, which was flagged before the open yesterday as having a high reward rating along with low risk, leading to a very high "performance" rating (38).

I took the open/close/high/low data and looked at the effects of modifying the 10% stop loss and 5% limit settings. It turns out FOR THIS STOCK that over the past 6 months, one could have done better by using a 9% stop loss along with an 8% sell limit. I assumed that a weekly low below the stop loss triggered the loss, which (I believe) is a more conservative approach than Kevin used in his backtesting. Here is a chart of the various weekly equity curves that came out of this analysis. Thoughts? Is this playing with fire?

OK, I need help posting a JPEG file. I tried the [IMG] code but that didn't work.

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #113603
5/22/2013 6:31:16 PM

Yeesh, this is barbaric. Let me try this:



Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #113604
modified
5/22/2013 6:39:26 PM

Now, see how a 9% stop loss and an 8% limit order outperformed the other settings for EVC over the last 6 months? If you look at the data, you'll see it causes more holds until close on Friday (where I assumed a sell), but most of those are profitable, anyway, and it turned out to be better to let the winners run all the way to an 8% limit as opposed to cutting them short at 5%.

Is this valid theory for a modification of the filter? I don't even know how one would do it, since it requires optimization of every instrument that is flagged.

By the way, EVC tripped my 5% limit and closed for a nice profit today. It would not have tripped an 8% limit, and worse, it fell off the cliff after I sold to close at over 12% below my purchase price, so I dodged a bullet there. A 7% limit would have worked, though, so I "left a little on the table".

Interesting strategy.

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #114501
7/17/2013 6:29:15 AM

Can someone tell me how to offset the date so I might find the best stocks to buy on (say) Tuesday open? Wednesday open? etc.?

I like this filter, but it often limits out Monday morning. If the math can be run for different starting days, I'd consider playing it again later in the week once a given trade is over.

Thanks . . .

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #114788
8/7/2013 2:37:06 PM

Any help with this question I posted a while back?


=====
Can someone tell me how to offset the date so I might find the best stocks to buy on (say) Tuesday open? Wednesday open? etc.?

I like this filter, but it often limits out Monday morning. If the math can be run for different starting days, I'd consider playing it again later in the week once a given trade is over.
=====


I have been having fantastic success with this filter. 100% hit rate, and I've even exceeded 5% gains some weeks by timing my entry instead of just jumping in at the open on Monday morning. (I am fully aware that this violates the spirit of the filter, and that I could be compromising performance. Carpe Diem, Caveat Emptor, Semper Ubi Sub Ubi, etc.)


Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #114791
8/7/2013 6:53:14 PM

I haven't dug through the code logic -- are you using weekly data (i.e. weekly open/close/high/low) or are you using daily data parsed in M-F chunks? If the former, then I agree the filter would be tough to write.

If the latter, then I guess it comes down to the ability to scan historical data in Tue-Mon batches.

Anyway, great filter, and much appreciated. It has made me a nice consistent return over the past couple of months.

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #115476
9/23/2013 8:21:24 AM

Can someone explain the results on this filter from this weekend, where DRYS showed a performance of "0.0" having had a 4-week reward:risk ratio of 4:0 and a 13-week ratio of 11:0? "Reward" was 2.85. Am I not understanding "performance"?

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #115480
9/23/2013 9:03:25 AM

What "should" DRYS performance be?

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #116270
10/26/2013 10:26:49 AM

Something interesting happened after trading this week: NEWL triggered both the long and short versions of this filter.

Long: Performance = 1.06 (Reward = 2.92, Risk = 2.77)
Short: Performance = 2.06 (Reward = 2.85, Risk = 1.38)

Filter Exchange · A SIMPLE MARKET TIMING FILTER
jimmyjazz
msg #115487
9/23/2013 3:50:25 PM

Can you explain the trade timing again? Are you suggesting a reversal into the other ETF on a red/green crossover? What was the last call (the cross was around 8/26)?

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