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Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115495
9/23/2013 6:56:46 PM

Ah. OK, thanks. If I add "within the last 1 day" I get this -- make sense?

market is S&P 500

set{overbought,70}
set{upperNZ, 55}
set{lowerNZ, 45}
set{oversold, 30}

set{OB1, RSI(34) - overbought}
set{OS1, RSI(34) - oversold}
set{NZU1, RSI(34) - upperNZ}
set{NZL1, RSI(34) - lowerNZ}

set{OB2, OB1 /100}
set{OS2, OS1 / 100}
set{NZU2, NZU1 / 100}
set{NZL2, NZL1 / 100}

set{OB3, close * OB2}
set{OS3, close * OS2}
set{NZU3, close * NZU2}
set{NZL3, close * NZL2}

set{OB, close - OB3}
set{OS, close - OS3}
set{NZU, close - NZU3}
set{NZL, close - NZL3}

draw OB on plot price
draw OS on plot price
draw NZU on plot price
draw NZL on plot price

close crossed above NZU within the last 1 day
]



Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115488
9/23/2013 3:57:52 PM

OK, baby steps are being taken into the land of screening on SF. Where am I getting off in the weeds?

symlist(market is S&P 500)

set{overbought,70}
set{upperNZ, 55}
set{lowerNZ, 45}
set{oversold, 30}

set{OB1, RSI(34) - overbought}
set{OS1, RSI(34) - oversold}
set{NZU1, RSI(34) - upperNZ}
set{NZL1, RSI(34) - lowerNZ}

set{OB2, OB1 /100}
set{OS2, OS1 / 100}
set{NZU2, NZU1 / 100}
set{NZL2, NZL1 / 100}

set{OB3, close * OB2}
set{OS3, close * OS2}
set{NZU3, close * NZU2}
set{NZL3, close * NZL2}

set{OB, close - OB3}
set{OS, close - OS3}
set{NZU, close - NZU3}
set{NZL, close - NZL3}

draw OB on plot price
draw OS on plot price
draw NZU on plot price
draw NZL on plot price

Show stocks where close touched NZU from below


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)?

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 · Wilson Relative Price Channel
jimmyjazz
msg #115479
9/23/2013 9:02:34 AM

Sorry, not "scan" but "screen"; i.e., identifying those stocks that are crossing over into the upper territory, etc.

Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115478
9/23/2013 9:01:37 AM

Have any of you tried to convert this into a scan of all stocks on a given index, etc.?

Also, what platforms support Wilson Relative Price Channel? It doesn't appear that StockCharts or ProRealTime do. It's intriguing, to say the least.

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 #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 #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 #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 . . .

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