StockFetcher Forums · View by Author: mahkoh (1,059 messages) ·  [ Display By: Date / Subject ]<< 1 2 3 4 5 ... 106 >> 
Stock Picks and Trading · KSK8 Questions on The Most Profitable Thread on Stockfetcher
mahkoh
msg #148301
6/29/2019 11:50:00 AM

I was testing the filter you posted on the holy grail thread using reversersi(2) as alternative exit for covering at the close. Backtesting and optimization were done with Stratasearch. I don't remember the exact filter, but it was rather basic, something like close>2 and roc(2)> 30 and your liquidity criteria. It returned some 1200 trades over a 3 year period with a 185 % compounded annual return. I did trade this for a few months using $500 positions to see whether I would get filled. I was actually surprised that more often than not I was able to get a hold of shares to short at IB. Results were not as stellar as the backtest however, and I noticed many trades reversing during the session to end up a loss.
Further testing and adding criteria I found a few things: high average volume decreases the chance of succes and volume should at least be 10 times average volume(30). And it helps if a significant part of the float was traded.
During the first testperiod I usually got somewhere between 5 and 15 candidates. I would set up orders for the top ten and see which would get a fill. Now I pick no more than 2, but the last few trades IB has not been able to find shares.

Anyway, my filter as of now:
Fetcher[

chartlength 100 weeks

set{x14,1000/close}
set{x13,round(x14,1)}
add column x13{shares}set{liq,volume * price}
liq > 1000000
close between 1 and 9
set{aaa1,count(roc(2,1) > 20,1)}
set{aaa2,count(rsi(2) > 95,1)}
set{aaa3,count(close is 10% below high,1)}
set{aaa4,aaa3 * aaa2}
set{aaa5,aaa4 + aaa1}
aaa5 > 0
set{bv,count(close above close 1 day ago,5)}

add column rsi(2)
set{x,high - close}
set{x11,x/high}
add column average volume(30) 1 day ago > 3000
not otc/bb
set{x1,x11 * 100}
add column x1{drop}
add column drop
set{yy1,volume / average volume(30)}
set{yy2,volume / average volume(90)}
add column yy1{relvol30}
add column yy2{relvol90}
add column bv{updays5}
do not draw liq
add column roc(5,1)
set{float2,shares outstanding * 10000}
set{float1,volume / float2}
add column float1{% of float}

sort column 9 descending
draw price line at close
]



Stock Picks and Trading · KSK8 Questions on The Most Profitable Thread on Stockfetcher
mahkoh
msg #148268
6/24/2019 6:40:08 PM

Funny, when backtesting your strategy I had also looked at a Reversersi value for additional exit. In my tests Reversersi(2,50) came out as optimal profit target.

Filter Exchange · Help!! How would you code this:
mahkoh
msg #148204
6/19/2019 5:26:11 PM

Fetcher[
sp500
ma(5) above ma(5) 1 day ago
cma(ma(5),5) below cma(ma(5),5) 1 day ago
]



Stock Picks and Trading · KSK8 Questions on The Most Profitable Thread on Stockfetcher
mahkoh
msg #148190
6/18/2019 1:48:06 PM

KSK, good work on VISL. What do you use as a guide in deciding to exit? Level2, S/R, volume?

Stock Picks and Trading · Follow The Money (Options)
mahkoh
msg #148134
6/12/2019 6:14:26 PM

Unfortunately market chameleon has become pretty useless without a subscription.

Stock Picks and Trading · KSK8 Questions on The Most Profitable Thread on Stockfetcher
mahkoh
msg #148114
6/11/2019 2:20:46 PM

VUZI well done, currently up 24% from open. IB couldn't locate shares to short this morning.

Stock Picks and Trading · Intraday Alerts
mahkoh
msg #148068
6/6/2019 6:27:45 PM

Over 12000 posts.. thanks and good luck!

Filter Exchange · Almost got my TMF filter working but need one more thing fixed. Help please.
mahkoh
msg #148053
6/5/2019 3:03:03 PM

I think you should use:

/* Calculate Highest High (HH) and Lowest Low (LL)
LL = minimum(current low or previous close)
HH = maximum(current High or previous close) */
set{LL, min(low, close 1 day ago)}
set{HH, max(high, close 1 day ago)}

You don't want to use R1 as variable name, that is already hardcoded to pivot r1:

/* calculate Range = (Close - LL) / (HH - LL) * 2 - 1 ) */
set{RB1, Close - LL}
set{RB2, HH - LL}
set{RB3, RB1 / RB2}
set{RB4, RB3 * 2}
set{RB5, RB4 - 1} /* R5 = Range */

/* Calculate Range Volume
RangeV = EMA (Volume * Range) */
set{range1, volume * RB5}
set{rangeV, CEMA(range1,21)}

So this is what I get, I have to leave out the last line to not run in economy class restrictions
Fetcher[
/* Twiggs Money Flow indicator was developed by Colin Twiggs for incrediblecharts to improve Chaikin Money Flow (CMF). The main idea behind the TMF indicator is to evaluate volume (money flow) as bullish or as bearish based on a close price location. Chaikin Money Flow uses CLV (Close Location Value) to do it. Twigs Money Flow, on the other hand, uses TR (True Range). Another main difference is that CMF uses cumulative volume (sum of volumes over specified period) and the TMF applies Moving average to the volume. */

not etf
not otcbb
close > 1
optionable


/* Calculate Highest High (HH) and Lowest Low (LL)
LL = minimum(current low or previous close)
HH = maximum(current High or previous close) */
set{LL, min(low, close 1 day ago)}
set{HH, max(high, close 1 day ago)}

/* calculate Range = (Close - LL) / (HH - LL) * 2 - 1 ) */
set{RB1, Close - LL}
set{RB2, HH - LL}
set{RB3, RB1 / RB2}
set{RB4, RB3 * 2}
set{RB5, RB4 - 1} /* R5 = Range */

/* Calculate Range Volume
RangeV = EMA (Volume * Range) */
set{range1, volume * RB5}
set{rangeV, CEMA(range1,21)}

/* Calculate TMF = RangeV / EMA(Volume) * 100 */
set{tmf1, cEMA(volume,21)}
set{tmf2, tmf1 * 100}
set{tmf, rangeV / tmf2}
add column tmf

/* so this next line is where Im trying to limit the number of stocks and isnt working right */
tmf crossed above 0.001

draw CEMA(tmf,21) line at 0
draw ema(13)

/* (Apply EMA to TMF as second signal line) TMF Signal Line = EMA(TMF) */
set{tmfsignal, CEMA(tmf,21)}

/* and this next line is a further limit that isnt working right either */

]



Stock Picks and Trading · KSK8 Questions on The Most Profitable Thread on Stockfetcher
mahkoh
msg #148046
6/5/2019 1:35:14 AM

WORX.. apperars to be an earnings related move. No go?

Stock Picks and Trading · KSK8 Questions on The Most Profitable Thread on Stockfetcher
mahkoh
msg #147990
5/31/2019 3:59:08 PM

Well, must have been an exiting ride so far.

StockFetcher Forums ·  · << 1 2 3 4 5 ... 106 >>

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2018 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus