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General Discussion · Crossover Backtesting Study of 10/40 Weekly Plus More
saico
msg #103465
11/25/2011 11:35:50 AM

Dylan,

by waiting 15 days you mean after the cross you wait 15 days, then you enter the trade in the direction of the cross and if the ma's cross back you wait again to exit the position and enter the next trade into the new direction?

Thanks
Saico

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
saico
msg #102672
9/23/2011 6:46:44 AM

Hi Kevin, the filter posted on page 28 with a weekly rotation is the final edition for the moment, right?

Thanks
saico

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
saico
msg #102641
modified
9/21/2011 3:34:10 AM

A big plus of the system is, that it keeps you away from buying into broad market weakness when it gets really bad like in 2008 and during the 2 recent months. Good work Kevin!!!

General Discussion · Drawing R1 an S1 - need help
saico
msg #102573
9/8/2011 4:11:51 PM

Yes Kevin, regarding the gaps you're completely right of course. Thanks for that hint! But isnt possible to code a string that checks if there's a gap between the last day close and the open and if that open is below R1, or R2? Unfortunately SF is a bit limited here as much as I'm when it comes to serious coding ;-)

General Discussion · Drawing R1 an S1 - need help
saico
msg #102571
modified
9/8/2011 3:03:52 PM

tomm,

is it possible to have SF backtesting to buy at the current S1 and S2 levels and close positions at the open of the next day?

Thanks
saico

Filter Exchange · Kevin_in_GA -- would you repost a script?
saico
msg #102551
9/6/2011 8:54:33 AM

Hi Kevin,

I found a very promising script for WL with a solid track record. Do you think its possible to have this written as a SF script? Unfortunately I'm not that good in coding, but I think its worth the work.

Regards
saico

Here's the script.

var LOW1, BUYLIMITPRICE: float;
var LOW, WAGER, BAR, BAND: integer;
InstallProfitTarget (5);
Low := CreateSeries();
wager := 5000;

for Bar := 3 to BarCount() - 1 do
begin
Low1 := (PriceLow (bar) * 0.87);
SetSeriesValue(Bar, Low, Low1);
end;

Band := offsetSeries(low, -1);
PlotSeries( Band, 0, #red, 0 );

for Bar := 3 to BarCount() - 1 do
begin
if LastPositionActive() then
begin
{ Exit Trade }
ApplyAutoStops (bar);
If Bar + 1 - PositionEntryBar( LastPosition() ) > 2 then
SellAtMarket ( Bar + 1, LastPosition(), 'TIME Exit' );
end
else
begin
{Enter Trade}
BuyLimitPrice := ( GetSeriesValue(Bar, Low));
if ((PriceClose( Bar-1 ) < PriceOpen( Bar-1 ))
and (PriceClose( Bar ) < PriceOpen( Bar ))
and (PriceClose( Bar ) < PriceClose( Bar-1 ))
and (PriceOpen( Bar ) < PriceClose( Bar-1 )))
then
BuyAtLimit( Bar + 1, BuyLimitPrice, '');
end;
end;






Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
saico
msg #101865
modified
7/29/2011 4:50:41 PM

Kevin in my SF backtesting setup I have the following phrase to select stocks typed in: ''select by zscore16 ascending''. But when I run the backtest SF is still selecting stocks by the stock price starting from the highest to the lowest. Do you have any idea how to fix that?

Much thanks!
Saico

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
saico
msg #101380
6/28/2011 11:13:10 AM

Actually I dont know of any other hidden fees at IB except of a tiny fee for data, if you generate less than 10 USD in commissions per month. Beside of that there are no fees. The 10k are only to open an account. After that initial deposit you're allowed to withdraw 5k, or 6k and use the remaining for trading. However I think after the account falls below 2k it becomes subject to close, but not sure with that.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
saico
msg #101350
modified
6/25/2011 10:24:01 AM

knightvictor,

at Interactive Brokers I pay around 80 Cents per 100 shares per side. Do the math and you will see it works even with 2000 USD trading size very nicely.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
saico
msg #101300
6/20/2011 3:00:39 PM

Hi Kevin,

first of all thanks for the great work! I wonder if its possible to imply to the exit filter a code that gives an exit signal after the 20 days maximum holding time passed by?

saico

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