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General Discussion · Day Trading 101: Tips, Tricks, and Techniques
slotmarket
msg #62446
5/9/2008 7:35:01 PM

grunt,
That was a lot of work you put into the blow by blow of the AAPL trade. Just want you to know your efforts are appreciated.

General Discussion · I trade just one stock, TRO-style
slotmarket
msg #62233
5/6/2008 1:58:25 PM

Ask and you shall receive, enjoy.

Fetcher[
show stocks where count(RSI(2) 2 day ago below 10,60) is above 0
and RSI(2) is above 90
and average volume(10) above 250000
and close one day ago more than 10% above close 2 day ago
and close more then 5% above close 1 day ago
and 60 day slope of close is below 0
and close above 0.99
and market is not OTCBB
]



As far as deciding when to enter the trade, I found that as soon as it goes red is a nice and simple strategy (ala Muddy). I call it the Dummy entry because it requires no other decisions to be made and it has served this dumb trader well. Yesterday, MESA was picture perfect, once it dropped below previous day's close it never looked back and stayed red to the end.

When to exit the trade? Maybe the more experienced traders can share their exit strategies to educate dummy traders like me.

General Discussion · I trade just one stock, TRO-style
slotmarket
msg #62180
5/5/2008 6:57:48 PM

miketranz,
Would you believe yes and this filter produced MESA as a short for today?
It's stockmonster's Crash filter which is the inverse of his Rocket filter.
The code is on his blog and mine also.

General Discussion · FREE GIFTS
slotmarket
msg #61748
4/23/2008 4:43:24 PM

Hey TRO , this last one from from instanprofitstoday.com has some good stuff in it. I especially like p.10 to 14 where he talks about the realities of buy and hold.
I strongly recommend any long term investor look at those 5 pages. Investors may want to rethink their long term strategy to avoid the large draw down periods which will occur in the future just as surely as they have occurred in the past.

Thanx for sharing, TRO.

PS. My post is not to advocate whatever that guy is selling.

General Discussion · To verify Robert Colby's test of moving avg. beats buy&hope
slotmarket
msg #60497
3/14/2008 2:45:02 PM

Niko,
Thanks for you help. We're getting closer, almost there.

I ran a backtest with your filter using ema(200) just so that it will return fewer data point to look at, to test the validity of the backtest output.

Looking a chart of the dow index, it crossed above the ema200 on July 24, 2006 and did not close below until well into 2007. But the backtest returned an exit on Nov. 6, 2006. Is there some kind of bug in the backtest program? The other data points appear to be correct.

Here's the exact filter I used and the backtest data is below:

apply to symlist(DIA)
set{Over,count(ind(^DJI,close) crossed above ind(^DJI,EMA(200)),1)}
Over above 0

Symbol Trigger Date Entry Price Exit Date Exit Price Draw Down Max Profit Gain/
Loss 2 day chg 5 day chg 10 day chg 25 day chg 40 day chg Exit Type
DIA 06/15/2006 109.92 06/19/2006 110.30 -0.19% 0.42% 0.35% -0.68% 0.25% 1.71% -1.24% 1.03% TRIGGER
DIA 06/28/2006 110.23 07/13/2006 109.76 -0.23% 2.11% -0.43% 1.42% 1.78% -1.75% 2.14% 2.33% TRIGGER
DIA 07/19/2006 110.30 07/21/2006 109.60 -0.96% 0.14% -0.63% -1.58% 0.55% 1.52% 2.55% 4.72% TRIGGER
DIA 07/24/2006 110.27 11/06/2006 120.06 -0.34% 10.23% 8.88% 0.58% 1.48% 1.88% 2.87% 4.60% TRIGGER
DIA 08/17/2007 130.96 08/21/2007 130.82 -0.96% 0.57% -0.11% -0.21% 2.05% 1.86% 5.03% 6.92% TRIGGER
DIA 11/13/2007 133.96 11/15/2007 132.16 -1.28% 0.02% -1.34% -1.86% -2.71% -0.84% -1.26% -5.80% TRIGGER
DIA 11/28/2007 132.49 12/18/2007 132.67 -0.60% 4.08% 0.14% 1.26% 1.48% 1.89% -3.26% -6.76% TRIGGER
DIA 12/18/2007 132.51 12/20/2007 132.81 -0.70% 0.46% 0.23% 0.15% 2.20% -1.34% -7.79% -6.93% TRIGGER
DIA 12/20/2007 133.40 12/28/2007 134.22 -0.07% 1.57% 0.61% 1.43% 0.01% -4.00% -6.64% -6.98% TRIGGER

General Discussion · To verify Robert Colby's test of moving avg. beats buy&hope
slotmarket
msg #60481
3/14/2008 12:22:04 AM

chetron,

Your filter returned a list of 1494 stocks. Not what I'm trying to do.

The test I'm trying to do is simply buy the index, the Dow, when the price moves above the moving average and sell when price moves below the ma. And see if it beats buy and hold.

I've tried creating a watch list named DJ with only ^DJI in it and running the test on it only.

price closed above MA(200)
and apply to watchlist(DJ)


In a one year test from 3/12/2007 to 3/12/2008, it only returned something from 3/12/07 to 3/20/07. It should not have returned anything because the dow did not crossed the 200ma in those nine days. Something is wrong here.

I don't know where the problem is. Am I writing the wrong filter? Or am I setting the exit trigger incorrectly?

General Discussion · To verify Robert Colby's test of moving avg. beats buy&hope
slotmarket
msg #60469
3/13/2008 1:49:16 PM

In Colby's book The Encyclopedia of Technical Market Indicators he presented backtest data from 1900 to 2001 totally 102 years. All moving averages crossover beat buy and hope by more than 7 to 1.
"The 5-Day Exponential Moving Average (EMA) crossover is the best simple trend-following indicator we tested against daily DJIA daily closing data from 1900 to 2001. Starting with $100 and reinvesting profits, total net profits for this 5-day EMA Crossover Strategy would have been $16 billion"

I'm trying to verify some of this using the backtester here but must of done it wrong, returning no results.

The filter used is
ind(^DJI)
price closed above MA(5)

Exit trigger is price closed below MA(5)
No stops used and no min or max holding days
Entry and exit price set at Open
Max trades per day 1
Max open position 1
Max selected stocks 1

What am I doing wrong?





General Discussion · hey rump
slotmarket
msg #54049
8/14/2007 12:37:57 AM

TRO,
The BOB stands for blow off bottom. Marlyn traded off that quite often.

Yes he was a very good read, gonna miss him dearly.

General Discussion · hey rump
slotmarket
msg #53921
8/9/2007 2:02:47 AM

The guy's name is Marlyn not some gal name Marilyn and too bad he stopped blogging over a month ago. Yes, he was a good teacher and lucky for us he left his blog up for us to learn from. New stockfetcher users can see how one goes about writing filters then tweaking them for better results. http://filteringwallstreet.blogspot.com/

General Discussion · Filtering Watchlists
slotmarket
msg #53290
7/20/2007 1:20:29 AM

I believe you got it right.

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