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Filter Exchange · BUYING THE DIP
tonyctl
msg #115950
10/15/2013 6:41:59 PM

This is a great idea! What should the exit filter look like if going by the square root of ROC?

Filter Exchange · BUYING THE DIP
tonyctl
msg #116369
10/31/2013 3:25:08 AM

I notice the system sometimes generates a pick and then a few days later generates the same pick again, usually at a lower price point (eg. YHOO and MYL). Given maximum number of positions held hasn't been reached and no exit trigger generated, would "doubling down" when the stock is picked the second time be the right thing to do if one is to follow the system completely?

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
tonyctl
msg #114907
8/16/2013 3:57:11 AM

New to SF here and would like to know when I am backtesting this system and have Max. trades per day set to 2, will the backtest automatically select the first 2 stocks with the lowest Z scores to purchase? Also, does max. trades per day mean max number of purchases in one day or combined buy and sell orders?

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
tonyctl
msg #114922
8/16/2013 1:00:38 PM

This is excellent info guys, thanks! Pardon my stupidity, but where is the selection method box you are referring to, Kevin? I can't seem to find it in the Backtesting settings. Also, I have tried replacing SPX with IXIC and generated rather interesting results :)

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
tonyctl
msg #114925
8/16/2013 3:31:14 PM

NVM, just found it, thanks!

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
tonyctl
msg #114926
8/16/2013 3:38:12 PM

"/*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/
SET{PRICERATIO, CLOSE / IND(^SPX,CLOSE)}
SET{RATIOMA16, CMA(PRICERATIO,16)}
SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)}
SET{DIFF16, PRICERATIO - RATIOMA16}
SET{ZSCORE16, DIFF16 / RATIOSTD16}
SET{THRESHOLD16, RATIOSTD16 * 2}

zscore16 above -1

select by zscore16 ascending "

But shouldn't it say:

zscore16 below -2

select by zscore ascending

for selection criteria when entering a stock? I thought zscore above -1 is an exit criteria?

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
tonyctl
msg #114929
8/16/2013 3:55:03 PM

Thanks Kevin for clarifying. Would you recommend applying this filter as is to the Nasdaq index? I tried backtesting as an experiment, and added a Global filter of volume > 100000 to exclude stocks that are not very liquid and the results came out even better than S&P. Would optimization by stratasys be required once again since it is a different index we're applying it to? Thanks.

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