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General Discussion · EDGERATER discussion

xarlor
msg #155340
modified

1/17/2021 9:55:28 AM

Okay, it's actually comforting knowing the strategy was doing great up until a Black Swan event.

Looking at UAL and going off what you said, seems a simple check is in order. If you're willing to take this further, let's just add a very basic uptrend indicator as a go/no-go entry:

low > ma(200)

P.S. - How did the strategy end with negative equity? No margin was to be used and trades only taken with available capital. The worst the strategy should theoretically end at is $0.

Filter Exchange · Anyone willing to help build filter.

xarlor
msg #155335

1/16/2021 10:40:59 PM

General Discussion · EDGERATER discussion

xarlor
msg #155331

1/15/2021 8:31:33 PM

Yikes. Well I guess that answers that. I'm going to have to learn Edgewater so I can tweak the rules. Thank you again for indulging my curiosity, nibor.

General Discussion · Is this possible ma(200) on 15min?

xarlor
msg #155330

1/15/2021 8:23:33 PM

Nope, all indicators return in either daily or weekly formats. Nothing else.

Filter Exchange · Bottom Breakout Filter Help

xarlor
msg #155300

1/13/2021 9:10:00 PM

My argument still stands. It would have to have reached a 90-day high in its history at some point. How far back is long enough? In this filter, I said no new 90-day highs in last 90 days. You can change to suit your needs.

General Discussion · EDGERATER discussion

xarlor
msg #155297

1/13/2021 6:06:34 PM

Well, that was a fail on my part. My zero key must have gotten stuck because I certainly didn't mean 200 million but 2 million in volume. Sorry!

Filter Exchange · Bottom Breakout Filter Help

xarlor
msg #155296

1/13/2021 5:58:53 PM

Did not reach a 90-day high previously? You'll have to clarify what you mean there.

Your example, GSAT, reached a 90-day high 1 day ago, 3 days ago, 5 days ago, 13 days ago, and 14 days ago which contradicts your requirement.

General Discussion · EDGERATER discussion

xarlor
msg #155288

1/12/2021 9:10:37 PM

	All Trades	Winners	Losers	Neutral
Trade Count %	100%	63.85%	35.97%	0.18%

General Discussion · EDGERATER discussion

xarlor
msg #155283

1/12/2021 6:23:56 PM

nibor, thank you so much for running this. Rest assured I would/will learn Edgewater's coding if I had time. I just don't right now nor will I at least until this summer. That is why I appreciate you running it for me to see the output of the software. I'm convinced it's something I want to get into for sure now.

If you want to play around with it, I do have a few edits.

RSI(2) trading is imperative that you enter at the close of the signal, not the open next day. It rather defeats the purpose of the strategy as the next day has a good chance of opening higher.

Similarly, you have to close the position at the close of the exit signal

Open the universe of stocks to all except ETFs, so long as > $1 and volume above 200,000,000.

Can you run the backtest with these capital settings?

Starting with $100K, 2% NLV per trade (account value), no duplicates allowed, trade using available equity (no margin)

Cheese, based on Kelly as I understand it, I am getting 12.5% of capital per trade.

General Discussion · EDGERATER discussion

xarlor
msg #155236

1/9/2021 12:07:33 PM

Would like to see backtest results on this simple RSI(2) oversold filter.

General rules:
Enter when RSI(2) < 1 today but not yesterday
Exit when RSI(2) > 70
No stop loss
stocks above $1 and at least 2 million in volume.

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