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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

Fetcher[
ema(5) crossed above ema(20)
count(MACD Histogram(12,26,9) crossed above 0,3) > 0
count(rsi(14) crosed above 50,3) > 0
close > 10
]



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.

Fetcher[
close < 1
close reached a new high 90 day high
count(close reached a new high 90 day high 1 day ago,90) equals 0

draw high 90 day high
]



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.

Fetcher[
symlist(GSAT)
set{var1,count(close reached a new high 90 day high,1)}
var1 > -1
draw high 90 day high
]




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?
    1. 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.


    Fetcher[
    set{buy1,count(RSI(2) < 1,1)}
    set{buy2,count(RSI(2) 1 day ago > 1,1)}
    set{buy3,count(close > 1,1)}
    set{buy4,count(volume > 2000000,1)}
    set{buy5,buy1 * buy2}
    set{buy6,buy5 * buy3}
    set{buy,buy6 * buy4}
    buy > 0

    set{exit,count(rsi(2) > 70,1)}
    exit > -1

    draw rsi(2)
    ]



    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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