HOW TO DESIGN A SYSTEM (NOT JUST A FILTER) - StockFetcher.com Stock Screener

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abhikat 3 posts msg #104652 - Ignore abhikat	1/27/2012 9:51:39 AM There was an EOD signal for PCP (closed at 166.3, trading at 163.7 now).
sohailmithani 192 posts msg #104653 - Ignore sohailmithani	1/27/2012 10:15:22 AM when did u get PCP buy trigger? Pls confirm as I do not have it
abhikat 3 posts msg #104655 - Ignore abhikat	1/27/2012 11:34:52 AM Using the filter on page 1 of this thread. I just checked it again (with 'use offset 1') and saw PCP and VZ. Am I using the wrong version of the filter?
mahkoh 1,065 posts msg #104657 - Ignore mahkoh	1/27/2012 12:01:39 PM Intraday buy AEP at 40.00
sohailmithani 192 posts msg #104661 - Ignore sohailmithani	1/27/2012 1:54:25 PM abhikat my mistake u r right? PCP was there
mahkoh 1,065 posts msg #104663 - Ignore mahkoh modified	1/27/2012 2:10:47 PM Intraday buy RHI at 26.97, currently trading at 27.28 and CB at 67.15, now at 67.05 OKE 85.49, now at 85.12
Kevin_in_GA 4,599 posts msg #104676 - Ignore Kevin_in_GA	1/27/2012 9:11:21 PM End of Day signals for both AEP and OKE.
mahkoh 1,065 posts msg #104722 - Ignore mahkoh modified	1/30/2012 10:52:57 AM As I have decided to try and take this filter outside the S&P 500 it will not make much sense to update on filter hits here. I have the impression that the best performers in the filter tend to have a strong correlation with SPY while underperformers generally show lower correlation. Therefore I adjusted the filter to look outside the S&P 500 for stocks that have strong correlation with SPY, thus putting more emphasis on correlation rather than just being part of the index. The filter I will be trying is Fetcher[ and average volume(30) above 250000 price above 4 /FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS/ SET{PRICERATIO, CLOSE / IND(SPY,CLOSE)} SET{RATIOMA16, CMA(PRICERATIO,16)} SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)} SET{DIFF16, PRICERATIO - RATIOMA16} SET{ZSCORE16, DIFF16 / RATIOSTD16} SET{THRESHOLD16, RATIOSTD16 * 2} /NEXT, SET CRITERIA NECESSARY TO TRIGGER A PAIR TRADE/ SET{UPPERBAND16, RATIOMA16 + THRESHOLD16} SET{LOWERBAND16, RATIOMA16 - THRESHOLD16} ZSCORE16 BELOW -1.5 set{lobb, LOWER BOLLINGER BAND(16,2)} set{lobb1,close - lobb} set {lowerbandperc1,lobb1/close} set{lowerbandperc,lowerbandperc1100} draw ma(200) draw ma(50) draw ma (20) DRAW LOWERBAND16 ON PLOT PRICERATIO DRAW UPPERBAND16 ON PLOT PRICERATIO DRAW BOLLINGER BANDS(16,2) add column lobb add column score ADD COLUMN ZSCORE16 {Z-score} add column lowerbandperc ADD COLUMN WILLIAMS %R(16) add column separator set{aa,count(lowerbandperc below 0,1)} set{bb,count(Williams %R(16) below -94,1)} set{cc,count(zscore16 below -2,1)} set{aa1,aa + bb} set{score,aa1 + cc} add column separator DRAW ZSCORE16 LINE AT -1 DRAW ZSCORE16 LINE AT -2 DRAW ZSCORE16 LINE AT 0 SORT ON COLUMN 6 DESCENDING CHART-TIME IS 6 MONTHS set{p, close - ma(200)} set{above200, p/ma(200)} set{%above200,above200100} add column %above200 price above ma(200) add column corr(SPY,90,Close) corr(SPY,90,close) above 0.85 score above 0.5 ] Score column tells you how many of the 3 original requirements(zscore below -2, below Bbands and W%R below 94) are met.
novacane32000 331 posts msg #104723 - Ignore novacane32000 modified	1/30/2012 11:07:46 AM Mahkoh I have taken this filter beyond the SP500 and after trying several possibilities found this one to work best over the long run market capitalization is above 1000 and price is above 10 and volume is above 200000 I am curious to backtest your filter with the SP correlation built in.
mahkoh 1,065 posts msg #104726 - Ignore mahkoh	1/30/2012 11:42:47 AM Novocane, you're very welcome to backtest. The filter has been tried outside the S&P before but that did not improve results (and it had not been optimised that way)

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)

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