StockFetcher Forums · Filter Exchange · Simple Bullish Swing Trade Momentum Filters<< 1 2 >>Post Follow-up
Lapre506
45 posts
msg #140626
Ignore Lapre506
1/3/2018 2:24:41 PM

So I have a few nice easy simple swing trade filters to share with the other newbies on here. Nothing complicated at all. I'm sure the seasoned members here could do it way better I sure welcome any and all input to try and improve the results so please feel free.
Also I am in no way claiming to be a competent trader. I'm just a newbie who put a ton of time into learning different strategies, paper trading, trial and error, and have had my share of losses. I'm not playing with a ton of capital so I'm bound by the PDT rules and forced to swing trade. I only started getting profitable a few months ago, and my total capital is only up 8% from where I started at this point.

I dabbled with RSI2 and Connors RSI, pullbacks to EMA(20), "traders zone" and the like. I bought all of Connors ebooks and crushed a ton of other swing trading ebooks on Amazon Kindle. And for the most part RSI2 < 2 is a solid safe trading strategy. Problem is sometimes you're stuck waiting days on end for them to bounce back and be profitable. And this didn't fit my impatient trading style. I like to buy, hold overnight and immediately see profit the next day or at most within 3 days. I'm happy with 1-3% gains on a position and I don't expect much more then that on such short holds. So I've toiled over and over and tweaked and tweaked filters til I found a few strategies that fit my trading style. So if you're like me bullheaded, impatient, and looking to get instant returns take a good look at these.
Now for the stategy which is simple...
So with RSI2 < 2 you buy stocks that are severely oversold and you sit on them and wait til they finally come back to life and they usually do. What I tried to accomplish is eliminating the wait so all these filters are setup to look for the same thing... stocks that had a nasty sell off but have started making a nice comeback. And when something hits it's usually just about to pop. I tried to accomplish this in numerous different ways while keeping risk and drawdown to a minimum.
Now a bit about my backtesting. I backtest manually.. in an excel spreadsheet. It's crude but I haven't figured out a better way. So for now this is what I do. My filters are designed to give very few plays to cut down on the data entry.. and I've tried to widdle them so the ones they give are almost.. "almost" guaranteed to be in profit within 3 days. I also tried to reduce drawdown as much possible because mentally I do not handle being down in a position very well.

- The backtest criteria-
- Two highest profit positions were deleted to help temper the results
- Backtest was performed from 3 days ago back too at least 11/1/17
- Buy was made at the close price the night the stock showed up on the filter
- Drawdown was based on the 3 day low after the night it hit the filter
- P/L is based on the highest close price in a 3 day timeframe (not exclusively the third day)
- Backtest was done with a 10% stop loss


Filters are posted in the order of best drawdown/profit ratio:

RSI2/Qstick
Fetcher[market is not otcbb
close is above 1

Average Volume(30)> 100000
RSI(2) was below 3 within the last 4 days
Qstick(5) > Qstick(5) 1 day ago
shares outstanding > 50
Add column rsi(2)
add column market cap
add column shares outstanding
add column sector
and add column dividend yield
add column dividend
add column since dividend {Last Ex-Div}
add column sector

DRAW FIBONACCI UP(65)
DRAW FIBONACCI DOWN(65)
]



Backtest Results:
Average Prof: 2.38%
Avg Drawdown: 1.60%
Plays since 11/1: 90
Plays ending in loss: 10

RSI(14)
Fetcher[market is not otcbb
market is not etf
close above 1
close is above ma(200)
Average Volume(30) > 250000
close was at a 10 day low within the last 4 days
RSI(14) crossed above 30 today
volume > volume 1 day ago
add column rsi(14)
add column market cap
add column shares outstanding

and add column dividend yield
add column dividend
add column since dividend {Last Ex-Div}

DRAW FIBONACCI UP(65)
DRAW FIBONACCI DOWN(65)
]



Backtest Results:
Average Prof: 1.95%
Avg Drawdown: 1.30%
Plays since 11/1: 57
Plays ending in loss: 8

Qstick(5)
Fetcher[Market is not otcbb
Market is not etf
show stocks where the 20 day slope of the QStick(5) is above 0
close is above 1
Average Volume(30) > 250000
close is above MA(200)
close was at a 10 day low within the last 4 days
RSI(2) crossed above 70 today
RSI(2) is below 80
OBV(20) crossed above Average OBV(20)
day change is below 5
add column RSI(2)
add column market cap
add column shares outstanding
sort column 5 ascending
add column sector
add column market cap
and add column dividend yield
add column dividend
add column since dividend {Last Ex-Div}

DRAW FIBONACCI UP(65)
DRAW FIBONACCI DOWN(65)
]



Backtest Results:
Average Prof: 1.85%
Avg Drawdown: 1.56%
Plays since 11/1: 77
Plays ending in loss: 13

Momentum(50)
Fetcher[Market is not otcbb
Market is not etf
show stocks where momentum(50) crossed above 0 today
close is above 1
Average Volume(30) > 250000
volume 10% > Average Volume(30)
close was at a 10 day low within the last 10 days
RSI(2) below 70
day change above 0
day change is below 5
shares outstanding above 50
add column RSI(2)
add column RSI(14)
add column market cap
ADD COLUMN SHARES OUTSTANDING
sort column 5 ascending
add column sector
add column market cap
and add column dividend yield
add column dividend
add column since dividend {Last Ex-Div}
DRAW FIBONACCI UP(65)
DRAW FIBONACCI DOWN(65)
]



Backtest Results:
Average Prof: 1.67%
Avg Drawdown: 1.42%
Plays since 11/1: 73
Plays ending in loss: 15


jimvin
134 posts
msg #141058
Ignore jimvin
1/16/2018 9:47:32 PM

None match my style, but thanks - .

miketranz
767 posts
msg #141120
Ignore miketranz
1/18/2018 8:00:50 AM

Lapre,Connors ran a test between 1989-2003 on Nasdaq stocks making 10 day lows/above the 200 day MA.What he concluded was that 67% of the time,1 week hold,the trade was profitable.I was wondering if those percentages hold true in todays market.Thanks,Miketranz...

nibor100
395 posts
msg #141127
Ignore nibor100
1/18/2018 10:03:06 AM

@Lapre506,

a. Does your "Plays since" statistics count the deleted 2 highest Profit trades or not?

b. All of your stats indicate 11/1 as a start date but your description paragraph has the phrase "at least 11/1/17", does that mean you have older backtest data not shown in this post?

c. To calculate your Avg Drawdown are you first taking the difference between the 3 day low and your Buy price based on the Close, or are you taking the difference between the 3 day low and the highest close price in a 3 day timeframe, before you sum up the differences up and average them?

d. Am I correct to assume that your "Plays ending in loss" statistic is not the total number of trades that hit your 10% Stop Loss?

Thanks,
Ed S.



Lapre506
45 posts
msg #141151
Ignore Lapre506
1/18/2018 8:28:29 PM

@Miketranz
Lapre,Connors ran a test between 1989-2003 on Nasdaq stocks making 10 day lows/above the 200 day MA.What he concluded was that 67% of the time,1 week hold,the trade was profitable.I was wondering if those percentages hold true in todays market.Thanks,Miketranz...

I don't know the answer because I really don't have the patience for 10 day holds. 3 days is really pushing it for me. One of the Ebooks I have of his called "Short term trading strategies that work" that he wrote with Cesar Alvarez he ran backtesting from 1995-2007. He also updated his RSI2 strategies including an S&P500 and Cumulative RSI strategies. He claims in the Ebook these were hitting 88% and 85% correct trades in profit after a week hold.

There's no doubt RSI2 < 2 pays off eventually I just don't have the patience for that sort of trading
If you or anyone else would like to review the Ebook shoot me an email Lapre506@gmail.com and I'll send it along. Even if you don't like his style of trading it's worth the read. He has interesting strategies.

Lapre506
45 posts
msg #141152
Ignore Lapre506
1/18/2018 8:43:07 PM


@nibor
A) No they were deleted off the spreadsheet completely so they didn't count as a "plays since"
B) Yes I believe the Qstick(5) filter I backtested back into mid October
C) the drawdown percentage was calculated as my buy price being the close on the day the position showed up on the filter minus the absolute low over the next 3 days, not the lowest close. Then just an average across those numbers because I basically wanted to figure how much of a stop loss was optimal on these to keep me in a majority of them but mitigating risk.
D) correct. If the 3 day high close was in the negative it counted as a play ending in loss

ron22
147 posts
msg #141196
Ignore ron22
1/20/2018 2:25:07 PM

Lapre, You previously posted back test results for 11/1 thru 1/3/18. If possible, could you please post back test results for 1/4/18 to 1/20/18? Thank you for posting the swing filters and for reading this request. Good Trading in 2018. Ron22

ron22
147 posts
msg #141200
Ignore ron22
1/20/2018 4:12:32 PM

Lapre, RSI2/Qstick looks very interesting. What do you use for your exit trigger? Thanks Ron

Lapre506
45 posts
msg #141275
Ignore Lapre506
1/23/2018 7:13:53 AM

Hey Ron,

Yes I can update these and see how they are performing in 2018 so far. When I buy something off these I typically use a manual trailing stop as an exit. As I said I'm not really patient enough to have my capital tied up for 3 days. So I buy them the night they hit the filter as close to the close price as possible. Then if it's up the next day I use a trailing stop and eventually I'll get stopped out. If it's not up and drops some I'll buy some more and average down til the position goes green then I use a trailing stop from there.

At one point I was going to change my backtesting spreadsheets to see if it was more profitable just to hold and sell at the close on the 3rd day but it would have added way to much manual data entry for me so I didn't. But I can't say I saw a tendency for the 3rd day being more profitable. I felt like it was pretty evenly split. Some gapped up the next morning, some went green the 1st day, some the second, some the third. I use Robinhood to trade and they don't have an automated trailing stop so I just use a manual one.

ron22
147 posts
msg #141403
Ignore ron22
1/26/2018 6:21:38 AM

Lapre, Thank you. Sometimes I use one times ATR for a trailing stop. Do you think that is worth paper trading or do you suggest a different TS? Also, I have not traded during extended hours. Do you ever have problems with liquidity or spreads? Ron

StockFetcher Forums · Filter Exchange · Simple Bullish Swing Trade Momentum Filters<< 1 2 >>Post Follow-up

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