StockFetcher Forums · General Discussion · BEHOLD THE HOLY GRAIL<< 1 ... 6 7 8 9 10 ... 14 >>Post Follow-up
KSK8
371 posts
msg #145837
Ignore KSK8
modified
1/2/2019 6:05:12 PM

On page 6 I said this;

Avoid playing a candidate that had its price driven by a catalyst such as a biotech fda approval or a reverse split, the next day will either be whipsaw or the chance of a higher high.

The catalyst WAS a 1/10 reverse stock split!



shillllihs
4,699 posts
msg #145838
Ignore shillllihs
1/2/2019 6:29:00 PM

I guess I didn’t get around to page 6, got to watch out for those land mines when plunking down 200k to short penny stocks before I go play golf in the snow.

nibor100
400 posts
msg #145840
Ignore nibor100
1/2/2019 7:56:27 PM

@ksk8,

1. I'm unaware of any method to backtest a filter for 10 years on SF, so for now I'm assessing the historical results of your filter on SF and the SF universe of stocks as this is universe where your filter is being promoted for use.

Also most people who believe in backtesting generally have more confidence in recent years performances

2. I have little doubt that your filter will generate an overall profit.

What initially started me into this investigation was your first post, in your 'Attention Everyone' topic making this seemingly outlandish claim:

"lets me run the scan button and it gives me a stock that has a 95% chance of making a big profit the next day"

3. To answer one of your questions:
currently your filter is not one of the most " most profitable mechanical strategies on stockfetcher?'

Primarily, because in my view your filter has not achieved mechanical status yet, due to the few non filter criteria that you outlined in your post on page 6:

a. Rule 6. (which could be made part of the filter)

and the 2 rules in the unnumbered first sentence under "Other":

b. Avoid playing a candidate that had its price driven by a catalyst such as a biotech fda approval

or

c. Avoid playing a candidate that had its price driven by a reverse split

The rule in b.above, is an especially alarming non-mechanical rule, due to the nature of the myriad decisions to made by each of us regarding "a catalyst such as" .

What are these other catalysts??

4. Why don't you reveal the source/platform of the 14 year backtest supporting the 95% and the algorithm that was actually backtested, so we can research it further?

Don't worry about me stopping my analysis, I'm very patient and curious,
Ed S.









Eman93
4,736 posts
msg #145842
Ignore Eman93
1/2/2019 8:28:56 PM

K,
No problem.




mahkoh
1,059 posts
msg #145844
Ignore mahkoh
modified
1/2/2019 9:39:01 PM

Stratasearch code:

Entry string:
close>0.1
and
close<10
and
volume>1000000
and
crossabove(rsi(2),98)
and
close/high<0.9

Exit string:
1=1

Order types: Entry: ref(open, 1), Exit: close




KSK8
371 posts
msg #145846
Ignore KSK8
1/2/2019 11:04:56 PM

Nibor,

1. Portfolio123 is what I used for the backtest. Fantastic software.

2. The first thread was a gag.. I even said it was if you take another look.

3. And what do you mean by you have doubt? Stockfetcher confirms the superiority of this filter! In January 2018 if you would have invested into 1 candidate each day whenever it gave one, playing by the system rules, (if it was all based upon price) a $1,000 portfolio would have been turned into nearly $25,000 by June. -Excluding slippage,commission, and all that crap. Check it out for yourself if you'd like. I'm surprised you haven't realized the profit potential it has.

4. Hmmmmm, now if only SF would implement reverse splits as a factor onto the chart as well as dividends & earnings. That'd be nice... I already know a code to identify fda approvals through price & volume action which I would add to the filter, but if that were the case of those things being added to SF then yeah it would become "mechanical" I suppose. And to answer your question; those are the only two catalysts that could cause higher highs and possible whipsaw as to what I have observed



KSK8
371 posts
msg #145847
Ignore KSK8
1/2/2019 11:06:09 PM

mahkoh,

Don't just stand there?

RUN IT, show these people the results!

KSK8
371 posts
msg #145848
Ignore KSK8
modified
1/2/2019 11:53:02 PM

TAKE A STAB AT THIS BEAUTY

Fetcher[
/* short at open , cover at close */

/* beware fda approvals & reverse splits */

market is not OTCBB
market is not ETF
volume > 1000000
shares outstanding < 1000
close < 10

set{a1, count(open is below Lower SMA Envelope(50),1)}
set{a2, count(close is above Upper SMA Envelope(50),1)}
set{a3, count(rsi(2) is above 95,1)}
set{a4, a1*a2}
set{a5, a4*a3}
set{liq, price*volume}
set{b1, count(liq > 50000000,1)}
set{b2, count(Day Point Range reached a new 7 day High,1)}
set{b3, count(rsi(2) is above 98,1)}
set{b4, b1*b2}
set{b5, b4*b3}
set{c1, count(rsi(2) crossed above 98,1)}
set{c2, count(close is 10% below high,1)}
set{c3, c1 * c2}
set{z, c3+b5}
set{x, a5+z}
x > 0

add column rsi(2)
add column shares outstanding

add column a5{env}
add column b5{ext}
add column c3{rsi}
]



mahkoh
1,059 posts
msg #145850
Ignore mahkoh
modified
1/3/2019 5:57:41 AM

OK, results.
A few things to consider: Out of the 6000+ securities I only have reliable data for some 3500 symbols. Getting data for all is a hassle which I do not intend to go through as I don't trade stock below $10.
I cannot filter out OTC/BB and biotech.
Most pricedata goes back to 2013 -2014, but the further back I go less stocks are covered. That is probably why the position count graph looks more crowded towards the present. I would suggest using a portfolio size of 2, thus risking half your capital on a trade, but for fun we'll just evaluate going all-in on every trade. If there were 2 candidates Stratasearch would pick the ticker which came first alphabetically but that can be optimized.
I have used a variable for rsi number, it turns out rsi(2) above 99 without having to cross above gives best results.
https://imghostr.com/A8fw2mXa

Position count: https://imghostr.com/fwgzkXqz

Equity curve: https://imghostr.com/dXO6Bdx4

Statistics: https://imghostr.com/FgSe73tY

Worst results: https://imghostr.com/DsDAPa4G

Regarding the worst results, I don't think a trade like HTBX on 5/1/2018 would have materialized trying to short 1.7 million shares at the open. Take the equity curve with a grain of salt..

I found a way to eliminate biotech by feeding the results into Stockfetcher. Out of 198 results 91 were labelled Industry: Medical. Average win for those was 4.59% per trade accumulating to 418 % over the test period.
Non medical: 107 trades, average 5.40% totaling 577%






nibor100
400 posts
msg #145852
Ignore nibor100
1/4/2019 2:08:18 AM

@mahkoh,

First, thanks for running the backtest in SS for us all.

2nd. From my review of your results it looks like SS shorted at the Opens and Covered at the Closes but all of the trade exits are dated as the next day, is that an SS convention or glitch?

3rd, A majority of the stocks in your worst performers list seem to match the ones picked by KSK8's corrected filter in SF, but some don't. I know you have a couple of things working against that, limited number of stocks with good data, and no way to filter out BB/OTC.
However is there a way you can get a count of how many stocks of your 3,500 fit the general parameters of his filter on a given date so we can compare that to how many stocks in SF fit those same parameters on the same date?

Lastly, CNET is on of your poor performers with a trade on 1/11/18 but it doesn't show up in the SF filter results for that date. it does show up as a winning trade on 1/5/18, any ideas what happened, as your open and close prices look right?

Thanks,
Ed S.

StockFetcher Forums · General Discussion · BEHOLD THE HOLY GRAIL<< 1 ... 6 7 8 9 10 ... 14 >>Post Follow-up

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