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Village Elder
62 posts
msg #148300
Ignore Village Elder
6/28/2019 2:14:16 PM

@KSK8 - you are crushing it on your trades. Well done.

mahkoh
1,059 posts
msg #148301
Ignore mahkoh
6/29/2019 11:50:00 AM

I was testing the filter you posted on the holy grail thread using reversersi(2) as alternative exit for covering at the close. Backtesting and optimization were done with Stratasearch. I don't remember the exact filter, but it was rather basic, something like close>2 and roc(2)> 30 and your liquidity criteria. It returned some 1200 trades over a 3 year period with a 185 % compounded annual return. I did trade this for a few months using $500 positions to see whether I would get filled. I was actually surprised that more often than not I was able to get a hold of shares to short at IB. Results were not as stellar as the backtest however, and I noticed many trades reversing during the session to end up a loss.
Further testing and adding criteria I found a few things: high average volume decreases the chance of succes and volume should at least be 10 times average volume(30). And it helps if a significant part of the float was traded.
During the first testperiod I usually got somewhere between 5 and 15 candidates. I would set up orders for the top ten and see which would get a fill. Now I pick no more than 2, but the last few trades IB has not been able to find shares.

Anyway, my filter as of now:
Fetcher[

chartlength 100 weeks

set{x14,1000/close}
set{x13,round(x14,1)}
add column x13{shares}set{liq,volume * price}
liq > 1000000
close between 1 and 9
set{aaa1,count(roc(2,1) > 20,1)}
set{aaa2,count(rsi(2) > 95,1)}
set{aaa3,count(close is 10% below high,1)}
set{aaa4,aaa3 * aaa2}
set{aaa5,aaa4 + aaa1}
aaa5 > 0
set{bv,count(close above close 1 day ago,5)}

add column rsi(2)
set{x,high - close}
set{x11,x/high}
add column average volume(30) 1 day ago > 3000
not otc/bb
set{x1,x11 * 100}
add column x1{drop}
add column drop
set{yy1,volume / average volume(30)}
set{yy2,volume / average volume(90)}
add column yy1{relvol30}
add column yy2{relvol90}
add column bv{updays5}
do not draw liq
add column roc(5,1)
set{float2,shares outstanding * 10000}
set{float1,volume / float2}
add column float1{% of float}

sort column 9 descending
draw price line at close
]



KSK8
360 posts
msg #148308
Ignore KSK8
6/29/2019 5:24:55 PM

Interesting, check this one out;

Fetcher[

set{x1, max(open, close)}
set{x2, min(open, close)}
set{x3, x1 - x2}
set{x4, CEMA(x3 , 20 ) * 2}
set{cond1, count(average day range(10) is above 10 percent,1)}
set{cond2, count(rsi(2) > 98,1)}
set{cond3, count(close is 10% below high,1)}
set{cond4, count(Slow Stochastics Fast %K(10) above Slow Stochastics Slow %D(10),1)}
set{cond5, count(volume > 1000000,1)}
set{cond6, count(close 1 day ago above open 1 day ago,1)}
set{cond7, count(close > open,1)}
set{cond8, count(x3 > x4,1)}
set{cond9, count(x3 1 day ago > x4 1 day ago,1)}
set{c1, cond1*cond2}
set{c2, c1*cond3}
set{c3, c2*cond4}
set{c4, c3*cond5}
set{c5, c4*cond6}
set{c6, c5*cond7}
set{c7, c6*cond8}
set{c8, c7*cond9}

c8 > 0

market is not ETF
market is not OTCBB

]



I've based some of my very successful trades from this one alone.
It only yields candidates a few times a month, BUT it is one of the most reliable 1 day shorting filters I've come up with. Most accurate as well. I'm comfortable making it public as I have others similar that I can rely on.

I would love to backtest this with Stratasearch. However, if I recall, Stratasearch does not have max and min components which this filter has in it. Not sure if there's a way around it...





four
5,087 posts
msg #148309
Ignore four
modified
6/29/2019 6:14:56 PM

StrataSearch has absolute?

----------------------------------------------- StockFetcher

set{x4, abs(open minus close)}
add column x4

mahkoh
1,059 posts
msg #148315
Ignore mahkoh
6/30/2019 6:22:21 AM

I had to adjust a few statements in order to run it with economy class subscription. It suggests FRSX which I also have as first on the list.

Stratasearch has min/max functions, but they're called lower and higher. Also abs() is available.

Fetcher[
set{x1, max(open, close)}
set{x2, min(open, close)}
set{x3, x1 - x2}
set{x4, CEMA(x3 , 20 ) * 2}
set{cond1, count(average day range(10) is above 10 percent,1)}
set{cond2, count(rsi(2) > 98,1)}
set{cond3, count(close is 10% below high,1)}
set{cond4, count(Slow Stochastics Fast %K(10) above Slow Stochastics Slow %D(10),1)}
set{cond5, count(volume > 1000000,1)}
set{cond6, count(close 1 day ago above open 1 day ago,1)}
set{cond7, count(close > open,1)}
x3 > x4
x3 1 day ago > x4 1 day ago
set{c1, cond1 + cond2}
set{c2, c1 + cond3}
set{c3, c2 + cond4}
set{c4, c3 + cond5}
set{c5, c4 + cond6}
set{c6, c5 + cond7}



c6 > 5

market is not ETF
market is not OTCBB
]



KSK8
360 posts
msg #148319
Ignore KSK8
6/30/2019 4:21:48 PM

This one should work for everyone. The accuracy and large returns this entails is something to marvel.

Keep in mind, this yields candidates a few times per month. But the prospect of patience is the backbone of why my callout thread has induced close to a 1000% return in mere months.

Fetcher[

/* ksk8's best one yet */

/* standard stuff */
market is not ETF
market is not OTCBB
volume > 1000000

/* 2 large moves up is ususally followed by a red candle as a result of profit takers, short sellers, and panic */
/* calculation for 2 large moves up */
set{x1, max(open, close)}
set{x2, min(open, close)}
set{x3, x1 - x2}
set{x4, CEMA(x3 , 20 ) * 2}
x3 1 day ago > x4 1 day ago
x3 > x4
close 1 day ago above open 1 day ago
close > open


/* price failed to make a higher high intraday */
close is 10% below high

/* volatility can lead to panic selling */
average day range(10) is above 10 percent

/* price has reached an exhaustive criteria */
rsi(2) > 98

/* oscillator criteria to establish momentum hasn't died yet */
Slow Stochastics Fast %K(10) above Slow Stochastics Slow %D(10)

]





SFMc01
328 posts
msg #148358
Ignore SFMc01
7/3/2019 6:09:51 PM

KSK8: Have you tried various stop-loss strategies?

Thanks,
Steve

KSK8
360 posts
msg #148382
Ignore KSK8
7/5/2019 11:46:43 AM

SFMc01,

I find stop losses to be only necessary when you 'anticipate' where the price is going.

In my trading, I rarely use stop losses because I 'expect' where the price is going.

That's why my trades are so successful. Stop losses would only slow me down.





Village Elder
62 posts
msg #148389
Ignore Village Elder
7/5/2019 8:08:04 PM

Corvus - CRVS. Short at the open on Monday.

KSK8
360 posts
msg #148391
Ignore KSK8
7/5/2019 10:36:41 PM

I wouldn't play it since it didn't come on my scanner but it looks exhausted so it might be a good short.

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