StockFetcher Forums · Filter Exchange · My filter - tell me what you think!<< 1 2 3 >>Post Follow-up
52 posts
msg #52494
Ignore psheridan050
6/25/2007 10:34:59 AM

Hi all. Here is a filter I think is a pretty good winner. Iíve back tested this thing all the way back to 31 Dec 2002 and it makes consistent profits across the board. Here is my setup (BTW I borrowed some of this filter from other posters Ė canít remember who to give them credit):

Show stocks where Average Volume(90) is above 1000000
and Close is between 5.5 and 40
and Williams %R (14) is below -98.00
and Price is near the bottom Linear Regression Line(45)
and Close is 5% below DMA(28,-14)
and 3 day Slope of the EMA(5) is below .50
and RSI(5) is below 25
and 60 day Slope of the Close greater than -1
and 200 day Slope of the Close greater than -1

Name: Long - Williams
Capital: $150,000.00
Approach Type: Long
Start Date: 12/31/2002
End Date: 06/22/2007
Benchmark Symbol: ^SPX
Stop Loss: 9.49%
Stop Profit: 14.00%
Minimum Holding Days: 1
Maximum Holding Days: 1
Selection Method: Select by price ascending
Entry Price: Open
Conditional Entry: No
Exit Price: Open
Maximum Trades Per Day: 7
Maximum Open Positions: 7
Money management: MS Excel
Trading platform: TradeStation

Some people may not like the large stop loss of 9.49% but it is the standard one I use with all my filters. Having a large stop loss like this helps with the wild swings during the early morning hours. When I look over the entire trading period the actual average drawdown comes out to be 2.12%. Iím still trying to figure out a better way of calculating what my stop loss should be - a more efficient stop. Maybe an ATR based one or just a lesser % amount. Itís hard for me to figure out because StockFetcher doesnít give me intraday data to work with. I just know the drawdown (low) for the day the stock was traded on and have to go on that. Setting anything else besides the drawdown for the day doesnít give enough information because you have no idea when your stop was hit (time of day), how often it would have been hit at that price level. Having TradeStation helps a little but itís a pain to try and back test the entire portfolio of stocks vs. individual stocks with them; for the exact dates each stock in the portfolio was traded on. As for the profit stop, I picked 14% but would never actually use this in real life. At best I would use this level as a point to place a trailing stop to lock in profits (programmed through TradeStation Ė on my to do list). It annoys me that StockFetcher automatically sells a stock if it hits your profit stop. If your stock is doing this good, why would you want to get out of it just like that?

I believe I make this filter works because of the money management I use through Excel. I only use 11.11% of my capital per trade to determine the amount of shares I am trading (which comes out to about 7 trades open at a time). Here is an example (wish I could just post the actual Excel worksheet somewhere for people to look at):
To determine share size for the trade below I use the following formula:
150K * 11.11% = $16665
$16665 / $24.00 (the open of the entry date) = 695 shares (rounded up)

If my capital goes up or down because of winning/losing trades, then my shares size follows because itís a constant 11.11% of capital.

Here is one of the trades:
Trigger Date 13-Jan-03
Entry Date 14-Jan-03
Exit Date 15-Jan-03
Symbol WSM
Buy $24.00
Sell $24.90
Profit per share $0.90
# Shares 695
Profit: $625.58

This is for the most part a mechanical trading system. Itís buy at the open and sell at the open of the next day. I plan on adding better entry and exit techniques but havenít gotten that far yet (programmed through TradeStation). Then as before, Iím not sure how I will back tests these changes I make because of limitations of both TradeStation and StockFetcher. One problem with this filter is that it makes far too many trades for my liking. I have other filters that make similar gains on both the long and the short side and would rather use a combination of these filters rather than tie up all my capital on just one filter.
Anyways, I feel I have come up with a workable way of trading stocks but would ask the community for some suggestions. Maybe better ways to back test my system, better entry exit rules, good examples of Excel spreadsheets to use, etc. I would be happy to share the workbook I use or anything else if someone asks for it. I look forward to your responses!

52 posts
msg #52557
Ignore psheridan050
6/26/2007 2:36:13 PM

No response from the community? I though for sure someone would have some suggestions for this filter and money managment. anyone?

745 posts
msg #52559
Ignore maxreturn
6/26/2007 2:44:56 PM

Made it clickable:

Fetcher[Show stocks where Average Volume(90) is above 1000000
and Close is between 5.5 and 40
and Williams %R (14) is below -98.00
and Price is near the bottom Linear Regression Line(45)
and Close is 5% below DMA(28,-14)
and 3 day Slope of the EMA(5) is below .50
and RSI(5) is below 25
and 60 day Slope of the Close greater than -1
and 200 day Slope of the Close greater than -1

15 posts
msg #52657
Ignore Arooj
6/29/2007 7:48:09 AM

hi psheridan (from Nemo, right?)

There is a lot of meat with very little gristle in this filter.

The picks for this morning are BZH and AVT, and I will be following them in real-time to see how they do, particularly if options are an appropriate way to play them.

I agree with the difficulties in backtesting, not just within SF but in general. Frankly, I don't do it anymore and I look at the charts instead.

I don't see any alternative other than explicit conditional exits IF you want to automate the strategy; it's beyond the scope of this short reply but fixed PT and SL values are not likely to optimize the strength of this filter.

Right now in RT, I like RSI(2) crossing below RSI(5) as an exit but sometimes this may be choppy (gets you out a little too quickly), and is tempered by looking at something like a TRIX(5) and EMA(6) crossover (the former falling under the latter is bearish).

I also like the +DMI crossing below the ADX (not the -DMI) but I think this is a rather untraditional use of this indicator.

Please continue to contribute - I really admire your prior posts and have made one of them my favorites. I have resisted posting my early constructs but will soon and hope to incorporate some of your ideas.

74 posts
msg #52660
Ignore fokane
6/29/2007 8:53:49 AM

BZH doesn't look to have any near support level???

52 posts
msg #52665
Ignore psheridan050
6/29/2007 10:17:37 AM

Remember; what Iím designing here is a black box mechanical system of trading. The only input I should have to do is to enter the trade information the night before into TradeStation then forget it. TradeStation is programmed to buy at the open and sell at the open the next morning. All Stop Losses and such are included in the TradeStation code (its very basic EasyLanguage code). My goal is to use these filters to give me around 7 trades a day that I can apply my capital to. I use filters for both the long and the short side on the same day. I disregard what the market did the previous day or any news or anything except what my filters tell me. The reason I do this is because Iím a lousy discretionary trader with a proven track record of screwing it up because of fear and greed. Hence the black box system. My system isnít perfect and there is room for lots of improvement, but thatís why I backtest; to see what works best as a whole no matter the market conditions.

When I design my filters I go for the best win to loss ratio I can find. Having consistently more winners than losers over time makes it almost guaranteed that you will come out ahead over the long run. The other half (in my opinion) is the money management. Without a good money management plan the draw downs will eat your account alive. Back in the day I only traded in lots of 1000 (discretionary trading), no matter the ATR of a stock. This led to some wild swings in my account because I would sometimes tie huge sums of money in just one stock. Doing this would allow me to take some huge profits but also some huge losses. Money management gives me peace of mind with consistent profits and losses.

As for not back testing, how do you know if a filter you have designed is any good?

42 posts
msg #52701
Ignore bielyplafon
6/30/2007 5:53:55 AM

I think it is better to work on your fear and greed than trying to design blackbox.
TRO had over the time some very usefull comments (dont take them word by word they were all in content):
- filter can only give you candidates, trading them is on you
- if there was successfull (long term) blackbox there wouldn't be markets


2,824 posts
msg #52721
Ignore nikoschopen
6/30/2007 4:09:10 PM

In my shortened life as a trader, I came to a realization that there is no one single mechanical system that will work in perpetuity. It will usually come to its demise, often more sooner than later.

19 posts
msg #52737
Ignore pops
7/1/2007 9:03:55 PM

psheridan050.....did you backtest to come up with a one day holding period? In playing with the filter, I found that a 1-4 day holding period did equally as well...sometimes. However, I did not do a long term backtest.

Bill R.

52 posts
msg #52745
Ignore psheridan050
7/2/2007 7:40:15 AM

7/2/2007 4:38:06 AM

As for the comments about my system being a black box, I have to disagree somewhat. This is just one of the filters I use, the rest have fewer trades but higher profit factors. I believe as long as you have a positive expectancy (which these filters have) then you can only make it better through good money management (how much of your capital you use on a trade, stop losses, etc.). By programming all this into a script that my software runs (TradeStation), I take away human error (unless I screwed up on the programming) and emotion (indecision, fear, greed). My personality and current situation (wife, baby, and day job) make a mechanical method of trading the best for me. To each their own.

To help reduce risk in the market I diversify by going long and short using filters that give different picks. Calculated stops help keep the losers from hurting too bad while allowing winners to expand. Some days work out better than others, but the profits add up more than the losers and isnít this the point? Maybe not the most efficient or best way to trade but I am happy with the results so far. Experimenting and tweaking will make it better (I hope to hear comments on ways to make a good stop loss, money management, or using excel ideas).

Bill R. Ė I have seen what you are talking about when it comes to letting the trades ride longer. In fact, I have seen that even with my other filters its common that the most money to be made is if I stay in the trade a few more days than getting out at the open the next day. Here are some questions I need to answer:

Is it better to sell at the close of the day I bought the stock (reduces risk due to overnight news)?

If not the close of the same day I bought the stock, how many days should I wait before selling and when (close or open)?

If I do leave myself in a position for multiple days (like 3 days), will the gains be more than if I made gains (and losses) for holding for just the single day? For example, if I were to make $300 after 3 days (average per trade) is this better than making $120 (average per trade,) but get out of the trade at the close of the same day the stock was entered? Obviously in this case the latter would be best (three days of $120 betters $300 after 3 days of holding) but I need to look at my data and discover if this is the case in real life.

BTW, have any of you guys performed any long term back tests for this filter? For me to bother with a filter it has to have made steady gains (no short term profit spikes) for the full period of my back tests (31 Dec 2002 Ė 27 Apr 2007). Unless Iím missing something, this filter is one worth betting on. I would really like to hear it if someone doesnít believe so and their reasons for such.

StockFetcher Forums · Filter Exchange · My filter - tell me what you think!<< 1 2 3 >>Post Follow-up

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