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Filter Exchange · Hot off the press! Buy SPY based Solely of VXX Numbers
Lapre506
msg #146217
1/23/2019 9:06:06 AM

So I've been monitoring this for the last few months and decided to crudely backtest it.

http://oi63.tinypic.com/2mffzih.jpg

-It's based on 1,000 buy in for each time it gave a signal
-Buy in was simulated at EOD close price day on day the signal was given
-Sell was simulated at opening price morning after sell signal was given (By sell signal I mean signal to buy the other ETF)
-Filter was performing well up until that 12/13 whipsaw that had you jump out of one and into the other, then give a signal back the other way at that EOD
-Reason for these rules are I have noticed that the filter tends to give a signal intraday but then that signal disappears before or after the close. With SF being up to 30 mins behind at times I used the EOD closing price as a target for entry so I could be sure the signal was real and still there at 4PM.

It's not quite how I would have played it had I used this filter live. But it was the easiest way for me to backtest it. I'm only an excel novice so forgive my crude spreadsheet :)

So since October had you followed these rules based on 1,000 buy in for each signal you would have netted $285.00 in profit (assuming commission free trading).

Anyway just wanted to share some results. I still like the filter alot. Gives me sort of a heads up to look for the market to reverse.

General Discussion · BEHOLD THE HOLY GRAIL
Lapre506
msg #145854
1/4/2019 7:56:38 AM

Not that I have much to add to the conversation here... because people much smarter then me are debating. But one thing I've noticed with Stockfetcher from all my manual backtesting when you are using not otcbb in the filter code. If a stock was once on a major exchange and then got downgraded to OTCBB it will no longer show up in the historical results on that filter when looking back. This tends to sway backtesting results in a favorable manor. Because had you taken a play on a result for the filter and it crashed and became OTCBB you'd have taken a major loss. But when looking back because it's now OTCBB it no longer shows up in the history of the filter.

General Discussion · BEHOLD THE HOLY GRAIL
Lapre506
msg #145779
12/30/2018 8:30:24 PM

Is there a reason why you choose to borrow shares on these rather then just buy puts on the optionable ones?

Filter Exchange · Hot off the press! Buy SPY based Solely of VXX Numbers
Lapre506
msg #144979
10/16/2018 6:48:09 PM

Gave a signal today for SPXL. So SPXS closed at 23.52 today. I didn't hold it this long though. I bought and sold it multiple times along the way. Some as high as 25.50. Benefits of Robinhood and no commissions.

Bought a small amout of SPXL in the aftermarket for 48.50 but I'm expecting a bit of a pullback since it was a 500 point day. So I'll buy more and average down tomorrow at some point.

So far really liking this filter though.

Filter Exchange · Hot off the press! Buy SPY based Solely of VXX Numbers
Lapre506
msg #144766
9/26/2018 7:47:08 AM

This gave a signal yesterday to long SPXS. With my own TA I concur that a short term pullback in the SPY is imminent so let's see what happens.

I got in at 21.34

Filter Exchange · Hot off the press! Buy SPY based Solely of VXX Numbers
Lapre506
msg #144626
9/11/2018 7:14:18 AM

This is interesting. I've been trading 3X ETF's lately because judging the overall market seems easier these days then individual stocks. Does this only translate well to SPXL and SPXS. Can I use it for UDOW and SDOW as well? It's basically using the VIX as a study so does that only accurately apply to the S&P or do you think it would do well against the DJIA as well?

Filter Exchange · Simple Bullish Swing Trade Momentum Filters
Lapre506
msg #141405
1/26/2018 8:54:12 AM

I'm not familiar with the ATR method so I can't help you there. As far as buying in the aftermarket here is the crux.

SF is at least 20 minutes behind real time and sometimes even more then that. So what I've seen happen is a position will be displayed on the filter around 3:30PM-3:45PM and then completely disappears after market close. This happens because there was a nasty end of day selloff and it was enough to affect the parameters of the position that its no longer applicable to the filter. I've noticed that by 4:30-5:00 all the data seems to have moved over to SF and if a position is still displaying on the filter it's pretty safe at that point to try and get an entry on it, but I have seen positions drop off even after that time. SF says by 6PM mostly all data should be final but 9PM is the guarantee. Now aftermarket buying is not easy. So basically I just put in a buy limit for around the price the position closed at on the filter and if it fills great.. if not and I really want the position I'll buy it the next day at or lower then the filter close price. The bid/ask spreads in the aftermarket can be vast sometimes so yea it's hard to get filled.

I'm going to wait until the end of January to update the backtesting on these. That way I'll have an entire month of new data to provide. So around Feb 4th or so I'll provide the updated numbers and see if they are still performing well or if they took a dip.

Filter Exchange · Simple Bullish Swing Trade Momentum Filters
Lapre506
msg #141275
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.

Filter Exchange · Simple Bullish Swing Trade Momentum Filters
Lapre506
msg #141152
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

Filter Exchange · Simple Bullish Swing Trade Momentum Filters
Lapre506
msg #141151
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.

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