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Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
agawfi
msg #124233
6/30/2015 5:20:35 PM

Hi Kevin,

I am learning SS and I was wondering if you can direct me where I can find the code you generated for Pangolin Z in SS ?

I would appreciate your help !

Thank you

Announcements · StockFetcher Backtesting Discontinued on August 1, 2015
agawfi
msg #124072
6/17/2015 3:54:52 PM

Backtesting is the main reason I use stockfetcher. If it is not going to be available, there will be no other way to test my filters and test new ideas. so it will be pointless for me creating new filters here without being able to back test them.

Stockfetcher, please reconsider the option of keeping the Backtesting feature even as an add-on !

Thank you !

General Discussion · Repost from section: Announcements
agawfi
msg #124050
6/16/2015 7:42:55 PM

I don't know if they had done a survey or what have you to show the lack of interest. But I am using this feature almost daily and I suggest to use this thread or a new thread to show if there is an interest on this feature or not.

I am in favor of keeping this feature !

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
agawfi
msg #123629
4/23/2015 1:09:56 PM

Hello Kevin,

I have been monitoring the Pangolin Z for couple of months now and I noticed that the gains are much more robust and consistent when buying the respective stocks during or after a low ^SPX day (or SPY). So I used your exact code and only added one additional term:

SPYCLOSE MORE THAN 1.5% BELOW SPYHIGH

where SPYHIGH is SPY high 1 week high

And as you mentioned in one of your older posts, Stock fetcher doesn't allow backtesting of your VAN THARP POSITION SIZING setup. So I simply assumed a constant position size and back tested it. The results were astonishingly superb with good gains and reasonable number of stocks (not too many to be overwhelmed with !)

Start End Win% Lose% R/R ROI G/L DD MaxProf IndROI MarketVal AccntVal Amnt Inv. Comm. G/L UnrG/L
2013 2015 96.9 3.1 35.3 32.0 2.2 -4.0 4.1 22.9 11,968 59,160 14,114 1,745 12,192 (2,146)

2011 2013 94.3 5.7 10.07 33.1 2.8 -5.1 4.2 6.6 44,369 66,255 43,666 2,587 16,886 703

2009 2011 96.7 3.3 18.68 61.4 3.0 -4.4 4.5 20.2 23,042 67,884 23,595 2,766 19,843 (553)

2007 2009 89.3 10.7 1.33 7.4 0.8 -7.0 4.4 -17.9 15,503 42,348 24,202 1,548 1,844 (8,699)


So you can see that the Win% are in the 90s in all cases and it is even possible to make money in 2008.
Also, number of shares in all of the above 2-yr runs are on the range of 120 shares so about 5 shares per month which I find reasonable and not overwhelming and time consuming.

I was wondering Kevin what is your take on this and if it is worthwhile investing more time to optimize the above addition to the filter as I only selected 1.5% arbitrarily. I tried 1% but it didn't give me the same results as above. I don't have the means or the skills to do monte carlo analysis in stratasearch as you do. So if you think it is worthwhile, I would be very keen to see what will be the optimized number and the expected returns of your code with this addition ?

Thanks !



Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
agawfi
msg #123130
modified
3/12/2015 2:41:19 AM

Kevin,
A question for you regarding the stop loss. I noticed that the stop loss is dynamically calculated and it changes from the day of the trigger. Do you use the stop loss calculated on the day of the trigger and keep it for the whole duration while holding the stock or do you change it every day based on your formula: SET{STOPLOSS, LIMITENTRY - 2ATR} ???

Also, I wanted to thank you for your generous contributions in this thread and all previous threads ! They are very insightful and I have learned a lot from them.


Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
agawfi
msg #122838
2/13/2015 1:09:44 PM

Kevin, just wondering since you have tried and traded ConnorsRSI pullback system and your Pangolin Z system, which of the two systems did you find more robust ? As I noticed that the Pangolin system having higher drawdowns lately.

Thanks !

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