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Filter Exchange · ETF - Long Filter
elroz
msg #47584
10/22/2006 10:32:45 PM

marine2;

I'm glad you were able to make it work for you. I wish you the best of luck trading with it.


Filter Exchange · ETF - Long Filter
elroz
msg #47573
10/21/2006 1:16:07 AM


My ETF filter is promising. (It's a simple divergance filter, and to those of you who have posted divergance filters share the credit for this one.)The theory behind this is not to trade the actual ETF, but the top 10 stocks associated with the ETF.

For example, if IXJ shows up on the filter, I would purchase 200 - 500 shares of ABT, AMGN, AZN, GSX, JNJ, MRK, NVT, PFE, RHHBY, and SNY at the open. These are the top 10 holdings of the ETF. Yahoo provides the holding information of all the ETF's. Like all of my posts, this is a great system for day traders who have access to over 500,000 in capital. As for an actual sell stop, I would always unload 1/2 of my position for a small profit (0.5% of my capital invested) and pretty much ride out the rest until the next day (T+1). (If the market was going my way, I may only unload 25% or maybe the whole thing if I saw disaster.) If my capital fell 1%, I would unload the position. (I would always use my Capital as a stop loss and gain, so If I had a total of $100,000 in all 10 positions, My stop loss would be when my P&L was -1,000) Unlike the 1-2 day filter, this one requires a little more work. Lets say of the 10 stocks above, only ABT and JNJ are moving up, I would sell all but 100 shares of the other 8, and load up on the two green ones. For you relative strength traders, things may be different, but you will have to experiment with this. I do suggest you never put more than 500 shares on any one position until your truly comfortable with this method. I'm sure others will find a better way to trade this. When I have MANY ETF's on any given day, I will take the four most volatile, or the sectors which I am most comfortable with trading (Semis, Homebuilders, etc). There were also times I would include and extra stock or two which may have not been in the top 10, but was included in the sector.

STOP LOSS = 1% of Capital

Good luck using this. Below is the filter and results YTD.

 
Approach Information
Approach Name: ETF A
Test started on 12/30/2005 ended on 10/18/2006, covering 201 days
Filter used:
rsi(2) is below 25 2 days ago

and rsi(2) is greater than rsi(2) 2 days ago
and rsi(2) is less than rsi(2) 1 day ago

and close 2 days ago is above open 2 days ago
and close is below close 2 days ago

Show stocks where stock type is ETF






Trade Statistics
There were 98 total stocks entered. Of those, 98 or 100.00% were complete and or 0.00% were open.
Of the 98 completed trades, 68 trades or 69.39%resulted in a net gain.
Your average net change for completed trades was: 0.45%.
The average draw down of your approach was: -0.60%.
The average max profit of your approach was: 0.69%
The Reward/Risk ratio for this approach is: 2.99
Annualized Return on Investment (ROI): 132.45%, the ROI of ^SPX was: 10.93%.

Exit Statistics
Stop Loss was triggered 16 times or 16.33% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 82 times or 83.67% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Winners:685671616874
Losers:294226352924
Win/Loss Ratio:2.35:11.33:12.73:11.74:12.35:13.08:1
Net Change:0.45%0.10%0.63%0.51%0.71%1.16%

Statistics By Variable: Match Price
 <15<30<45<60<75<90<105<120<135<150
Completed3:310:76:311:413:57:58:14:15:01:0
1 day chg2:47:104:69:611:76:68:13:25:01:0
2 day chg4:111:68:214:19:98:48:13:25:01:0
3 day chg4:29:67:311:48:106:67:23:25:01:0
4 day chg4:112:58:212:311:77:56:32:35:01:0
5 day chg5:112:58:214:111:77:58:13:25:01:0

Statistics By Variable: Average Volume
 <10.0M<20.0M<30.0M<40.0M<50.0M<60.0M<70.0M<80.0M<90.0M<100.0M
Completed66:28---0:11:01:0---
1 day chg54:40---0:11:01:0-0:1-
2 day chg68:25---0:11:01:0-1:0-
3 day chg59:33---0:11:01:0-0:1-
4 day chg65:28---0:11:01:0-1:0-
5 day chg71:23---0:11:01:0-1:0-

Statistics By Variable: RSI(2) + +DI(14) - (-DI(14))
 <-20<-10<0<10<20<30<40<50<60<70
Completed4:23:1014:317:513:715:22:0---
1 day chg3:32:119:816:711:913:42:0---
2 day chg5:15:814:318:413:714:32:0---
3 day chg3:32:1113:417:610:914:22:0---
4 day chg4:23:1011:618:415:515:22:0---
5 day chg6:02:1112:521:217:315:21:1---



Filter Exchange · LONG FILTER - 1-2 day hold
elroz
msg #47572
10/21/2006 12:35:07 AM

I shared this with psheridan050's post a few weeks ago, and I believe it's a great filter for this market. So far the trades have been great, with an average gain of 3% YTD and a holding period of 1-2 days. As a day trader, I had the capital to put on many small (100-500 share) positions. The only downfall to this is that the SPY ROC(21) needs to be increasing 2 days in a row, so there have been days I was putting on 10+ positions. Regardless, here's how I did it.

BUY on the open every stock given. Allow 3.5% stop loss. Sell Profit stop of 10% or at the end of day 2 (T+1).

Good luck using this. Below is the filter and results YTD.

 
Approach Information
Approach Name: RSI(2) - LONG
Test started on 12/30/2005 ended on 10/18/2006, covering 201 days
Filter used:
set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}

Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40


And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
And not nasdaq






Trade Statistics
There were 95 total stocks entered. Of those, 95 or 100.00% were complete and or 0.00% were open.
Of the 95 completed trades, 63 trades or 66.32%resulted in a net gain.
Your average net change for completed trades was: 3.01%.
The average draw down of your approach was: -1.96%.
The average max profit of your approach was: 5.47%
The Reward/Risk ratio for this approach is: 4.33
Annualized Return on Investment (ROI): 344.45%, the ROI of ^SPX was: 10.93%.

Exit Statistics
Stop Loss was triggered 23 times or 24.21% of the time.
Stop Profit was triggered 16 times or 16.84% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (3 days) 56 times or 58.95% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Winners:636271696463
Losers:323324253132
Win/Loss Ratio:1.97:11.88:12.96:12.76:12.06:11.97:1
Net Change:3.01%0.80%3.01%3.23%2.24%2.49%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed13:514:1018:913:54:31:0----
1 day chg14:416:815:1212:64:31:0----
2 day chg15:315:920:715:35:21:0----
3 day chg13:517:620:714:44:31:0----
4 day chg12:615:920:712:64:31:0----
5 day chg12:616:820:712:62:51:0----

Statistics By Variable: Average Volume
 <10.0M<20.0M<30.0M<40.0M<50.0M<60.0M<70.0M<80.0M<90.0M<100.0M
Completed59:303:1---0:11:0---
1 day chg57:323:1---1:01:0---
2 day chg67:223:1---0:11:0---
3 day chg64:244:0---0:11:0---
4 day chg61:282:2---0:11:0---
5 day chg60:291:3---1:01:0---

Statistics By Variable: RSI(2) + +DI(14) - (-DI(14))
 <-40<-35<-30<-25<-20<-15<-10<-5<0<5
Completed1:01:28:514:613:711:85:38:12:0-
1 day chg1:02:110:315:512:810:96:24:52:0-
2 day chg1:02:111:218:213:711:86:27:22:0-
3 day chg1:02:17:615:515:513:66:28:02:0-
4 day chg1:02:17:612:813:713:66:28:12:0-
5 day chg1:02:18:511:912:815:45:37:22:0-



Filter Exchange · help with Screening Phrases
elroz
msg #47359
10/7/2006 10:19:10 AM

try this - you could always expand if needed

set{close3, close 2 day ago / close 3 days ago}
set{close2, close 1 day ago / close 3 days ago}
set{close1, close / close 3 days ago}

close3 is between 0.99 and 1.01
close2 is between 0.99 and 1.01
close1 is between 0.99 and 1.01



Filter Exchange · Filter for Trade!!!!
elroz
msg #47234
9/29/2006 5:47:26 PM

sorry everyone, stop loss on the above filter should be 3.5%. Is there a way to edit your posts??


Filter Exchange · Filter for Trade!!!!
elroz
msg #47233
9/29/2006 5:12:44 PM

psheridan050;

Be careful, and don't fall into the trap I did. I have created many filters which performed very well ON PAPER. When shorting stocks, it's hard to get the opening print, and the slippage you are allowing is way to small. An average gain of 1-2% with the amount of risk you are allowing makes no sense to me. But if you are looking for a good long filter with a 1-2 day hold and good results, try this one.

Attached is it's performance YTD


set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}
Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40

And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
And not nasdaq


Stop loss - 3%
hold 1 day
exit on close

Please put in the parameters you like.

Now that you have one of mine, let's see yours. I'm sure someone can create a better filter from it.

 
Approach Information
Approach Name: rsi(2) 1 day hold
Test started on 01/03/2006 ended on 09/28/2006, covering 186 days
Filter used:
set{avgVol_50, Average Volume(50)}
set{VolA, Volume / avgVol_50}
set{VolB, VolA - 1}
set{Volpct_incr, VolB * 100}

Volpct_incr is below 200

and ind(^spx, ROC) increased previous 2 day
and rsi(2) is below 1
and count(rsi(2) IS below 1, 3) < 3
and historical volatility(60,1) > 40


And close is between 15 and 90
And average volume(50) is above 500000
And not otcbb
And not nasdaq



Trade Statistics
There were 95 total stocks entered. Of those, 95 or 100.00% were complete and or 0.00% were open.
Of the 95 completed trades, 66 trades or 69.47%resulted in a net gain.
Your average net change for completed trades was: 2.60%.
The average draw down of your approach was: -1.49%.
The average max profit of your approach was: 2.31%
The Reward/Risk ratio for this approach is: 4.10
Annualized Return on Investment (ROI): 733.98%, the ROI of ^SPX was: 9.24%.

Exit Statistics
Stop Loss was triggered 12 times or 12.63% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 83 times or 87.37% of the time.
An exit trigger was executed 0 times or 0.00% of the time.

Statistics By Holding Period
 Completed1 day chg2 day chg3 day chg4 day chg5 day chg
Winners:666271696261
Losers:293324253029
Win/Loss Ratio:2.28:11.88:12.96:12.76:12.07:12.10:1
Net Change:2.60%0.77%3.04%3.37%2.34%2.50%

Statistics By Variable: Match Price
 <20<30<40<50<60<70<80<90<100<110
Completed13:214:1117:915:55:22:0----
1 day chg11:417:814:1214:64:32:0----
2 day chg13:216:919:716:45:22:0----
3 day chg11:418:619:715:54:32:0----
4 day chg9:416:919:712:74:32:0----
5 day chg8:417:819:713:52:52:0----

Statistics By Variable: Average Volume
 <2.0M<4.0M<6.0M<8.0M<10.0M<12.0M<14.0M<16.0M<18.0M<20.0M
Completed34:2017:54:16:12:12:1--1:0-
1 day chg32:2216:64:15:22:12:1--1:0-
2 day chg35:1920:25:06:12:12:1--1:0-
3 day chg32:2121:15:05:22:13:0--1:0-
4 day chg31:2017:55:05:22:12:1--0:1-
5 day chg32:1716:65:05:22:11:2--0:1-

Statistics By Variable: RSI(2) + +DI(14) - (-DI(14))
 <-40<-35<-30<-25<-20<-15<-10<-5<0<5
Completed1:01:210:317:312:811:84:38:22:0-
1 day chg1:02:110:315:512:810:95:25:52:0-
2 day chg1:02:111:218:213:711:85:28:22:0-
3 day chg1:02:17:615:515:513:65:29:02:0-
4 day chg1:02:17:610:813:713:65:19:12:0-
5 day chg1:02:18:59:912:714:45:18:22:0-



Filter Exchange · Filter help with the 5 B's
elroz
msg #46803
9/8/2006 11:07:31 PM

This should take care of the chart pattern. As for the volume, I too am confused about what you want. Please elaborate.

Close 4 days ago is less than open 4 days ago
and close 3 days ago is greater than open 3 days ago
and close 2 days ago is less than open 2 days ago
and close 1 days ago is greater than open 1 days ago
and close is greater than open
and close is greater than open 4 days ago
and close is greater than open 2 days ago
and close is greater than open 1 days ago


Filter Exchange · 100% Win Rate, 545% ROI, 54 trades?
elroz
msg #46744
modified
9/4/2006 2:08:54 PM

- I have little respect for someone who would put up such a filter and not actually say what it is. If you never had any intention at showing us what the filter was, then you should have never put up the results in the first place.

TO EVERYONE ELSE - Although these results look promising, this is just another example of numbers looking good on paper, but unrealistic in real life situations. For one to get these results, you would need no stop loss, moderate profit stop, and the ability to hold a position for a long time (a lot of capital). To me, it makes no sense in giving a stock a 90% stop loss and only a 10% profit stop, but that's how these filters work (which makes them pretty much useless).

Please know that I don't use any of the filters involved, but by posting, I do three things. One, it shows pretty much the same results as results showed (actually using the same time period, 2 of the 3 show better results ON PAPER!! So everyone will now know how to get these unbelievable results ON PAPER!! I believe this is probably the filter used and just changed some parameters (price, time held, etc). If not, then there are other filters able to produce such unrealistic results.

Second, if anyone wishes to test them, I do hope you can find a way to make them work. I have been very successful taking others ideas from these postings, and this could be seen as a way of giving back. I highly doubt anyone would post an amazing filter they discovered, and I do not expect anyone to. If it makes you money, keep it to yourself.

Third, being bored last night, I spent a few hours figuring this out. Seeing how unrealistic it would be to use, and putting in all that time, it's only rewarding if I can share this info. After all, if I ever decided to post one of my results, I would defiantly include the actual filter as well.

Below are three filters, pretty much the same. You can change the exchange, price, volume, or whatever you want. The secrete to these results are the time given, and the profit stop.

For all of the filters below, use the following parameters. . .

The positions are all LONG positions

Stop loss - 0
Profit Stop - 10
Trailing Stop Loss - 0
Minimum days to hold - 0
Maximum days to hold - 300

No special entries or exits or anything else. To make it interesting, use the same dates used 06/07/04 - 06/07/06

The 3 Filters . . . . .

(1)
low reached a new 52 week low
and rsi(2) < 5
and weekly rsi(2) < 10
and market is nasdaq 100

(2)
low reached a new 52 week low
and rsi(2) < 1
and weekly rsi(2) < 10
and market is nasdaq

(3)
low reached a new 52 week low
and rsi(2) < 1
and weekly rsi(2) < 10
and market is nasdaq
and price is below 1

They are pretty much all the same. Have fun back testing them, and please, if you're going to post results, show some class and provide the filter as well.

I wish you all the luck with these.

-elroz




Backtesting Support · back testing problem with example
elroz
msg #46681
8/30/2006 1:10:02 PM

Thank You


Backtesting Support · back testing problem with example
elroz
msg #46639
8/28/2006 9:41:07 PM

Just in case the e-mail was not received.

test a - 3%
test a - 5%


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