StockFetcher Forums · View by Author: frsrblch (35 messages) ·  [ Display By: Date / Subject ]<< 1 2 3 4 >> 
Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
frsrblch
msg #121250
8/4/2014 10:40:29 PM

Looks like SPY this month. You can use the filter Kevin posted on the previous page for any month if you change the offset date to 3 months ago.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
frsrblch
msg #120975
7/8/2014 12:14:07 AM

Thanks for stimulating a discussion here, Kevin. It's always very interesting (and often profitable) to read about what you're working on.

Are you building these iron condors based on the premium available for the different legs? I see that you have been forgoing the condor in favour of a bull put spreads when the bear call spread doesn't have enough premium to justify the full iron condor. How do you balance the premium against the probability that the options will move against you?

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
frsrblch
msg #120837
modified
6/21/2014 1:00:13 PM

The latest filter uses a 3-month look-back period, or approximately 63 trading days. The code is as follows:

Fetcher[symlist(spy,iwm,efa,agg)

sort on column 5 descending

set{diff2,close minus close 63 days ago}
set{diff2%,diff2 / close 63 days ago}
set{ratio63,diff2% * 100}

add column ratio63
]



Kevin's site can be found at http://www.statisticalinvesting.com/

Filter Exchange · holygrail's "the worlds best intraday setup"
frsrblch
msg #119991
5/22/2014 7:22:13 PM

I haven't had the time to look at it yet, but it looks to be very promising.

Filter Exchange · holygrail's "the worlds best intraday setup"
frsrblch
msg #119983
5/22/2014 11:02:04 AM

For anyone else wondering what the hell this TOS platform is, you can set up something very similar on the free site TradingView. Just paste these scripts into their script editor. If you create a free account, you will be able to save scripts and layouts. It's a fairly simple scripting language, so it shouldn't be hard to modify these scripts into whatever you need.

For the VXX/SPY chart, the following script will give you ema(150) crossovers:

study("VXX/SPY")
vxx = security("VXX","1",close)
spy = security("SPY","1",close)
vxxspy = sma(vxx/spy,4)
plot(vxxspy,linewidth=2)
plot(ema(vxxspy,150),color=red)

------------

RSI(10) for VXX/SPY is as follows:

study("VXX/SPY RSI(10)")
vxx = security("VXX","1",close)
spy = security("SPY","1",close)
vxxspy = sma(vxx/spy,4)
plot(rsi(vxxspy,10), color=orange)
hline(70)
hline(30)

------------

CCI(100) for VXX/SPY is as follows:

study("VXX/SPY CCI(100)")
vxx = security("VXX","1",close)
spy = security("SPY","1",close)
vxxspy = sma(vxx/spy,3)
plot(cci(vxxspy,100),style=area)
hline(150)
hline(100)
hline(-100)
hline(-150)

Filter Exchange · A set of trading rules regarding SPY and SH :
frsrblch
msg #119704
5/14/2014 9:43:52 AM

I haven't had as much time as I would have liked for this one, so it's a little crude. I executed trades using SSO and 1/SSO because I wanted leverage but didn't take the time to add in data from SDS. It won't load properly in your browser; you'll have to download it and open in Excel.

https://drive.google.com/file/d/0B0rUWi0Alg22MU5vQU5veF9kTEE/edit?usp=sharing

Filter Exchange · A set of trading rules regarding SPY and SH :
frsrblch
msg #119429
5/7/2014 1:02:46 PM

Compare the results from your SF backtest with what the filter itself tells you to do, and what the SF backtest did with the results from the SF filter. I don't trust the SF backtest results as well as I trust the SS or my own coding in Excel.

Filter Exchange · A set of trading rules regarding SPY and SH :
frsrblch
msg #119297
5/1/2014 10:18:43 AM

It's always great to see simple filters presented for analysis, especially with full backtesting and analysis. I look forward to modelling it in Excel this weekend, and I'll be sure to share my results.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
frsrblch
msg #118776
3/26/2014 12:15:50 PM

Usually when I get massive returns on a backtest, I've made an error somewhere in my Excel calculations, but if the SF backtest is spitting out these results, I would say this warrants further study. How did this broader filter perform over more recent periods, and how does it compare to the S&P500-only version of the filter?

Filter Exchange · TRO'S CROCK POT 2.0
frsrblch
msg #116050
10/18/2013 4:06:08 PM

If you want to resolve trades where the 5% profit stop and and the 10% limit were both triggered in the same week, you can look up the stock on TradingView. They have daily data going back years that you can scroll through to see which limit triggered first.

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