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General Discussion · BACKTESTING ALTERNATIVES?
jemarcks
msg #126701
1/12/2016 5:33:39 PM

I back test and trade with Trade Station.



Filter Exchange · Best Filters for Trading ETFs
jemarcks
msg #120917
6/30/2014 2:50:21 PM

Greetings!
I am new to SF. Just joined up last week and I have been reading MANY posts on trading in 401k/IRA accounts using ETFs.
I have a 401k and a Brokerage link account. I can buy any ETF in my Brokerage link account and I am looking for a good trading system to use.

I would like to start a thread where we can share our Best Performers.

I look forward to seeing what works well!

General Discussion · EVALUATING LARRY CONNORS' ETF TRADING STRAEGY
jemarcks
msg #122984
3/2/2015 12:00:20 AM

jrbikes:
I am using the ol penny strategy, 9 18 27 simple MA's, 1 year monthly, 1 year weekly, and 6 month daily, and 3 month daily, for longer time frame analysis, with 60 minute, 10 minute, and 5 minute intraday!


Can you explain what the penny strategy is?

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
jemarcks
msg #121002
modified
7/10/2014 4:48:44 PM

Kevin,

EDIT: My post was somehow eaten so here it is again.

Thanks for this system Kevin! Great work!
I am paper trading this system to see how it works on out of sample data for a while.

I had a question... when the entry filter returns several stocks with a zscore of -3.87, how do you know which stock to pick?

Thanks.
jeff



Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
jemarcks
msg #121489
9/11/2014 3:36:43 PM

I have been tinkering with this Zscore system that Kevin published (Thanks Kevin!!) for a week or so using Stratasearch for back testing and wanted to share some results.
First I wanted to reproduce Kevin's results and was able to do that. I used the same evaluation period, and same filter as posted on the first page of this thread.
Then I added an additional entry filter to limit stocks to those > $1 per share and the MA(20) of its volume * close >= 200000 to find the stock that are liquid enough. This didnt change Kevins results much at all but here they are as the baseline. This is from the variable equity report using monthly Sharpe Ratio. Multiply by 3.46 to get annual.

PortSize AvgAnnReturn ZS RRRatio SharpeRatio ZS
1 295.94 % 2.7289 0.2882
2 199.84 % 3.2404 0.3302
3 218.03 % 4.8694 0.3707
4 180.24 % 6.2112 0.3937
5 192.43 % 8.9181 0.4474
6 186.79 % 13.01 0.4959
7 159.63 % 13.1717 0.4986
8 130.22 % 13.4424 0.4945
9 105.56 % 11.5657 0.4922
10 86.32 %8.9019 0.4649


Next I was thinking about the ranking function to select stocks. Kevins system uses ZScore ascending which picks the stocks with the lowest zscore first which seems reasonable. (ZScore(@zdays))
Next I tried Price Rate of Change (proc) to rank the stocks selected and reran the combinations of days from 10 to 30.
proc(close,@zdays)
The results were better with PROC than ZScore as the ranking function. This seems to make sense because zscore tells us how far from the mean we have dipped and PROC tells us the rate of change of the dip and we have captured more profit from the stocks dipping the hardest.

PortSize AvgAnnReturn ZSROC RRRatio SharpeRatio ZSROC
1 111.69 % 1.8519 0.254
2 214.83 % 4.0376 0.3315
3 208.65 % 5.5788 0.3975
4 225.13 % 8.0273 0.4319
5 230.02 % 10.0068 0.4676
6 272.08 % 16.5115 0.5205
7 201.74 % 16.1121 0.5165
8 147.99 % 14.1959 0.5126
9 120.93 % 10.967 0.4948
10 104.78 % 10.392 0.4954

The max drawdown for both systems was about 11.5% Percent in market stayed about 58%.

I would be happy to post the detailed performance charts if someone will explain how its done.
Thanks and I welcome your feedback on this excellent system.

Also, is anyone still trading this system or some variant? Im curious how it has been working. If you found a more profitable system than this one, I would be all ears!








Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
jemarcks
msg #121494
9/12/2014 9:47:40 AM

When backtesting, in the selection criteria you would use roc(16,1) ascending.



General Discussion · Leading stocks on the S&P for the month
jemarcks
msg #121321
8/12/2014 5:45:36 PM

First you need to define what the criteria is for a leading stock of the S&P500.

General Discussion · Leading stocks on the S&P for the month
jemarcks
msg #121327
8/13/2014 3:48:17 PM

S&P 500
add column relative strength(SPY,21)
add column ROC(16,1)
sort on column 6 descending


Filter Exchange · Need help with RSI (2) formula
jemarcks
msg #122844
2/13/2015 9:56:10 PM

reversersi() is a nice function. I also have a reverse_wlr(). Its interesting to compare them in back testing. Im sure there are others too. (reverse_momentum?) Hmmmm.....

jeff


Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
jemarcks
msg #122845
2/13/2015 9:59:29 PM

I have been testing several versions of this system and may have some results to post soon. I like the position sizing part a lot! Back testing the position sizing has been a challenge. Any idea?

Jeff


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