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Backtesting Support · Is there any way to establish a set of buy/sell dates to override buys/sells?
jim_c_hill
msg #38320
10/3/2005 10:53:34 PM

Based on my medium term indicators for the russell 2000 I would like to establish a set of Buy/Sell dates such that the program only buys within the buy dates and sells at the sell date. Is this possible?
thanks
Jim



Backtesting Support · Backtest Processing
jim_c_hill
msg #38319
10/3/2005 10:51:56 PM

I am new to using the backtesting feature. Whenever I set up a backtest and test it I get a line showing the backtest with dates and above it the words processing or waiting. It stays that way. If I wait a minute or so and hit refresh it then gives me the results. This has happened for many backtests. Is this normal?
thanks



Filter Exchange · Help: How to have part of larger filter statement occur in past and other at this moment
jim_c_hill
msg #29899
11/16/2003 11:08:45 PM

Does anyone have an idea of how to do this:
I want the following to have occured in the last x number of days:

Show stocks where Slow Stochastic(13,3) Slow %D is below 40 and close 3 days ago is above close 2 days ago and close 2 days ago is above close 1 day ago and close 1 day ago is above close and 2 day slope of ma(3) is near 0

and the following to occur in the last close: rsi(14) crossed above 50.

I tried a parentheses about the first statement and then within last 10 days but I get no results even though I have seen stocks with this characteristic.

Thanks for any help.
Jim



General Discussion · Time frame for analyzing new filters
jim_c_hill
msg #29290
10/11/2003 5:39:19 PM

Joe
I did not suggest looking at 610 days of trading. I am suggesting one consider looking at the May-August 2001 time period, about 610 days ago for offset, and seeing what a filter does. Many produce very poor win % and loss%. As the market is now in at least a bull type phase, most filters return postive results. One has to be aware of market conditions and consider whether to play or not.
Your work on Koliga if very useful. As you know I contributed to the Killer system but when I worked on it I developed my aspects looking at good and bad markets. I would never trade a system without some understanding of how it does in down markets.
JH


General Discussion · Time frame for analyzing new filters
jim_c_hill
msg #29285
10/11/2003 12:53:55 PM

I have noticed recently a number of new filters posted in which good results are touted, but usually these are based on a relatively short time frames and sometimes over good market periods. If you are developing a new filter I suggest, as previously suggested many months ago, that you look at the performance from May 4, 2001 through the end of August, 2001, presently 610 days offset. You will find many filters fail during this time period. There are some filters that break even or even make money but few do well in the time frame. You need to be ready to trade this type of time frame or recognize it and do not trade it.
Jim


Filter Exchange · mika's Dragon-Tail filter
jim_c_hill
msg #28836
9/23/2003 5:52:13 PM

I think I am a little slow today in my analysis skills. In the filter there is the phrase

Show stocks where close minus low is more than 300 above open minus close

and when I look at plots of close minus low vs open minus close in stockfetcher
I do not see how this condition can ever be true. The plots typically show delta values of 0.15, 0.2 etc. What am I missing?

thanks
Jim



Filter Exchange · look at the post on holy grail below after 4 days you win 99%
jim_c_hill
msg #28755
9/21/2003 1:16:42 AM

TheRumpledOne

Thanks for the information and how you trade the spread. You are closer to the bid and ask than I thought. I can see where you are definitely trying to scalp the bid and ask.

It would be interesting to try some of this type of trading if I only had the time during the day.

Jim





General Discussion · Joe G. vs TheRumpledOne: Different Views
jim_c_hill
msg #28754
9/21/2003 1:13:00 AM

TheRumpledOne

I think we have to be careful about how we interpret the results of G5. The top winners are all using very low priced stocks. If one is trading those types of stocks, then yes, they are excellent filters for very short term trading. If one is interested in stocks between 10 and 25 I can tell you that the rsi(2)filters do not work well in many cases. Other filters work better. The rsi(2) seems more tuned for lower priced stocks.

I think comparing filters for low priced, penny type stocks to filters for higher priced stocks is comparing apples to oranges in many cases. This is why filter development is so interesting and challenging.

If we are going to argue or discuss filters I think we need to ensure that the surrounding parameters, trading styles, etc. need to be identified so we have standards for comparison. This is why I posted my views in this thread.

The more we can all share our ideas, the more we can all benefit. I work in the field of science and when we have generated our data and interpretations we are required to have the article reviewed by several external referees before the article can be accepted and published. We also have to state our assumptions and standards if used. In a sense we are doing this here when we first publish a filter. Others can look at it and perhaps see great points or flaws.


Jim





General Discussion · Joe G. vs TheRumpledOne: Different Views
jim_c_hill
msg #28748
9/20/2003 8:46:49 PM

I accidently sent the message before I had completed it. This is the full text of my message:
There is a discussion (argument?) between Joe B and TheRumpledOne regarding the use of rsi(2), the Holy Grail based filters and results. I enjoy both of their comments on filters and trading but I think the two are trading apples and oranges in terms of how they approach trading.

TheRumpledOne is trading low cost stocks for quick movements in large quantities. He monitors his trades daily and buy/sells looking at the charts and doing daily technical analysis. Joe G., on the other hand is trading close to close for one day or more with stops. He tends to trade short to mid terms but normally not daily.

I have observed that rsi(2) can help pick stocks that will do a one or two day large rise but can also fall quickly on a close to close basis. If one is monitoring a small portfolio the HG, rsi(2) trading could be quite successful with large percentage returns. TheRumpledOne has been helpful with this type of trading and seems to be doing well at it.

For others, who can not watch the market during the day and are more conservative in trading then the work Joe G. is doing on Koliga is very helpful and demonstrates some daily/weekly type trading strategies with stops.

Since TheRumpledOne is watching the market and using charts and other tools, the performance data on stockfetcher will not give a realistic view of how he trades or his results. He can pick a stock that in a day and half will give him a nice profit but at the close of the second day it might tank and show a major loss. TheRumpledOne hopefully would have gotten out before the close. The approach used by Joe G. probably would have resulted in a major loss because of his style of trading. Even using stops he might not be protected in a fast market. For Joe G., using rsi(2) in filters might not produce good results. However, Joe G., also uses stops that can keep him in a great stock for a long time and obtain a great return also.

So I suggest we all recognize their differences and the fact that they are trading differently. Both are good contributors and I encourage them to continue posting with filters and revisions and good comments.

Jim



Filter Exchange · look at the post on holy grail below after 4 days you win 99%
jim_c_hill
msg #28743
9/20/2003 7:17:04 PM

TheRumpledOne
Thanks for your detailed response. By capturing the spread am I interpreting this by this example correctly?
Stock Z
Bid .15
Ask .19

If you were buying you might offer .17 and if you were selling you might ask .18?

Also, since you are buying 49000 shares, what minimum liquidity in average volume per day do you like to see?
thanks
Jim



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