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Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101926
8/2/2011 4:47:22 AM

The z-score measures the dislocation of the stock versus SPX with the idea being that the stock will reverse to the mean (zscore=0). Like a rubber band: the lower the zscore, the more stretched the rubber band is. A zscore rising does indicate that the reversion has begun, but remember that you are dealing with two variables, the stock and SPX.

Duke, as an example CVH was selected on Friday. If you bought at the open at 33.83 you are down 6% already. After 10:00 it started moving up and you could enter around Friday's close near 32. Even better would be to wait until it starts trading above the 20 ma on the 5 min chart which would have you entered in the 31.50 area. If it runs from the open don't chase, try the second on the list or wait until the next signal.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101918
8/1/2011 5:36:27 PM

I am not sure forty four, but I think a rising zscore while making lower lows would just tell you that SPX is falling faster than your stock. I'm not a big backtester but I have tried al lot on this filter and I have come to the conclusion that Kevin has already optimised it. What you can do is try to get a better price by not buying/selling right at the open after an entry or exit signal.

General Discussion · Basic Help
mahkoh
msg #101895
7/31/2011 3:08:37 PM

You can run filters from about 10:00 until after market close, that is what I do anyway. Because the data is delayed you will until 10:00 get yesterday's results. When you run filters intraday always be aware that you are looking at what the situation was like half an hour ago.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101855
7/28/2011 5:03:17 PM

Thanks, Duke. I've added this to the filter

set{p, close - ma(200)}
set{above200, p/ma(200)}
set{%above200,above200*100}
add column %above200

This way I can sort by both z-score and %above200.



Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101837
7/27/2011 7:10:06 AM

Kevin, I notice you have MMM on your eod list. Did you let go of the 200 SMA requirement?

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101824
modified
7/26/2011 6:21:39 PM

Thanks for the explanation Duke
I have downloaded 5 returns during the day and pasted them below with their z-score
11:00
WAT -3.47
MMM -3.05
NFLX -2.96
ZMH -2.71
BDX -2.67
LTD -2.65
UTX -2.45
SNA -2.44
LO -2.36
GWW -2.35
DHR -2.33
DGX -2.19

12:00
BDX -2.84
LTD -2.7
LO -2.56
GWW -2.56
SNA -2.43
DHR -2.33
CAH -2.29

13:30
MMM -3.15
BDX -2.85
GWW -2.6
SNA -2.48
LO -2.44
DHR -2.42
CAH -2.23

15:00
BDX -2.81
GWW -2.65
SNA -2.5
DHR -2.33
CAH -2.31

16:30
VAR -2.82
BDX -2.75
GWW -2.62
CFN -2.6
SNA -2.47
PPG -2.43
CAH -2.31
DHR -2.29
DVA -2.12
COP -2

Funny to analyze and see e.g. that MMM made a move above the 200 SMA in the third scan and since dropped below.
I am currently using 2 filters, the original and the one without S&P and 200 SMA requirements. I do draw the 200 SMA though, as I go through the results visually I can see whether it trades above or below and decide whether I believe there to be sufficient support to justify a trade. For that last purpose I also draw a 50 and 20 SMA and get particularly interested when there is combined support just below. For tomorrow VAR and COP look tempting: for both 50 SMA, monthly pivot point and weekly S2 are all in the 68.50 and 73.50 area resp, outside the S&P WERN and MYGN have the 200 SMA and monthly S1 as combined support at 24.00 and 21.50 resp.




Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101799
7/25/2011 6:10:18 PM

Duke, these are promising results but I do have a couple of loose ends here: Am I right to assume that these were all daytrades? If yes did the filter pick them intraday and if yes do you run the filter at or until a certain time or all day long?
I noticed you only went long GME on July 12 while the filter generated it also on July 13 and 14. As you did go long twice on DF did you have a reason not to do this with GME or was it just not generated intraday?


Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101611
modified
7/13/2011 2:47:08 PM

Just a caveat - you are picking stocks outside of the S&P 500 with the first two lines of your filter. All of the system design, optimization and backtesting were done on S&P stocks. This will give you more stocks to choose from, but no promises on any performance.

Kevin

Have you backtested this filter over the last six months or so and compared it to the original?


You have a point here, but I do believe that stocks which trade at a sufficient daily volume and above the price threshold will tend to move along with the S&P although they are not in that index.
Backtesting is not a thing that I'm good at and I really wouldn't know how to implement variables like pivot points into that.

I tried your Connors Combined filter that popped to the top the other day and this picked GME as well (now at 15:00hrs). Also showed VMED yesterday with double pivot and 200 SMA support.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101609
7/13/2011 2:17:12 PM

Buy signal for GME again today, but today it has monthly S2 support at 24.34

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101596
modified
7/12/2011 3:21:18 PM

Fetcher[
price above 10
average volume(30) above 400000
/*FIRST DETERMINE HISTORICAL RATIO OF S&P STOCK TO THE SPY OVER THE LAST 16 DAYS*/
SET{PRICERATIO, CLOSE / IND(^SPX,CLOSE)}
SET{RATIOMA16, CMA(PRICERATIO,16)}
SET{RATIOSTD16, CSTDDEV(PRICERATIO,16)}
SET{DIFF16, PRICERATIO - RATIOMA16}
SET{ZSCORE16, DIFF16 / RATIOSTD16}
SET{THRESHOLD16, RATIOSTD16 * 2}

/*NEXT, SET CRITERIA NECESSARY TO TRIGGER A PAIR TRADE*/

SET{UPPERBAND16, RATIOMA16 + THRESHOLD16}
SET{LOWERBAND16, RATIOMA16 - THRESHOLD16}

zscore16 below -2
close above MA(200)

draw price line at weekly S3
draw price line at weekly S2
draw price line at weekly S1
draw price line at weekly PP
draw price line at weekly R1
draw price line at weekly R2
draw price line at weekly R3
]



Getting the monthly pivot lines is a bit of a hassle, you can check how I do this in another thread, search for "draw pivot lines".
I fiddled with my colour settings so that my weekly and monthly pivot lines are black, weekly support and resistance lines red and monthly lines blue. Note that I also swapped the S&P requirement for price and volume, that returns more candidates as well. I got an exit signal today for CEF at a 7.33 % gain from 6/28.


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