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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.


Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101565
7/11/2011 5:22:06 PM

Kevin, I draw weekly and monthly pivot lines on the charts and check visually. Wouldn't really know how to backtest that.

General Discussion · Option Screening Website...any ideas?
mahkoh
msg #101515
7/8/2011 6:00:58 PM

schaeffers investment research also has a scanner and some interesting issues like open interest configuration.

Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101512
7/8/2011 5:53:29 PM

Kevin, you did indeed make it clear in your opening post that adding the 200 MA improved results.
I do however believe that there may be possibilities for further enhancement at this point. Using a syntax like "x day slope of the close is above 0" may produce results that address the requirement of being in an uptrend while being below the 200 MA.
I use your filter together with weekly and monthly pivot point analysis and have found that a reversal appears both more likely and more powerful when the filter's results are close to these support levels.


Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101502
7/8/2011 2:48:42 PM

Kevin_in_GA
1,926 posts
msg #101462
- Ignore Kevin_in_GA 7/6/2011 6:00:28 PM

Why would you mess with a well-tested system just because it is telling you to stay in cash? Maybe it's right???

Quote from your opening post:

"This still returned too many stocks, and during market corrections the system took some big hits. So I simply added a criteria that included “close above MA(XX)” for each stock, where XX was 50, 100, 150 or 200 days. This hopefully keeps you out of taking long positions on stocks that are tanking (keeps you “buying the dips”).

This definitely helped, and the system dramatically beat out the ^SPX, but the equity curves were still choppy and the system called for a lot of trades. "

Apparently your choice for a close above the MA syntax was not the part of the filter that you used the best of your skills and talents on and I think it would be interesting to see what improvements can be made here. After all you were basically looking to weed out stocks that are in a downtrend.





Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
mahkoh
msg #101461
7/6/2011 5:36:12 PM

Due to the last correction many stocks trade near their 200 MA. Requiring that they also are near the lower BB weeds out a lot of candidates. If you remove the "close is above 200 MA" syntax there are stocks returned. The question is how the backtest holds up without the above 200 MA requirement.

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