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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.

Filter Exchange · Kevin_in_GA -- would you repost a script?
mahkoh
msg #100858
5/22/2011 3:20:41 PM

Bill,

The work is Kevin's. All I did was combine two of his threads. My reasoning was that if you buy the top pick from the list on Monday the market could crash that same day and sell off all week. Rather than sitting it out until Friday I would look for other opportunities.

To avoid getting whipsawed too much I would not use the ROC cross above 0 in the stockcharts link as a hard stop. The crosses above 0 in early Oct 2010 and January 2011 were merely tests of this line, also the MA was still in a downtrend at that point.

The MA starting to move up and ROC retests 0 from above like in August 2010 and this May are more solid indications to leave the market. By the way notice the divergence between the correlation line and the ROC from early April until May.

Filter Exchange · rsi(2) - kiss
mahkoh
msg #100857
modified
5/22/2011 2:38:30 PM

Thank you both for pointing me in the right direction.
Glad that we all can COUNT on you.

Filter Exchange · rsi(2) - kiss
mahkoh
msg #100836
modified
5/21/2011 2:48:04 PM

I like simple, Four. Trying to make it so that I get a column that I can sort.

Fetcher[
SET{dur, COUNT(RSI(2) below 3,1)}
dur above 2
and close is between 10 and 100
and average volume(30) is above 150000
add column dur
]



Not working.

I know that I can get this to work by adding one day ago and two days ago etc and then adding those results. But as I said,
I like simple. Does anyone know a simple solution to this?

Appreciate it.




Filter Exchange · Kevin_in_GA -- would you repost a script?
mahkoh
msg #100824
5/20/2011 7:00:15 PM

I would like to add something from one of Kevin's other posts:

Check this link daily:

http://stockcharts.com/h-sc/ui?s=$VIX:$SPX&p=D&yr=1&mn=0&dy=0&id=p72249291784

When ROC (15) is above 0 and VIX-SPX correlation is above SMA close your position (and/or go long volatility)



General Discussion · [] [] [] Scalping System [] [] []
mahkoh
msg #100510
modified
5/1/2011 3:39:01 PM

Fetcher[
add column days(low more than .01 percent below open, 100) {xConsec}
add column count(low less than .01 percent below open, 100) { 100 days x Occur}
add column count(low less than .01 percent below open, 50) { 50 days x Occur}
add column count(low less than .01 percent below open, 25) { 25 days x Occur}
add column count(low less than .01 percent below open, 5) { 5 days x Occur}

average volume(90) more than 1000000
Close above EMA(200)
Close above MA(200)
close is between 10 and 55

and volume(90) 3 days ago < volume(90) 2 days ago
and volume(90) 2 days ago < volume(90) 1 day ago
and volume(90) 1 day ago > and volume(90) 3 days ago
and volume(90) 1 day ago > 2000000
and volume(90) 3 days ago > 1000000
and volume(90) 2 days ago > 1500000
and stock is not etf
and draw ema(20)
and draw ema(50)
and draw ema(200)
and add column sector

set{body_top,max(open,close)}
add column body_top
set{body_bottom,min(open,close)}
add column body_bottom
set{body_size, body_top minus body_bottom}
add column body_size
set{body_average, cma(body_size,62)}
add column body_average
body_average > 0.35

and close 1 day ago above open 1 day ago
and close 2 days ago above open 2 days ago
and close 3 days ago above open 3 days ago
]



SF is somewhat clueless with the last three lines of your original filter

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