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Filter Exchange · Option Buyers
mahkoh
msg #98794
1/29/2011 6:57:29 PM

I have recently stumbled upon TRO's Bollinger/Keltner squeeze filter and believe this may be suitable for straddles. The filter's results should have lost some implied volatility as they have been trading in a narrow range. Once they break out rising IV will provide wind in the back for the option.

The thread and filter are to be found here:
http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=45538&qrid=&isiframe&isiframe=

Filter Exchange · Option Buyers
mahkoh
msg #98792
1/29/2011 5:22:49 PM

Offsetting your filter until a couple of weeks back does not really convince me that buying calls on the results will be profitable. To narrow down the results however may I suggest you paste this in your filter:

symlist(AA,ABX,AEM,AFL,AIG,AKAM,AKS,AMAT,AMD,AMGN,AMR,AMZN,ANF,AUY,AXP,BAC,BAX,BIDU,BMY,BP,BRCM,BX,CAM,
CAT,CHK,CIEN,CIT,CMCSA,CNX,COF,COP,CREE,CSCO,CVS,CX,DE,DELL,DOW,DTV,DVN,EBAY,EMC,F,FCX,GE,GG,
GILD,GNW,GPS,HAL,HBC,HD,HIG,HK,HOG,HPQ,IBM,INTC,IWM,JCP,JDSU,JNPR,JPM,KFT,KGC,LCC,LEN,LVS,M,MBI,
MGM,MON,MOS,MRVL,MS,MSFT,MU,NEM,NFLX,NLY,NVDA,ORCL,PBR,QCOM,QQQQ,RIG,RIMM,S,SD,SFI,SLB,SLW,
SNDK,SPY,STEC,STI,SU,T,TGT,TIVO,UNH,V,VALE,VLO,VVUS,VZ,WFC,WFMI,WFT,WHR,WYNN,X,XOM,YHOO,ZION)

These are some stocks that have relatively tight spreads for the near the money options.


General Discussion · video - Jim Rogers and inflation
mahkoh
msg #98789
modified
1/29/2011 3:15:45 PM

He sounds more out of breath than I've ever heard him before, hope it's because he had to run to make it in time for the interview.

Filter Exchange · FADING THE GAP STATISTICS FILTER
mahkoh
msg #98715
modified
1/23/2011 3:03:14 PM

Here is a modified MTC filter that can be used for the "buy at the close-sell at the open filter"
After all when playing this strategy I would not at all be interested in whether the gap is to be filled or not, the edge would be that the stock has a statistical tendency to gap up more often than to gap down. Run the filter and sort the gapratio column descending. The higher the better, sort ascending for "short at the close-cover at the open" strategy.

Note that MAabsgap(30) and absgap-6weekhigh are in percentage in this filter. The columns filluppct and filldnpct should officially be multiplied by 100 but I never bothered.

Fetcher[
/* gap fill statistics */
CLOSE between 3 and 35
AVERAGE VOLUME(90) ABOVE 1000000
CMA(absgap,30) above 0.8
absgap 30 day high below 30



set{Xgapped, open - close 1 day ago}
set{Xgapup, count(Xgapped > 0, 1)}
set{Xgapdn, count(Xgapped < 0, 1)}

set{absgapz, abs(Xgapped)}
set{absgapx,absgapz/close}
set{ absgap,absgapx*100}

set{gappedup100, count(Xgapup > 0, 100)}
set{gappeddn100, count(Xgapdn > 0, 100)}

set{cl1lo, close 1 day ago - low}
set{hicl1, high - close 1 day ago }

set{fillup, count(cl1lo > 0, 1)}
set{filldn, count(hicl1 > 0, 1)}

set{gapupfilled, Xgapup * fillup }
set{gapdnfilled, Xgapdn * filldn }

set{gapup100f, count(gapupfilled > 0, 100)}
set{gapdn100f, count(gapdnfilled > 0, 100)}

set{gapfilled, gapup100f + gapdn100f}

/* DRAW PLOTS */

DRAW XGAPPED ON PLOT XGAPPED

/* DISPLAY COLUMNS */

and add column gappedup100
and add column gapup100f
set {filluppct , gapup100f/gappedup100}
an add column filluppct

and add column gapfilled

and add column gappeddn100
and add column gapdn100f
set {filldnpct , gapdn100f/gappeddn100}
an add column filldnpct


and add column cma(absgap, 30)
and add column absgap 30 day high
and add column industry
/* SELECTION CRITERIA */


/* SORT CRITERIA */

SORT COLUMN 15 DESCENDING

set{gapratio , gappedup100/gappeddn100}
add column gapratio
]









Filter Exchange · FADING THE GAP STATISTICS FILTER
mahkoh
msg #98705
1/22/2011 6:51:31 PM

Funny that there are 37 pages of posting without anyone coming up with this approach to the filter!
A thing to consider though: When selling at the open the spread can be quite large unless you trade highly liquid stocks. I used settings that look for stocks between 5 and 50 and avg 30 day volume above 3 million. The highest gappedup returned is 72 times out of 100, which would hardly qualify as a candidate in the regular use of the filter.
As a matter of fact when using the filter this way wouldn't you prefer stocks that gapped up but tend to NOT fill the gap afterwards?

General Discussion · option volume
mahkoh
msg #98703
1/22/2011 3:41:42 PM

www.livevol.com gives away free trials for a limited time. I do not know how long the trial lasts, I do know that signing up for real is pricey. You could also start following twitterers like optionradar and tradeticket on www.stocktwits.com

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
mahkoh
msg #98656
1/19/2011 5:42:14 PM

401K filter says replace IWM with MOO

General Discussion · TRO Fade the gaps for next week
mahkoh
msg #98622
1/17/2011 4:57:22 PM

Nice extra touch, the avg % move after gapping.

Filter Exchange · BEAR FILTER HELP
mahkoh
msg #98620
modified
1/17/2011 4:14:43 PM

As I see it the filter above looks for stocks that are short term oversold (rsi < 10) and which have been up over 5 % three times or more during the last 20 trading days. The opposite would be down 5 % three times or more during this period and overbought.

Fetcher[
set{ClOp,close - open}
set{x1,clop / open}
set{pct, x1 * 100}
set{y,count(pct is below -5, 20)}
y > 2
and rsi(2) is above 90
and price is above 5
and volume is above 100000
]



Personally I wouldn't rush into shorting everything this filter comes up with.

Filter Exchange · SF 2.0 CHART Question
mahkoh
msg #98611
1/16/2011 3:26:23 PM

Fetcher[
set {range1, High + Low}
set {true_range, range1 / 2}
set {body1, Open + Close}
set {real_body, body1 / 2}
set {close1, close}
set {TStrength, close - real_body}
Show stocks where close > real_body
and real_body > true_range
add column close1
add column real_body
add column true_range
add column TStrength
sort column TStrenght descending

draw close1 on plot real_body
]



One question: Sorting the TStrength value sets all the stocks with high $ value on top. Should you not do something like divide Tstrength by the close to get a more relative value ?

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