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Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95332
8/3/2010 3:06:01 AM

Kevin - great thread, I start looking at the individual trades :-).

In this test, how do you handle stocks that gap beyond the stoploss?
Looking at HMC : It opened 8/2 at 32.44, beyond the trigger and the planned stoploss.
If orders were placed the night before as limit with brackets (as defined, without any additional condition) the short would have been filled at the open. If the stop has had the fixed value of 32.28 it would probably be rejected , so HMC would be short now without a set stop. If a stop were to be placed at 0.8% relative to the entry, the short would have been stopped out.
Or - do you avoid gap pullbacks which are beyond s2 ? If this is the case, would you modify the entry points?

Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95011
7/23/2010 4:16:35 AM

I think you can't place a stop loss and limit order on a stock you haven't purchased yet. If you use the r1/s1 pivots for entry, the corresponding stop and limit positions will not change. You can enter them after the trade is triggered.

Not sure if there are brokers who can do what you are asking. Maybe others can comment?

++++

You can do this at Interactive Brokers.
One can create a limit order to enter the trade, and attach to it 'bracket' order.
The 'bracket' is conditioned on the entry trade being filled, and is composed of a "one cancels another' pair of stop and limit orders that can be set to the predetermined stoploss and target.

Interactive Brokers, by the way, has excellent features and execution, and might be a better fit than Fidelity for this type of trading . In addition to the complex order types, commissions are lower if trades are of a moderate size. It is 0.5 cent/share with $1 minimum. In Kevin's test example, the average commission will probably be less than $2 vs. $7.95 at Fidelity.
Also, If one has a long/short dollar neutral strategy that seems to have low enough volatility and risk to justify trading it on margin: Unlike Fidelity and many other brokerages, at IB short proceeds offset margin debt. The strategy could be implemented without paying margin interest.


Filter Exchange · MODIFIED CONNORS RSI(2) FILTER
saratur
msg #95010
7/23/2010 3:14:01 AM

Kevin - I am new here. It is great to see your thread. Thanks for your detailed sharing. Some time ago I thought of testing the same general approach (trading a long/short basket of stocks based on mean reversion Connors type filters) - but never got myself to start the effort. Your thread is an excellent motivator.

Some reasons I hesitated: Mean reversion trading typically does better with very wide stops; also there are periods in the market when such strategies do not work well. Getting caught in such a period with wide stops could lead to high drawdowns, contradictory to my goal of low volatility (or better yet, low downward deviation) system. The portfolio approach will reduce volatility if the trades are not very correlated - but I do not have a feel to what extent they would be. Long/Short should reduce risk - but I do not know to what extent one could always find (and get filled) sufficient trades on both sides.

Your test shows excellent results so far. It is especially encouraging to see it is working with tighter stops.
At the same time - this is an unusually volatile period. Some trades could have worked just on account of the overall market movement. I would like to try and find out how such system could behave in a trending market, on both the long and short sides.

So far I figured out only the basics of Stockfetcher. This leads to a question:
Does StockFetcher has any means to backtest with stops and targets set individually for each stock?
Of what I found until now, it appears I could use a filter for historical stock selection, but will need to test the trades manually.

Filter Exchange · Webinar with M4M
saratur
msg #89956
3/19/2010 5:00:57 PM

Systrader - Thank you for organizing the webinar.

I am new here and not really familiar with M4M postings.

Could you - or anyone else who is familiar with the material - provide ahead of the webinar some pointers for the mostly relevant posts, and relevant stockfetcher filters ?

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