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Filter Exchange · Bollinger Squeeze
yepher
msg #31767
4/15/2004 8:28:51 PM

wallman,

Based on the description above here is a filter I tried to

Fetcher[
AND bollinger(20) width has reached a 6 month low in the last 30 days
AND VROC has reached a new 1 year high
AND price reached a new 6 monty high in the past 30 days
]



Does this seem about right.


-- Yepher


Filter Exchange · Bollinger Squeeze
yepher
msg #31764
4/15/2004 7:41:20 PM

TxTrapper,

I just noticed you used "bollinger width(NN)" in the filter you posted. Very nice ;)

-- Chris


Filter Exchange · Bollinger Squeeze
yepher
msg #31763
4/15/2004 7:39:31 PM

I found an easier way to write the original bollinger filter that started this tread:

Fetcher[bollinger width(20) reached a new 6 month low]



I am not sure how I over looked this the first time.

-- Yepher


Filter Exchange · A filter for stocks with a high probabilty of making a large move
yepher
msg #31756
4/15/2004 1:15:46 PM

cegis,

I was interested in the R1 and R2 as well. I found them in the Stock Fetcher manual on page 78. It seems these values are for Pivot Points. Other values are PP, R1, S1, R2, S2.

txtrapper,

I am not strong on my understanding how stock fetcher uses pivot points so thanks for some additional insight.


-- Yepher




Filter Exchange · A filter for stocks with a high probabilty of making a large move
yepher
msg #31750
4/14/2004 11:21:14 PM

Cegis,

I WISH I could find those stocks the day before their first big move (no holy grail here) But I do notice that in the next day(s) they do tend to have "a high probability of making a large" which is what cjx3000 was looking for. In fact often this big move has enough energy to cause "echo' price spike through the next days or weeks.

The one thing I have noticed about them is the day before they actually make that move is they tend to have a fairly tight Bollinger(20) compression. Although COHT did not display that effect unless you look back 18 days before when it had another very big day.

My original thought on this was there was some sort of monemtum that carried the stock up in after/premarket.Also that there were moany who scramble to cover their short position which cause even more growth in the stock. I am trying to uderstand what are the psychological human characterisitics that cause stock to perform in this way and are those characteristics able to be quantified.


I have done quite well using this *kind* of information in the real market but there is no way I would hold any of these stocks overnight because there is just no telling where they are going and how fast. But it is an edge to have them on the screen during the day and latch on if the oportunity arises.

I guess one could work out a strategy where they buy these at close and pay VERY close attention in after/premarket using mental stop losses and be ready to unload if you land one like txtrapper pointed out above that drops. If you are into shorting then these might make really good candidates for the next trading day.

I am not recommending this as a usable strategy in any way. I know that a lot of new traders read these posts and my view is this "DON'T DO IT"! Unless you are ready to loose all your money.


PS,

cegis - thanks for the continued input on getting the link clickable. I will continue to try and get it right. I have not found the feature documented so it has been mainly trial and error. I will try and refrain from using "<" and ">" when posting so the like will be clickable. Here is a repost of the previous filter that had a broken link:

This filter still has some price potential in the following days and is about third on my list in terms of favorite scans.

Fetcher[
close above the upper bollinger(20)
AND day point range greater than 1.0
AND price between 1 and 10
AND volume above 5000
]






-- Yepher


Filter Exchange · A filter for stocks with a high probabilty of making a large move
yepher
msg #31743
4/14/2004 6:09:42 PM

txtrapper,

I kinda thought it might do that. If you notice the past three have done really bad. I am not sure what the cause of this is the further you go back the better the results seem to be.

Any idea what might cause this effect?

-- Yepher


Filter Exchange · Bollinger Squeeze
yepher
msg #31742
4/14/2004 6:05:56 PM

Dan,

Thank you, for all the input this is good stuff. I like the direction you are going. I am going to spend time with this filter you have and see how far it moves toward where I think this can can go. To me a true test of the filter would be that it returns very few results when the market is stagnant and many results when the market is on the move.

Originally I was not going to worry about ADX since I thought the fact that there was bollinger compression ADX would already be showing oscilator. I need more thought on this point.

I realized last night that I did not mean to say "Linear Regression" of lows on oscillator but the slope of the lows on the oscillator to help judge direction. Sorry if that caused any confusion.

-- Yepher


Filter Exchange · A filter for stocks with a high probabilty of making a large move
yepher
msg #31727
4/13/2004 11:44:49 PM

Here is a filter that I tend to see a big price movement the next day or so from. I have had a lot of success with these filter helping me to pick my next days watch list.

Fetcher[
open below the median bollinger(20)
AND close above the upper bollinger(20)
AND day point range is above 2.00
AND price between 1
AND 10 AND volume above 91000
]



This is a pretty tight filter and has only given 36 or so trades over the past 2 year. One more as of today (04/13/04) COHT. Statistically there is a very good indication that if you buy the result on market close and hold over night on average you will get a return of ~7% if you sell immediatly on open. Once it got ~115%. (I am going from memory on these numbers so the maybe off a little) Of course if you can figure out which direction the market will go the next day and immediatly go Long or Short that number increase to 50-100+%. The problem is you have no protection with stop losses so you can get hurt real bad by trying this so I am NOT suggesting you try it.

Here is a relaxed version of the filter above. I have not analyzed this over time to understand what it's characteristics is but should provide some fairly large movemets the next day.

Fetcher[
close above the upper bollinger(20)
AND day point range > 1.0
AND price between 1 and 10
AND volume above 5000
]

-- Yepher



Filter Exchange · Bollinger Squeeze
yepher
msg #31726
4/13/2004 11:30:46 PM

First of all I should say, I am a big fan of the people who contribute to this forum and have been watching for some time now. I am glad to finally have something that I can contribute.


dangreene,

- I guess I could use the syntax "near" for the 6 month lows if the filter seems to be too tight or missing good canidates. Yes?

Cegis,
- Ahh yes Fetcher not Filter. Sometimes I just overlook the obvious DOH!!!

- I like the final idea you proposed. I think a varation to that which I will research is: if currently in a squeeze now and the previous squeeze of same relative magnitude performed well in average price(N) then does that provide any addition statistical confidence and predictability. This is purly looking for magnitude of breakout and not direction.

- This filter will not do well if you use the performance analysis because it does not attempt to define direction for movement. It only tries to find out that there is going to be a movement.


My thinking on the filter,

My first pass was to impliment as exactly as possible to filter described in Bollingers book and here: http://www.investopedia.com/articles/technical/04/030304.asp

I will continue my research on Bollinger squeeze. From my study of this filter it seems you get a nice price shift within the next 2 - 7 weeks. I don't think Bollinger band really indicates direction so I am working on a complimentry divergence filter to indicate direction.

From this bollinger filter I want to derive the following:
A. Bollinger squeeze between some range
B. Bollinger band just started to loose some compression
C. Divergence of oscillator

I have parts A & B And I have been studing all the posts on divergence as well as the SF manual but I have not quite figured out how to accomplish part C. I am thinking I need to use linear regression for the lows (or highs depending on what Long or Short prospect) of the oscillator and tie that to the linear regression of price somehow. I am not convinced that the divergence discussed in the forum is the same as the one I am looking for. Need more research on my part :)

The oscilator that I hope to use is one with a lot of smothing and not suseptible to hiccups when data falls large price deviation fall off the end of the window. More smothing that Stoch would be great.

What I hope to find is a stock that has a good chance of movement and with some level of direction prediction. It would be nice to also get some insight into head fake and how to detect it.

Happy Trading,
-- Yepher





Filter Exchange · A filter for stocks with a high probabilty of making a large move
yepher
msg #31693
4/12/2004 3:39:56 PM

What kind of day range do you want to hold the stock?


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