jimmyjazz
102 posts
msg #114791
- Ignore jimmyjazz |
8/7/2013 6:53:14 PM
I haven't dug through the code logic -- are you using weekly data (i.e. weekly open/close/high/low) or are you using daily data parsed in M-F chunks? If the former, then I agree the filter would be tough to write.
If the latter, then I guess it comes down to the ability to scan historical data in Tue-Mon batches.
Anyway, great filter, and much appreciated. It has made me a nice consistent return over the past couple of months.
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Eman93
4,750 posts
msg #114793
- Ignore Eman93 |
8/8/2013 12:29:13 AM
I just saw this and is very interesting... nice work as always Kevin.
You can only run it like 15 min after the close on Friday and until Monday open, to get true weekly data, any other time you are getting the last 5 trading days of info.
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jimmyjazz
102 posts
msg #115476
- Ignore jimmyjazz |
9/23/2013 8:21:24 AM
Can someone explain the results on this filter from this weekend, where DRYS showed a performance of "0.0" having had a 4-week reward:risk ratio of 4:0 and a 13-week ratio of 11:0? "Reward" was 2.85. Am I not understanding "performance"?
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Kevin_in_GA
4,599 posts
msg #115477
- Ignore Kevin_in_GA |
9/23/2013 8:50:02 AM
Must be a glitch in how SF handles a division by zero.
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jimmyjazz
102 posts
msg #115480
- Ignore jimmyjazz |
9/23/2013 9:03:25 AM
What "should" DRYS performance be?
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jimmyjazz
102 posts
msg #116270
- Ignore jimmyjazz |
10/26/2013 10:26:49 AM
Something interesting happened after trading this week: NEWL triggered both the long and short versions of this filter.
Long: Performance = 1.06 (Reward = 2.92, Risk = 2.77)
Short: Performance = 2.06 (Reward = 2.85, Risk = 1.38)
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pharmacist.umang
3 posts
msg #124322
- Ignore pharmacist.umang |
7/9/2015 11:15:51 PM
Does this filter still works Kevin? Please share your latest experience with this.Cheers
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Kevin_in_GA
4,599 posts
msg #124324
- Ignore Kevin_in_GA |
7/10/2015 8:38:49 AM
I have not been using this filter for quite a while so I can't comment on its recent value. This was more of an expansion of prior work done by TRO on this idea.
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pharmacist.umang
3 posts
msg #124344
- Ignore pharmacist.umang |
7/10/2015 8:55:13 PM
Where is 'LIKE" button Kevin...? where is your filter for LIKE? Thank you.
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snappyfrog
749 posts
msg #128953
- Ignore snappyfrog |
6/6/2016 11:54:28 AM
I have been using this since Jan 1st of this year. So far, it is hitting at 85% accuracy and Profit Potential (PP) is 74% and 107% compounded. I have made 48% myself, since I haven't figured out how to catch the top yet lol. I do use a slight change of sorting by 1%, 2% and 5%, changing each week just to get a different mix of stocks. Thanks for posting this - trip to Hawaii is coming soon!!
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