StockFetcher Forums · Filter Exchange · FADING THE GAP STATISTICS FILTER<< 1 ... 35 36 37 38 39 ... 40 >>Post Follow-up
taylorsk
106 posts
msg #97725
- Ignore taylorsk		 12/2/2010 10:54:25 AM

Hey RumpledOne...

Found an error in my logic on the statistics filter looking for stocks that gap and looking for stocks that fill the gap but do not close in the direction of the gap.


I was using the code

set{gapuphold5, count(close > open, 5)}
set{gapdownhold5, count(close < open, 5)}

using the 5 period so I could manually check the numbers. This returns all days that the close>open or close< open and not just the gap days. .

I am trying to figure out a way to count only days that a stock closes in the direction of the gap

I have read the AND OR screens you wrote, but cannot get it to work or at least Have not as of yet figured it out to work.....

What I am trying to figure is

If a stock gaps up how often does it fill the gap down and not close higher
If a stock gaps down how often does it fill the gap up and not close lower

I would of coarse like to tie this into your overall Fade the Gap filter.....

Here is the 5 period scan I use to manually check things.

Fetcher[
/* TRO - FADING THE GAP STATISTICS FILTER */

volume above 750000
and Average Volume(30)is above 1000000
and the average day range(20) is above 3%
close is between 25 and 75

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

set{absgap, abs(Xgapped)}

set{gappedup5, count(Xgapup > 0, 5)}
set{gappeddn5, count(Xgapdn > 0, 5)}

set{closelo, close 1 day ago - low}
set{hiclose, high - close 1 day ago }

set{fillup, count(closelo > 0, 1)}
set{filldn, count(hiclose > 0, 1)}

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

set{gapupfilled5, count(gapupfilled > 0, 5)}
set{gapdnfilled5, count(gapdnfilled > 0, 5)}


set{gapuphold5, count(close > open, 5)}
set{gapdownhold5, count(close < open, 5)}


set{gapupstrength, gapupfilled5-gapuphold5}
set{gapdnstrength, gapdnfilled5-gapdownhold5}

/* DRAW PLOTS */

DRAW XGAPPED ON PLOT XGAPPED


add column gappedup5
add column gapupfilled5
add column gapuphold5
add column gapuphold
add column gapupstrength
add column gappeddn5
add column gapdnfilled5
add column gapdownhold5
add column gapdnstrength



sort column 12 descending

]
taylorsk
106 posts
msg #97762
- Ignore taylorsk		 12/3/2010 9:53:37 AM

Further reaserch looks like I cant do the above due to the nesting issue.

Off to Exel I go.
TheRumpledOne
6,529 posts
msg #98039
- Ignore TheRumpledOne
modified		 12/17/2010 8:06:32 AM

Fetcher[

/* TRO Frequency distribution of High - Open for gap down days */

symlist(aapl,rimm,qqqq)

/* gap fill statistics */

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

set{absgap, abs(Xgapped)}

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}

/* Run Forest, Run */

set{x1, high - open}
set{Long_Profit, x1 * Xgapdn }

set{B1A, count(Long_Profit > .00 , 100)}
set{B2A, count(Long_Profit > .03, 100)}
set{B0010, B1A - B2A}

set{C1A, count(Long_Profit > .04 , 100)}
set{C2A, count(Long_Profit > .09, 100)}
set{C0010, C1A - C2A}

set{D1A, count(Long_Profit > .09 , 100)}
set{D2A, count(Long_Profit > .19, 100)}
set{D1020, D1A - D2A}

set{E1A, count(Long_Profit > .19 , 100)}
set{E2A, count(Long_Profit > .29, 100)}
set{E2030, E1A - E2A}

set{F1A, count(Long_Profit > .29 , 100)}
set{F2A, count(Long_Profit > .39, 100)}
set{F3040, F1A - F2A}

set{G1A, count(Long_Profit > .39 , 100)}
set{G2A, count(Long_Profit > .49, 100)}
set{G4050, G1A - G2A}

set{H1A, count(Long_Profit > .49 , 100)}
set{H2A, count(Long_Profit > .99, 100)}
set{H50100, H1A - H2A}

set{I100, count(Long_Profit > .99 , 100)}

and add column B0010 {1_3}
and add column C0010 {4_9}
and add column D1020 {10_19}
and add column E2030 {20_29}
and add column F3040 {30_39}
and add column G4050 {40_49}
and add column H50100 {50_99}
and add column I100 {100}


/* DISPLAY COLUMNS */

and add column gappedup100
and add column gappeddn100
and add column gapfilled
and add column gapup100f
and add column gapdn100f

and add column cma(absgap, 100)
and add column absgap 100 day high
and add column absgap 100 day low


sort column 11 descending

]
TheRumpledOne
6,529 posts
msg #98060
- Ignore TheRumpledOne		 12/17/2010 12:55:29 PM

INTERESTING...

http://www.sfomag.com/eSFO/eSFO2010_12.aspx?pg=49
TheRumpledOne
6,529 posts
msg #98674
- Ignore TheRumpledOne
modified		 1/20/2011 4:16:23 PM

Fetcher[
/* gap fill statistics buy close, sell open*/

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

set{absgap, abs(Xgapped)}

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}

set{HIPC, High - close 1 day ago}
set{OPPC, Open - close 1 day ago}
set{LOPC, Low - close 1 day ago }

/* DRAW PLOTS */

DRAW XGAPPED ON PLOT XGAPPED

/* DISPLAY COLUMNS */

and add column HIPC
and add column OPPC
and add column LOPC

and add column gappedup100
and add column gappeddn100
and add column gapfilled
and add column gapup100f
and add column gapdn100f

and add column cma(absgap, 100)
and add column absgap 100 day high
and add column absgap 100 day low

/* SELECTION CRITERIA */

symlist(aapl,rimm)

/* SORT CRITERIA */

SORT COLUMN 8 DESCENDING
]



Buy at market close, sell at the open the next session.

Statistics in your favor.

MAY ALL YOUR FILLS BE COMPLETE.

P.S. THEN YOU CAN FADE THE GAP... LOL!!




mahkoh
1,065 posts
msg #98705
- Ignore mahkoh		 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?
mahkoh
1,065 posts
msg #98715
- Ignore mahkoh
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
]
TheRumpledOne
6,529 posts
msg #98725
- Ignore TheRumpledOne
modified		 1/24/2011 10:28:43 AM

Fetcher[

/* TRO Frequency distribution of High - Previous Close */

/* gap fill statistics */

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

set{absgap, abs(Xgapped)}

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}

/* Run Forest, Run */

set{Long_Profit, hicl1}


set{A0001, count(Long_Profit < .02 , 100)}

set{B1A, count(Long_Profit > .01 , 100)}
set{B2A, count(Long_Profit > .03, 100)}
set{B0010, B1A - B2A}

set{C1A, count(Long_Profit > .04 , 100)}
set{C2A, count(Long_Profit > .09, 100)}
set{C0010, C1A - C2A}

set{D1A, count(Long_Profit > .09 , 100)}
set{D2A, count(Long_Profit > .19, 100)}
set{D1020, D1A - D2A}

set{E1A, count(Long_Profit > .19 , 100)}
set{E2A, count(Long_Profit > .29, 100)}
set{E2030, E1A - E2A}

set{F1A, count(Long_Profit > .29 , 100)}
set{F2A, count(Long_Profit > .39, 100)}
set{F3040, F1A - F2A}

set{G1A, count(Long_Profit > .39 , 100)}
set{G2A, count(Long_Profit > .49, 100)}
set{G4050, G1A - G2A}

set{H1A, count(Long_Profit > .49 , 100)}
set{H2A, count(Long_Profit > .99, 100)}
set{H50100, H1A - H2A}

set{I100, count(Long_Profit > .99 , 100)}


and add column A0001{0_1}
and add column B0010 {2_3}
and add column C0010 {4_9}
and add column D1020 {10_19}
and add column E2030 {20_29}
and add column F3040 {30_39}
and add column G4050 {40_49}
and add column H50100 {50_99}
and add column I100 {100}


/* DISPLAY COLUMNS */

and add column gappedup100
and add column gappeddn100
and add column gapfilled
and add column gapup100f
and add column gapdn100f

and add column cma(absgap, 100)
and add column absgap 100 day high
and add column absgap 100 day low

B0010 below 20

close below 10
avg volume(100) above 1000000

sort column 5 ascending

]
TheRumpledOne
6,529 posts
msg #98729
- Ignore TheRumpledOne
modified		 1/24/2011 5:05:15 PM

Fetcher[
/* TRO Frequency distribution of High - Previous Close */

/* gap fill statistics */

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

set{absgap, abs(Xgapped)}

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}

/* Run Forest, Run */

set{Long_Profit, hicl1}


set{A0001, count(Long_Profit < .02 , 100)}

set{B1A, count(Long_Profit > .01 , 100)}
set{B2A, count(Long_Profit > .03, 100)}
set{B0010, B1A - B2A}

set{C1A, count(Long_Profit > .04 , 100)}
set{C2A, count(Long_Profit > .09, 100)}
set{C0010, C1A - C2A}

set{D1A, count(Long_Profit > .09 , 100)}
set{D2A, count(Long_Profit > .19, 100)}
set{D1020, D1A - D2A}

set{E1A, count(Long_Profit > .19 , 100)}
set{E2A, count(Long_Profit > .29, 100)}
set{E2030, E1A - E2A}

set{F1A, count(Long_Profit > .29 , 100)}
set{F2A, count(Long_Profit > .39, 100)}
set{F3040, F1A - F2A}

set{G1A, count(Long_Profit > .39 , 100)}
set{G2A, count(Long_Profit > .49, 100)}
set{G4050, G1A - G2A}

set{H1A, count(Long_Profit > .49 , 100)}
set{H2A, count(Long_Profit > .99, 100)}
set{H50100, H1A - H2A}

set{I100, count(Long_Profit > .99 , 100)}

set{DIME, count(Long_Profit > .09 , 5)}

and add column DIME {DIME}

and add column separator
and add column hicl1 {hicl }
and add column hicl1 1 day ago {hicl1}
and add column hicl1 2 days ago {hicl2}
and add column hicl1 3 days ago {hicl3}
and add column hicl1 4 days ago {hicl4}

and add column separator
and add column A0001{0_1}
and add column B0010 {2_3}
and add column C0010 {4_9}
and add column D1020 {10_19}
and add column E2030 {20_29}
and add column F3040 {30_39}
and add column G4050 {40_49}
and add column H50100 {50_99}
and add column I100 {100}



B0010 below 20
DIME above 0

close below 10
avg volume(100) above 1000000

sort column 5 descending

]



Added last 5 days results columns.



TheRumpledOne
6,529 posts
msg #98836
- Ignore TheRumpledOne		 2/1/2011 1:44:45 PM

http://www.tradingacademy.com/lessons/20110201/featured_article.htm

Meanwhile, we just MILK THE COWS everyday.
StockFetcher Forums · Filter Exchange · FADING THE GAP STATISTICS FILTER<< 1 ... 35 36 37 38 39 ... 40 >>Post Follow-up

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