StockFetcher Forums · Filter Exchange · FADING THE GAP STATISTICS FILTER<< 1 ... 35 36 37 38 39 ... 40 >>Post Follow-up
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.
bagsby32
23 posts
msg #99985
- Ignore bagsby32
modified		 3/29/2011 1:26:18 PM

RumpledOne, just wanted to say thanks. I finally got it this morning. You have made me a better trader today.



TheRumpledOne
6,529 posts
msg #99986
- Ignore TheRumpledOne		 3/29/2011 2:11:48 PM

You're welcome.

What did you "GET"?

Please explain in your own words.

You may help someone else "get it".
rosalieone
4 posts
msg #99998
- Ignore rosalieone		 3/30/2011 10:37:38 AM

Rumpleone or mahkoh is it possible to find the one which is gapping up the most by percent ?
mahkoh
1,065 posts
msg #100004
- Ignore mahkoh		 3/30/2011 5:25:01 PM

The modified TRO filter I posted on jan 23 shows the average gap in percent in the column MA absgap. However this average consists of both gaps up and gaps down and I have not yet figured out whether it is possible to seperate them.
dakokolev
8 posts
msg #100156
- Ignore dakokolev		 4/6/2011 9:23:41 PM


Gents,
Can you simplify this filter just to catch the gaps Up or down within 1 to 3%.

I would like to see all stocks that jumped 1 to 3% UP or DOWN at opening

Something like:

For SHORT:

Show stocks where
Price at opening is between 1 to 3% lower than previous day close

For LONG

Show stocks where
Price at opening is between 1 to 3% higher than previous day close

I would appreciate your help!
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