| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 9 10 11 12 13 ... 22 >>Post Follow-up |
| saratur 14 posts msg #95010 - Ignore saratur |
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. |
| saratur 14 posts msg #95011 - Ignore saratur |
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. |
| duke56468 683 posts msg #95015 - Ignore duke56468 |
7/23/2010 9:26:59 AM Thanks saratur I have heard good things about IB and will give them a try. |
| cwn6161 40 posts msg #95019 - Ignore cwn6161 |
7/23/2010 10:46:59 AM I do believe Tradestation will let you perform bracketed orders as well. Fidelity just isn't "sophisticated" enough of a trading platform to perform those functions unfortunately. |
| Kevin_in_GA 4,599 posts msg #95043 - Ignore Kevin_in_GA |
7/23/2010 6:38:55 PM 7/23 Update: Long Plays: CPE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2). Limit order entry at 5.39, stop loss at 5.26, target exit at 5.75 for a potential profit of 6.68%. ORDER FILLED AT 5.39. PROFIT TARGET HIT at 5.75, for a gain of 6.68% GSIC - Scored 3/6 on Connors filters, has closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY. Limit order entry at 25.38, stop loss at 24.83, target exit at 27.00 for a potential profit of 6.38%. ORDER FILLED AT 25.38. Closed trade today at 26.30, for a gain of 3.62% LGF - Scored 4/6 on the Connors filters, and closed below the lower BB(20,2). Limit order entry at 5.98, stop loss at 5.86, target exit at 6.28 for a potential profit of 5.02%. ORDER FILLED AT 5.98. PROFIT TARGET HIT at 6.28, for a gain of 5.02% HRC - Scored 4/6 on the Connors filters, has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 28.94, stop loss at 28.59, target exit at 29.75 for a potential profit of 2.80%. ORDER FILLED AT 28.94. PROFIT TARGET HIT at 29.75, for a gain of 2.80% Short Plays: MON - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and RSI(2) is above 99. Limit order entry at 57.20, stop loss at 58.19, target exit at 55.37 for a potential profit of 3.20%. ORDER FILLED AT 57.20. STOPPED OUT at 58.19, for a loss of 1.70% SPN - Scored 6/6 on the Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 22.25, stop loss at 22.67, target exit at 21.42 for a potential profit of 3.73%. ORDER FILLED AT 22.25. STOPPED OUT at 22.67, for a loss of 1.85% ONNN - Scored 4/6 on Connors filters, RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 7.27, stop loss at 7.48, target exit at 6.87 for a potential profit of 5.50%. ORDER FILLED AT 7.27. Closed today at 7.29, for a loss of 0.28% APOL - Scored 4/6 on the Connors filters, and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 46.95, stop loss at 48.32, target exit at 44.30 for a potential profit of 5.64%. ORDER FILLED AT 46.95. STOPPED OUT at 48.32, for a loss of 2.63% CYPB - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is above 99, and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 3.72, stop loss at 3.87, target exit at 3.38 for a potential profit of 9.14%. ORDER FILLED AT 3.72. Closed today at 3.50, for a gain of 5.91% Net loss of 0.22% today. Net gain for the week of 1.88% ($676.51 on a total of $36,000 invested, with $4,000 in cash all week). For those who have been following this, the overall performance so far for each of the past four weeks has been: 6/28 - 7/2: +6.01% ($2402.35 on an initial $40,000 in 11 trades) 7/6 - 7/9: +4.58% ($1842.88 on an initial $40,000 in 8 trades) 7/12 - 7/16: +1.76% ($706.15 on an initial $40,000 in 16 trades) 7/19 - 7/23: +1.88% ($676.51 on an initial $36,000 in 9 trades) Net gain of $5,627.89 or 14.1% ( since 6/28 - no compounding). After taking commissions into account @$8.95 per side, one still netted $4840.29 or 12.1%. |
| miketranz 978 posts msg #95044 - Ignore miketranz |
7/23/2010 7:19:36 PM Fidelity Active Trader Pro has "bracket orders"...... |
| duke56468 683 posts msg #95045 - Ignore duke56468 modified |
7/23/2010 9:39:38 PM miketranz msg #95044 - Ignore miketranz 7/23/2010 7:19:36 PM Fidelity Active Trader Pro has "bracket orders"...... ++++++ Mike I have Active Trader Pro and called tech support and was told this couldn't be done. There conditional trades do not allow OTO orders to Sell Short. They allow Buy to Cover but not Sell Short. Where can I find the bracket order? With the kind of trades Kevin is doing here it would be nice to set the complete trade pre-market and not worry about it the rest of the day. |
| Kevin_in_GA 4,599 posts msg #95088 - Ignore Kevin_in_GA |
7/25/2010 9:58:39 PM PLANNED TRADES FOR THE WEEK OF 7/26 - 7/30: Long Plays: HSY - Scored 4/6 on the Connors filters, RSI(2) is below 1, and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 46.66 (requires a 1.17% pullback) Stop loss at 46.10 (risk of 1.19%) Target exit at 48.52 for a potential profit of 4.00%. Reward-to-Risk ratio: 3.37 AGN - Scored 4/6 on the Connors filters, RSI(2) is below 1, and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 57.95 (requires a 5.11% pullback - unlikely to fill this one) Stop loss at 54.82 (risk of 5.39%) Target exit at 64.00 for a potential profit of 10.44%. Reward-to-Risk ratio: 1.94 (I might get into this one if the pullback is hits 3% or so, and put in a 2% stop and 5% profit target - I'll leave it up to my discretion right now.) RDY - Scored 2/6 on the Connors filters, and closed below the lower BB(20,2). This was a "10" on Thursday, and has already moved up about 4%, but I think it still has room to go up. Limit order entry at 28.31 (requires a 1.46% pullback) Stop loss at 27.89 (risk of 1.48%) Target exit at 29.37 for a potential profit of 3.74%. Reward-to-Risk ratio: 2.52 SEIC - Scored 1/6 on the Connors filters, has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 19.75 (requires a 0.92% pullback) Stop loss at 19.56 (risk of 0.93%) Target exit at 20.22 for a potential profit of 2.41%. Reward-to-Risk ratio: 2.60 Short Plays: RAH - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 60.51 (requires a 1.62% move higher) Stop loss at 61.47 (risk of 1.60%) Target exit at 58.04 for a potential profit of 4.08%. Reward-to-Risk ratio: 2.56 VIP - Scored 5/6 on the Connors filters, RSI(2) is above 99, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY. NICE! Limit order entry at 17.20 (requires a 2.75% move higher - might be hard to fill) Stop loss at 17.66 (risk of 2.67%) Target exit at 16.03 for a potential profit of 6.80%. Reward-to-Risk ratio: 2.54 TEX - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 21.58 (requires a 1.79% move higher) Stop loss at 22.01 (risk of 2.02%) Target exit at 20.28 for a potential profit of 6.03%. Reward-to-Risk ratio: 2.98 ELY - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 7.00 (requires a 2.07% move higher) Stop loss at 7.13 (risk of 1.76%) Target exit at 6.64 for a potential profit of 5.14%. Reward-to-Risk ratio: 2.92 |
| duke56468 683 posts msg #95104 - Ignore duke56468 |
7/26/2010 1:24:40 PM Hi Kevin, Thanks again for sharing your work. Just checking on the long plays if I'm reading this correctly 3 of the 4 used the r2 instead of the r1 for an exit. Is this a change in strategy? |
| Kevin_in_GA 4,599 posts msg #95106 - Ignore Kevin_in_GA |
7/26/2010 1:38:00 PM You have eyes like an eagle - yes, I moved the profit stops up because the overall profit on these trades would have been unusally low (like under 2%). No reason to limit the upside like that. Overall stops seem a little tight this week. Not sure if I will catch many of these trades either as limit orders. Since adding in the profit and stop loss orders two weeks ago, the overall yield has gone down from 4-6% to ~2%. Been geting stopped out frequently and also not getting into good trades because they are not pulling back enough to trigger the limit entry order. Of course, RDY has already been stopped out ... got into ELY at 7.00 for the short play, but it really hasn't moved much from there (currently at 6.96). Just to be thorough, I'll also track these without the limits and stops - just as in the first few weeks of this system, you buy at the markey open price and see where it goes. |
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