| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 11 12 13 14 15 ... 22 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #95209 - Ignore Kevin_in_GA |
7/29/2010 10:51:54 AM Agreed. Tight stops and the requirement for a pullback or further surge before entry also helps to limit damage. Example - this week I am managing only 8 trades at any time, and typically will not go higher than 10 or lower than 4-6. Dollar neutrality also helps reduce volatility. Tight stops are hit more frequently (like the long side of this week), but reduce damage as well. |
| Kevin_in_GA 4,599 posts msg #95254 - Ignore Kevin_in_GA |
7/29/2010 9:35:24 PM UPDATE FOR 7/29: 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 ORDER FILLED AT 46.66. STOPPED OUT AT 46.10 FOR A LOSS OF 1.19%. PPDI - Scored 3/6 on the Connors filters and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 25.43 (requires a 2.15% pullback) Stop loss at 24.87 (risk of 2.20%) Target exit at 28.01 (r1) for a potential profit of 6.17%. Reward-to-Risk ratio: 2.80 Reward-to-Risk ratio: 4.01 ORDER FILLED AT 25.43. STOPPED OUT TODAY AT 24.87 FOR A LOSS OF 2.20% 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 ORDER FILLED AT 28.31. STOPPED OUT AT 27.89 FOR A LOSS OF 1.48% 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 ORDER FILLED AT 19.75. STOPPED OUT AT 19.56 FOR A LOSS OF 0.93% Short Plays: SOHU - Scored 6/6 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. Maximum possible score! Limit order entry at 48.21 (requires a 1.27% move higher) Stop loss at 48.81 (risk of 1.26%) Target exit at 45.77 (s2) for a potential profit of 5.05%. Reward-to-Risk ratio: 4.01 ORDER FILLED AT 48.21. CLOSED TODAY AT 47.55 FOR A GAIN OF 1.37% 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 ORDER FILLED AT 7.00. PROFIT TARGET HIT AT 6.64 FOR A GAIN OF 5.14% 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 ORDER FILLED AT 21.58. PROFIT TARGET HIT AT 20.28 FOR A GAIN OF 6.03% DST - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 41.30 (requires a 2.73% move higher - may be hard to fill) Stop loss at 42.39 (risk of 2.66%) Target exit (s2) at 39.55 for a potential profit of 5.82%. Reward-to-Risk ratio: 2.19 ORDER FILLED AT 41.30. CLOSED TODAY AT 41.42 FOR A GAIN OF 2.08% Net gain for the week of +1.10% ($441.47 GAIN THIS WEEK). NONE OF THE OTHER POTENTIAL TRADES WERE FILLED TODAY. AS I HAVE BEEN DOING LATELY I WILL CLOSE OUT ALL TRADES AT THE END OF EACH WEEK, SO THESE ARE EFFECTIVELY OUT OF PLAY. RIGHT NOW ONLY DST AND SOHU ARE STILL IN PLAY. |
| Kevin_in_GA 4,599 posts msg #95265 - Ignore Kevin_in_GA |
7/30/2010 10:07:58 AM closed out SOHU at 47.10 and DST at 41.07. Done for this week. net gain = $530.62 (+1.32% on $40,000 invested). Every long play stopped out - every short play profitable. Perhaps a sign? |
| Kevin_in_GA 4,599 posts msg #95312 - Ignore Kevin_in_GA |
8/1/2010 8:21:45 PM PLANNED TRADES FOR THE WEEK OF 8/2 - 8/6 I'll post 5 long and 5 short plays for this week, recognizing that some of them will not be filled. Will update this list as the week progresses by replacing unfilled trades with new trades as needed. Short Plays: HMC - Scored 4/6 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 32.03 (requires a 0.81% move higher) Stop loss at 32.28 (risk of 0.80%) Target exit (s2) at 31.04 for a potential profit of 3.07%. Reward-to-Risk ratio: 3.83 UNG - Scored 5/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 8.36 (requires a 1.17% move higher) Stop loss at 8.45 (risk of 1.16%) Target exit (s2) at 7.95 for a potential profit of 4.83%. Reward-to-Risk ratio: 4.17 CVG - Scored 5/6 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 11.34 (requires a 1.52% move higher) Stop loss at 11.51 (risk of 1.50%) Target exit (s2) at 10.65 for a potential profit of 6.08%. Reward-to-Risk ratio: 4.06 RJET - Scored 3/6 on the Connors filters, closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY. Limit order entry at 6.39 (requires a 2.24% move higher) Stop loss at 6.53 (risk of 2.19%) Target exit (s2) at 5.69 for a potential profit of 10.95%. Reward-to-Risk ratio: 3.83 CQB - Scored 2/6 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 15.25 (requires a 3.91% move higher) Stop loss at 15.83 (risk of 3.76%) Target exit (s2) at 12.75 for a potential profit of 16.43%. Reward-to-Risk ratio: 4.37 Long Plays: PLCE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2), and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 41.13 (requires a 1.72% pullback) Stop loss at 40.41 (risk of 1.75%) Target exit (r2) at 43.93 for a potential profit of 6.81%. Reward-to-Risk ratio: 3.89 XEC - Scored 6/6 on the Connors filters. Limit order entry at 67.34 (requires a 2.23% pullback) Stop loss at 65.80 (risk of 2.28%) Target exit (r2) at 71.88 for a potential profit of 6.75%. Reward-to-Risk ratio: 2.97 CAVM - Scored 4/6 on the Connors filters, and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 25.92 (requires a 3.38% pullback - unlikely to fill) Stop loss at 25.02 (risk of 3.50%) Target exit (r2) at 28.86 for a potential profit of 11.32%. Reward-to-Risk ratio: 3.24 WERN - Scored 5/6 on the Connors filters. Limit order entry at 22.69 (requires a 1.46% pullback) Stop loss at 22.36 (risk of 1.48%) Target exit (r2) at 23.76 for a potential profit of 4.69%. Reward-to-Risk ratio: 3.16 DLB - Scored 4/6 on the Connors filters, and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 61.65 (requires a 2.87% pullback - unlikely to fill) Stop loss at 59.82 (risk of 2.96%) Target exit (r2) at 66.54 for a potential profit of 7.94%. Reward-to-Risk ratio: 2.69 |
| Kevin_in_GA 4,599 posts msg #95326 - Ignore Kevin_in_GA |
8/2/2010 5:56:54 PM Wow - 0 for 10 in getting these trades filled. Missed some really good moves today. All trades stay as is for now. Hopefully we'll see some volatility that let's me get some orders filled. |
| saratur 14 posts msg #95332 - Ignore saratur |
8/3/2010 3:06:01 AM Kevin - great thread, I start looking at the individual trades :-). In this test, how do you handle stocks that gap beyond the stoploss? Looking at HMC : It opened 8/2 at 32.44, beyond the trigger and the planned stoploss. If orders were placed the night before as limit with brackets (as defined, without any additional condition) the short would have been filled at the open. If the stop has had the fixed value of 32.28 it would probably be rejected , so HMC would be short now without a set stop. If a stop were to be placed at 0.8% relative to the entry, the short would have been stopped out. Or - do you avoid gap pullbacks which are beyond s2 ? If this is the case, would you modify the entry points? |
| Kevin_in_GA 4,599 posts msg #95338 - Ignore Kevin_in_GA modified |
8/3/2010 8:31:55 AM HMC was the only one that I was not sure how to call - I assumed that it would not have triggered the entry because it jumped over it, but in all likelihood the brokerage would have filled that at the open price, then stopped me out. If I were to be placing these trades manually I would probably have passed on this until later in the day or tomorrow, just to see where it settled out. In my original approach, I bought at the open price, then entered stops manually based on +/- 1.5 ATR(10). This worked well, but required more input. My goal was to move this to an automated system where one could enter all of the trade parameters and contingencies, then ignore it. |
| saratur 14 posts msg #95363 - Ignore saratur |
8/4/2010 3:41:04 AM Kevin - same here, I have a strong preference to automated systems. It is possible to automate your original approach as well, with some effort and/or expense. So a key question in my mind is whether one approach will yield significantly better risk-adjusted returns than the other: (A) buy at open, wide stops, or (B) limit buys on some pullback, tight stops, or (C) something else. In general mean reversion systems work better with wide stops. It might be though that in the context of a long-short system the tight stops with higher targets work well - especially when there are daily moves that trigger both the stops and profit targets. The answer might be different under different market conditions, and I would like to backtest . Still trying to figure out if I could automate the backtest , or will have to do that manually. |
| saratur 14 posts msg #95364 - Ignore saratur |
8/4/2010 3:45:45 AM Cross-posting from backtest support forum - maybe someone here knows the answers: === The default setting of the backtester uses for exit upon Exit Tests the open price following the date of the exit trigger. How do I set the exit price to be the close on the same day of the exit trigger? If I set Exit Price (in "Advanced") to "close" - I am not sure if it will use the close of the trigger day, or the following day... ==== How do I define for a backtest an exit criteria dependent on the entry price - beyond simple percentage? In other words, exit dependent on an indicator calculated at the entry trigger date. For example, how would I set a stop for entry price less 2 * ATR (10) which are calculated at the time of entry. |
| Kevin_in_GA 4,599 posts msg #95367 - Ignore Kevin_in_GA |
8/4/2010 8:59:10 AM PLANNED TRADES FOR THE WEEK OF 8/2 - 8/6 ONLY PLCE AND WERN FILLED SO FAR THIS WEEK. PLCE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2), and has moved more than 2 SD below its usual relationship with the SPY. Limit order entry at 41.13 (requires a 1.72% pullback) Stop loss at 40.41 (risk of 1.75%) Target exit (r2) at 43.93 for a potential profit of 6.81%. Reward-to-Risk ratio: 3.89 ORDER FILLED AT 41.13. STOPPED OUT AT 40.41 FOR A LOSS OF 1.75%. WERN - Scored 5/6 on the Connors filters. Limit order entry at 22.69 (requires a 1.46% pullback) Stop loss at 22.36 (risk of 1.48%) Target exit (r2) at 23.76 for a potential profit of 4.69%. Reward-to-Risk ratio: 3.16 ORDER FILLED AT 22.69. CLOSED AT 22.69 FOR A GAIN OF 0.00% HAVE TAKEN THE OTHER TRADES OUT OF CONSIDERATION FOR NOW. NOT HAD TIME TO REVIEW NEW ONES, SO I AM GOING ONLY WITH WERN FOR TODAY. |
| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 11 12 13 14 15 ... 22 >>Post Follow-up |
Copyright 2022 - Vestyl Software L.L.C.•Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data
Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus