| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 16 17 18 19 20 ... 22 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #95829 - Ignore Kevin_in_GA |
8/25/2010 6:35:37 AM Agreed. Since I didn't finish these filters until late Sunday night, I would normally have had time to look at these and might have flagged this one as risky. |
| Kevin_in_GA 4,599 posts msg #95839 - Ignore Kevin_in_GA |
8/25/2010 9:11:14 PM Update 8/25: Better day today - no new long plays, one new short play (CWTR). Long Plays selected from the new filters: NTY (scoring 3/5) - in at 54.13, closed at 54.15 for a loss of 0.05% after subtracting commission This closed above its MA(10) - 54.10. Trade will be closed at the open tomorrow. MDCO (now scoring 4/5) - in at 12.26, closed at 11.91 for a loss of 2.94% Short Plays selected from the new filters: DYN (scoring 1/5) - in at 4.74, closed at 4.88 for a loss of 3.04% GRS - in at 7.03, closed at 6.88 for a gain of 2.04% Net so far for the week - a loss of 1.00% (down $399.65 on $40,000 invested in these 4 stocks, which includes commissions at $8.95 per trade). Compare this to SPY - down 1.94% since the open on Monday. Possible replacement Long trades (no new ones today, but these are from this week): Monday ARNA (2/5) - Long Play Opened Tuesday at 6.69, closed today at 6.82 for a gain of 1.94%. MA(10) is currently at 6.90. Tuesday DECK (3/5) - Long Play Opened today at 44.90, closed at 46.07 for a gain of 2.60% (already closed above its MA(10), so it is no longer a candidate). I will wait to see the futures before selling or buying anything tomorrow, but if things look good I'll sell NTY and buy ARNA - not much room left there (about 1% before it closes above its MA(10)). |
| Kevin_in_GA 4,599 posts msg #95849 - Ignore Kevin_in_GA modified |
8/26/2010 10:56:44 AM NTY sold at the open at 54.15. I decided to put in a limit order for ARNA at the open price on Tuesday (6.69) and see if I could get it at that price - that way I would not miss out on any of the possible gain by being in 2 days later. So far not filled. EDIT: ARNA limit order filled at 6.69. Let's see how this plays out ... |
| saratur 14 posts msg #95861 - Ignore saratur |
8/27/2010 2:44:23 AM Kevin - great work, thank you for sharing. Very encouraging results. Questions regarding parameter optimization with StrataSearch (I am not familiar with it): - does it allow user defined target/fitness function, and/or 'canned' system oriented measures (e.g. Van Tharp's Health, linear correlation etc.) - or net profit only? - any robustness tests via parameter sensitivity, and/or walk forward optimizations? ... and if yes, did you get to do such tests with these filters? |
| Kevin_in_GA 4,599 posts msg #95862 - Ignore Kevin_in_GA |
8/27/2010 8:38:38 AM saratur: StrataSearch can use fitness criteria to select trading systems - many are built-in already. You can also select key elements that are important for you (e.g., K-score, low drawdown, high Sharpe ratio) and weight them as you see fit. The result will "guide" the filter selection process and gives you a fitness score through which the results can be filtered. A fully functional download is available - try it for 30 days. Honestly, that is enough time to build and test lots of possible systems, since the runs are quite fast even against thousands of stocks or decades of data (they let you go back as far as 1980 for testing). I started by using their "one click" strategies, which do everything for you, but ultimately wanted to translate these into SF code. Some of their criteria and indicators are not part of SF, so I ultimately decided to look at single indicators (CMO, TSI, Bollinger bands) and combine them into the current system. I did some robustness testing on these settings, but not as much as I would have liked. I also need to make sure that the filters are connected to the current state of the broader markets - I am re-running them looking at three states (market roc is above 20, below -20, and then everything in between). Different filter settings can then be used that are most effective for a given trading environment. Easy to translate to SF once the results are in. Expect a new set of filters in a week or so - constantly trying to improve them, but will settle on whatever this last set of filters is for the rest of this year. |
| saratur 14 posts msg #95880 - Ignore saratur |
8/29/2010 4:15:35 PM It seems StrataSearch is pretty powerful. I never had the bandwidth to try it, your work encourages me to try make the time. "Good" optimization fitness function(s) and parameter robustness checks are very important. My experience in optimization is that systems with parameters tuned to maximum net profit in a backtest quite frequently crumble, or perform significantly worse, in forward testing. |
| Kevin_in_GA 4,599 posts msg #95884 - Ignore Kevin_in_GA |
8/30/2010 12:00:29 AM Weekend Update: Long Plays selected from the new filters: NTY - in at 54.13, closed at 54.15 for a loss of 0.05% after subtracting commission MDCO - in at 12.26, closed at 11.88 for a loss of 3.19% ARNA - in at 6.69, closed at 6.75 for a gain of 0.73% Short Plays selected from the new filters: DYN - in at 4.74, closed at 4.81 for a loss of 1.56% GRS - in at 7.03, closed at 7.26 for a loss of 3.36% Net for the week - a loss of 1.84% (down $738.70 on $50,000 invested in these 5 stocks, which includes commissions at $8.95 per trade). Compare this to SPY - down 1.58% since the open on Monday. New filters did not really do so well. A secondary problem is that they are not producing very many trades (only 1 long for the start of this week). Need to redo these to meet both the profitability and frequency targets. For now, I'll go back to the Connor's filters - I may optimize them for the stocks being traded rather than use all new filters. |
| Kevin_in_GA 4,599 posts msg #95885 - Ignore Kevin_in_GA |
8/30/2010 9:27:45 AM QUICK POSTING AHEAD OF THE MARKET OPEN: LONG PLAYS: TAP PEP LULU INFY SHORT PLAYS: SUNH COT CRZO BR Let's see how the modified Connors filters work. I redid the long filters - right now the short filters are just the "mirror image" of the longs. Will want to optimize them separately tonight. |
| Kevin_in_GA 4,599 posts msg #95895 - Ignore Kevin_in_GA |
8/30/2010 8:57:01 PM 8-30-2010 UPDATE: LONG PLAYS: TAP - in at 43.70, closed today at 43.35 for a loss of 0.98% PEP - in at 64.09, closed today at 63.60 for a loss of 0.94% LULU - in at 33.94, closed at 31.90 for a loss of 6.18% (analyst downgrade before the open - I did not have time to look but should have) INFY - in at 57.50, closed today at 57.32 for a loss of 0.49% SHORT PLAYS: SUNH - in at 8.57, closed today at 8.40 for a gain of 1.80% COT - in at 6.91, closed today at 6.79 for a gain of 1.55% CRZO - in at 21.26, closed today at 20.29 for a gain of 4.38% BR - in at 21.37, closed today at 21.28 for a gain of 0.24% All trades above include a commission cost of $8.95 per trade. Net gain/loss so far this week - loss of 0.08% ($30.36 on $40,000 invested) I redid the Connors long filters - 1A - 3 days of consecutive lower highs and lower lows is now set to 4 consecutive days 3A - RSI(2) decreasing for 3 days is now set at 4 days, and must be below 4 on the trigger day 4A - %B(20,2) below 0.2 for 3 days is now %B(42,2) below 0.05 for 3 consecutive days The KPM filter set has been revised as follows: 7A - RSI(2) below 1 is now RSI(18) below 34 8A - close below LBB(20,2) is now close below LBB(42,2) 9A - no change, LBB(16,2.5) confirmation (below yesterday, back inside the BB today) 10A - same (Z-score below -2) Each of the optimizations to the Connors filters results in fewer trades but usually at least a few percent higher win % and about a doubling of the average yield per trade. Right now the short filters are just the "mirror image" of the longs. I will want to optimize them separately this week. |
| jveinot 1 posts msg #95911 - Ignore jveinot |
8/31/2010 3:47:26 PM I'm new here so apologize if this is a known answer. Interestingly enough, I signed up with stockfetcher to try out Connors strategies so greatly appreciate Kevins post related to such. Connors suggests buying at close of the day and you (Kevin) mentioned screens buying at either close or open following. Question(s) is/are this: 1) Have you found through your screening that one offers advantage over the other (entering at close or open). 2) I've had a few instances where the close marks a great entry but the morning following has already risen or fallen as suspected prior to the open and I miss out on the potential. Do you have a method or is there a way to screen intraday in order to potentially make fills at the close? Thanks ..... |
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