| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 1 2 3 4 5 ... 22 >>Post Follow-up |
| bman99 6 posts msg #94601 - Ignore bman99 |
7/6/2010 9:52:09 PM Kevin, Great job. As a newbie here who just finished reading the book by Connors "High Prob ETF trading", I have really enjoyed your post -- and learned alot about SF. The question I have is: when you mention the 6 Connors screens that you are using to verify your results, Do you mean the 6 listed for etf's under your other post called"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!". In other words, are you using those etf screens but just taking out the part limiting it to etf's and running it on stocks. Thanks and good luck ! |
| misfithab 6 posts msg #94603 - Ignore misfithab |
7/6/2010 10:15:38 PM Again, great work Kevin....building off your original filter I'm trying to find a scalable model that would not give quite so many results. With all due respect I don't want to play 200 or so stocks a year (not even counting the short side) on one strategy. In essence I'm looking for the same win percentage, just with less stocks to play. On the Long side I played with the filter a bit, bumping the volume to 500,000 and screening for stocks between $5 and $10. The results were very similar results to your filter, just scaled down across the board (stock plays and $ return). By my count, done in 4 month increments dating back to 2002 there were only 4 losing (4 month) stretches. The rest were green. One possible downside is you have to have patience. A few 4 month increments had only single-digit stocks to play on the Long side. But the winning percentage was in line with my backtest on your original filter. What does this mean? Who knows...but it might mean that you don't need to pick and choose off the filter in your other Connors thread. It might means that simply narrowing this filter might do the job. I'll be working on this for the next week at least since I think it has real possibilities. If anyone has thoughts on how to possible improve the winning percentage and can code it for me I'll be happy to backtest it during the day. It's better than staring at my monitors watching my long positions get beaten to a pulp.... Next up I'll test the 5/10/500,000 short side..... |
| Kevin_in_GA 4,599 posts msg #94605 - Ignore Kevin_in_GA |
7/6/2010 11:18:08 PM This strategy has some appeal to me in that you are always balancing long and short positions, and that you can usually find good candidates almost every day. I think a logical improvement to this is to set profit targets and stop losses (e.g. set at 1.5 ATR(10) for stops and 3 ATR(10) for profit) to make these trades semi-automatic. If your trade is moving in the right direction, then stop losses should not be triggered all that often. |
| Kevin_in_GA 4,599 posts msg #94607 - Ignore Kevin_in_GA |
7/6/2010 11:19:22 PM Bman: Yes, I simply replaced the "etf" part with the following criteria: close above 1 average volume(50) above 500000 |
| jhar3 23 posts msg #94610 - Ignore jhar3 |
7/7/2010 7:46:23 AM kevin, thank you for this thread,I have read l.c. book also,and I was wondering, why not use front month, at the money or int the money options, I am starting to paper trade with this concept in mind, any feedback would be great, again thanks and keep posting your results. |
| wkloss 231 posts msg #94625 - Ignore wkloss |
7/7/2010 6:42:35 PM jhar3 I share your interest in options but wonder if front month is a good idea. My concern is the speed of time decay. If you are using options as a stock substitute, you probably want to go 1 to 2 strikes in the money to limit time premium and get an option that moves a lot like the stock does. One options guru suggests paying no more than 33% of your purchase price for time premium. He likes going up to 3 months out. I look forward to what Kevin has to say too. Bill |
| Kevin_in_GA 4,599 posts msg #94667 - Ignore Kevin_in_GA |
7/9/2010 8:33:07 PM I would personally avoid options unless you really know what you are doing. This filter is designed for catching stock movements, which are not always like options movement. My suggestion is to use filters as they are intended to be used - in this case on STOCKS. If the filter is working on stocks, many people immediately think to use it on options. Well, it has not been developed or tested on options. Should it work? Yes. Will it work? I don't know ... If you want to do so, go ahead and keep a running post on how well you do, why you entered or exited at a certain point - teach others as a way of giving back if someone else's efforts helped you first. |
| Kevin_in_GA 4,599 posts msg #94668 - Ignore Kevin_in_GA |
7/9/2010 9:04:32 PM 7/9/2010 Update: Long trades: SHW (Sherwin-Williams Co) - bought 95 shares on 6/30 at 70.06 ($6605.70). Closed today at 72.23 (up 3.10% for a gain of $206.15) PNRA (Panera Bread Co.) – bought 88 shares on 6/30 at 75.23 ($6620.64). Closed today at 76.06 (up 1.1% for a gain of $73.04) RCI (Rogers Communications) - bought 201 shares on 6/30 at 33.15 ($6663.15). Closed today at 34.14 (up 2.99% for a gain of $198.99) Short trades: GAME (Shanda Games) – shorted 1128 shares on 6/30 at 5.91 ($6666.48). Closed today at 6.00 (down 1.52% for a loss of $101.52) BJ (BJ's Wholesale Club) – shorted 153 shares on 7/6 at 43.79 ($6699.87). Closed today at 44.41 (dow 1.42% for a loss of $94.86). BWEN (Broadwind Energy) – shorted 2323 shares on 7/2 at 2.87 ($6667.01). I covered BWEN yesterday at 3.21(down 11.85% for a loss of $790.03). Replaced with HAL (Haliburton) – shorted 237 shares on 7/8 at 28.16 ($6673.92). Closed today at 28.64 (down 1.70% for a loss of $113.76). Cumulative net gain of $1267.40 or 3.17% since 6/28/2010 (6 days). Shorts got killed all week. Net loss of almost half of last week's profit, almost entirely from BWEN. On the plus side, the other set of trades I listed for this week played out quite well, netting $1842.88 or 4.6%. Need to put profit and stop losses into this system to protect profit. I have an idea on this ... |
| optionplayer333 801 posts msg #94679 - Ignore optionplayer333 |
7/10/2010 1:14:33 PM kevin if your serious about making big time money on options then call me today at 321-453-5363- we will get you to down loaded teamviewer 5 for free and with in 10 minutes of getting on the phone withme you will be able to see my computer screen and i will show you my trades and exactly how to trade for big amounts of money-its your coice guys- just to give you an idea- here are the stocks that i gave as recos on 7-2 where the daily rsi-2 was <10 and the profit indicator was >10-- all winnersw for an average gain of 11%-what do you think that means in option playing -lot of 50-500% gains |
| optionplayer333 801 posts msg #94682 - Ignore optionplayer333 |
7/10/2010 2:48:02 PM kevin you need to know what to trade- your playing some really slow stocks- here is the list of stock my wife bought the 2 of july at the market bottom Action Symbol Description QTY Price Paid Last Price Change MKT Value Profit Loss % Post Sell JA SOLAR HOLDINGS CO LTD JASO JA SOLAR HOLDINGS CO LTD 2,000 $4.73 $6.16 $0.35 $12,320.00 $2,860.00 30.23% Sell TRINA SOLAR LIMITED TSL TRINA SOLAR LIMITED 500 $17.73 $21.11 $0.15 $10,555.00 $1,690.00 19.06% Sell ASSURED GUARANTY LTD AGO ASSURED GUARANTY LTD 500 $13.68 $15.68 $0.73 $7,840.00 $1,000.00 14.62% Sell STEC INC STEC STEC INC 800 $12.96 $14.75 $0.65 $11,800.00 $1,435.00 13.84% Sell GAFISA S.A GFA GAFISA S.A 500 $12.30 $13.69 $0.09 $6,845.00 $695.00 11.30% Cover DIREX DLY FINANCIAL BEAR 3X FAZ DIREX DLY FINANCIAL BEAR 3X -500 $16.64 $14.79 -$0.74 $7,395.00 $925.00 11.12% Sell DIREX DLY FINAN BULL 3X FAS DIREX DLY FINAN BULL 3X 500 $20.02 $22.05 $1.01 $11,024.50 $1,014.50 10.13% Sell FOCUS MEDIA HLDGS LTD FMCN FOCUS MEDIA HLDGS LTD 700 $15.73 $17.06 $0.54 $11,942.00 $931.00 8.46% Sell CIRRUS LOGIC INC CRUS CIRRUS LOGIC INC 733 $16.40 $17.64 $0.23 $12,930.12 $906.93 7.54% here stock in 4 trading days went from 8-30% for an average--of 23% just use my profit indciator in all your filters set{profit,weekly atr(6)/weekly ma(6)} and add column profit-its that easy- this is how i know what stock to play- lets show you how accurate this is-- we will take all the optionable stocks with >500000 30 day average volume close above 1$ and rsi(2) <10- then we will do a study to show how effective the profit indicator is-we will go in increments of 5----------------so the first filter it will be 0-5 ---------------------------------------------------------------------------------------------------------------------------------------------Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day +0.40% 19 (+0.89%) 12 (-0.36%) 0 +0.10% +0.59% 2 Days +2.44% 29 (+2.66%) 2 (-0.87%) 0 +3.24% +3.43% 3 Days +3.12% 29 (+3.37%) 2 (-0.44%) 0 +4.00% +4.67% 4 Days +3.30% 28 (+3.71%) 3 (-0.45%) 0 +5.00% +5.28% Current +3.30% 28 (+3.71%) 3 (-0.45%) 0 +5.00% +5.28% 31 matching stocks we have 28 winners and 3 losers up an average of +3.71%------------------------------------------------------------------------------------------------------------------------------now we use profit------ 5 to 10-------------------------------------------------------------------------------------------Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -0.06% 176 (+1.01%) 148 (-1.32%) 2 +0.10% +0.59% 2 Days +3.53% 307 (+3.83%) 17 (-1.57%) 2 +3.24% +3.43% 3 Days +4.67% 313 (+4.94%) 12 (-1.92%) 1 +4.00% +4.67% 4 Days +5.90% 320 (+6.04%) 6 (-1.67%) 0 +5.00% +5.28% Current +5.90% 320 (+6.04%) 6 (-1.67%) 0 +5.00% +5.28% 326 matching stocks now we have 320 winners up an average of +6.04% and 6 losers------------------------------------------------------------------------------------------------------------------now profit---- 10-15------------------------------------------------------------------------------------------------------------Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -1.22% 57 (+1.47%) 119 (-2.55%) 4 +0.10% +0.59% 2 Days +3.74% 167 (+4.43%) 12 (-5.57%) 1 +3.24% +3.43% 3 Days +5.36% 169 (+6.00%) 10 (-4.98%) 1 +4.00% +4.67% 4 Days +7.72% 177 (+8.11%) 3 (-15.18%) 0 +5.00% +5.28% Current +7.72% 177 (+8.11%) 3 (-15.18%) 0 +5.00% +5.28% 180 matching stocks now we have 177 winners up an average of +8.11% and 3 losers--------------------------------------------------------------------------------------------------------------------now profit---- 15-20------------------------------------------------------------------------------------------------------------Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -1.66% 8 (+0.81%) 25 (-2.45%) 0 +0.10% +0.59% 2 Days +4.59% 30 (+5.54%) 3 (-4.93%) 0 +3.24% +3.43% 3 Days +7.67% 30 (+8.59%) 1 (-4.46%) 2 +4.00% +4.67% 4 Days +11.35% 32 (+11.76%) 1 (-1.94%) 0 +5.00% +5.28% Current +11.35% 32 (+11.76%) 1 (-1.94%) 0 +5.00% +5.28% 33 matching stocks now we have 32 winners up an average of +11.76% and 1 loser-------------------------------------------------------------------------------------------------------------------now we do profit ----------20-25--------------------------------------------------------------------------------------------Performance results for your filter covering the dates: Friday July 2, 2010 to Friday July 9, 2010 Change Offset << Week · Day Previous Next Day · Week >> Results For Next... Overall Adv(%) Dec(%) Adv vs Dec Unch IXIC(%) DJIA(%) 1 Day -0.58% 0 (n/a) 1 (-0.58%) 0 +0.10% +0.59% 2 Days +10.82% 1 (+10.82%) 0 (n/a) 0 +3.24% +3.43% 3 Days +15.94% 1 (+15.94%) 0 (n/a) 0 +4.00% +4.67% 4 Days +19.88% 1 (+19.88%) 0 (n/a) 0 +5.00% +5.28% Current +19.88% 1 (+19.88%) 0 (n/a) 0 +5.00% +5.28% 1 matching stocks now we have 1 winner up 19.88% and no losers- actually the way it works is thehigher the volume and profit and the lower the rsi-2 the more money you will make--------------------here is a quick back test from 7-2 to 7-9 using profit 10-20------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------it gives you 100% winner with a roe of 2500%------general option filter 7/10/2010 7/2/2010 7/9/2010 100% 0% 0.00:1 0.00 2577.29% delete · copy |
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