| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 2 3 4 5 ... 22 >>Post Follow-up |
| duke56468 683 posts msg #94392 - Ignore duke56468 |
6/28/2010 1:17:52 PM Kevin thanks for the post. As usual it is very informative and well thought out. |
| Kevin_in_GA 4,599 posts msg #94395 - Ignore Kevin_in_GA modified |
6/28/2010 3:58:53 PM Paper trade update: Sell FSYS (currently at 27.42) - crossed below the MA(10). Sell MDCO (currently at 8.39) - rules say to sell if the short closes above the MA(200). It still is a good short candidate (frankly a better one than this morning). Keeping both long trades for now. Will add two short trades to maintain dollar neutrality at the open tomorrow. |
| wkloss 231 posts msg #94398 - Ignore wkloss |
6/28/2010 7:58:06 PM Kevin, On these strategies, does Connors suggest adding to positions as they go against you? If yes, are you considering doing that? Bill |
| Kevin_in_GA 4,599 posts msg #94401 - Ignore Kevin_in_GA modified |
6/28/2010 9:10:12 PM This worked OK today: DRI (long) opened at 39.29, closed at 39.67 (gain of 0.97%) DAL (long) opened at 12.09, closed at 12.04 (loss of 0.41%) FSYS (short) opened at 29.01, closed at 27.42 (gain of 5.48%) MDCO (short) opened at 8.29, closed at 8.39 (loss of 1.21%) Net for the day gain of 1.21%. Based on my exit strategies, I would have to sell FSYS (it crossed back below its 10 day MA) and MDCO (it closed above the 200 day MA) at the open tomorrow. Both longs are still in play. Looking at the options for tomorrow to replace these two, the RSI scan above does not show any short candidates. However, ERII and VOD both showed up on some of my other filters as possible candidates (VOD scored a 6/6 on the Connors short filters, and ERII scored only a 1 but closed at 13% above the upper Bollinger Band). These will be the two replacement short trades for FSYS and MDCO. Longs (DRI and DAL) are both still in play. Will buy at tomorrow's open, keeping dollar neutrality with the two long trades. As to doubling down, I did not use this approach in my backtesting, so for now I am sticking with what has been validated by me on these filters - hopefully by reviewing each possible trade and only picking those that also scored highly in the Connor's filters instead of just taking them all, I'll be able to get a small edge (???). EDIT: Since the market futures are unusually negative this morning (-100+ on the Dow) I will hold the shorts for at least part of the day, maybe selling by lunch to see if one can get a better price. Still think VOD and ERII are good plays as well ... |
| drew9 171 posts msg #94406 - Ignore drew9 |
6/28/2010 11:17:58 PM Really impressive Kevin! I have liked the Connor strategies but the neutral strategy could be very interesting. Can't wait to see how this performs. Thanks for the nice work! |
| Kevin_in_GA 4,599 posts msg #94407 - Ignore Kevin_in_GA |
6/28/2010 11:29:56 PM No work is impressive until it has been traded successfully for a while - this is why I'm willing to post my thinking on this. Keeps me honest. I like the idea of market neutrality in this fashion, since it is better than simply hedging against a loss by using SPY or one of the inverses. That "traditional" way pretty much guarantees the one trade will offset the other, rather than both being profitable. The combination of multiple Connors-based filters also make me feel more comfortable about the odds being in my favor on each side of the paired trade. |
| Kevin_in_GA 4,599 posts msg #94425 - Ignore Kevin_in_GA modified |
6/29/2010 2:40:23 PM EDIT: Since the market futures are unusually negative this morning (-100+ on the Dow) I will hold the shorts for at least part of the day, maybe selling by lunch to see if one can get a better price. Still think VOD and ERII are good plays as well ... +++++++++++ Good thing I kept in the two short trades, although VOD and ERII are both profitable as short plays today (VOD is down about 1%, and ERII is down a whopping 7.1%). I actually would have done better selling FSYS and MDCO at the open this morning and buying these two, as the system was designed to do. UPDATE: Based on the movement of these relative to their 10 day and 200 day MAs, I am out of all 4 today at the close, and will enter new trades off the same filter sets for tomorrow. DRI (long) - in at 39.29, out at 38.99 (a loss of -0.7%) DAL (long) - in at 12.09, out at 11.32 (a loss of -6.4%) FSYS (short) - in at 29.01, out at 26.29 (a gain of +10.3%) MDCO (short) - in at 8.29, out at 7.92 ( a gain of +4.7%) Net gain on these pair trades - (10.3 + 4.7 - 0.7 - 6.4) / 4 = +2% (1.97% to be exact). The other short trades that were considered (VOD and ERII) also did quite well - VOD was down 1%, and ERII down 1.8% from the open, but was down as much as 7% intraday). |
| pirate67 99 posts msg #94428 - Ignore pirate67 |
6/29/2010 4:33:08 PM It seems like you are working in what I was referring to in my post in your other thread: trying to get a higher return through the use of other indicators. I have been working on this for awhile and have had some success with these lines added to the Connor long filters: Show stocks where the Double Stochastic(10,3) is below 10 one day ago Double Stochastic(10,3) above Double Stochastic(10,3) one day ago slope of ema(30) above 0 There are many "Connor picks" that will end up profitable without the double stochastic(10,3) rising from below the 10 level, however I am focusing only on the ones that end up meeting this selection criteria along with Connor's. My exit point to let profits run has been when the double stochastic(10,3) reaches above 75 and then goes down from its peak. (the short criteria). I have not formally tested this, but I have traded it successfully. Interested in anyone's feedback/improvement. |
| Kevin_in_GA 4,599 posts msg #94434 - Ignore Kevin_in_GA |
6/29/2010 10:48:28 PM The RSI(2) filter gave only long trades for today not a surprise given the market action today. Since I want dollar neutrality, I looked at some of the other Connors filters, as well as a few based on price movement relative to its Bollinger Bands. Long trades to enter for tomorrow: SHW (Sherwin-Williams Co) - RSI(2) at 0.43 and it closed right on its lower BB(20,2). Shows up on 5/6 Connors long trade filters. PNRA (Panera Bread Co.) RSI(2) at 0.67, closed below its lower BB(20,2). Shows up on 6/6 of the Connors long trade filters as well. RCI (Rogers Communications) - RSI(2) at 0.07, closed well below its lower BB(20,2). Shows up on 5/6 of the Connors long trade filters as well. Short trades to enter for tomorrow: GAME (Shanda Games) RSI(2) at 96.13, and closed at 89% of its upper BB(20,2). However, it shows up on 4/6 Connors short trade filters. ATHN (Athenahealth, Inc) RSI(2) is at 93.2, and it closed at 97% of its upper BB(20,2). Also shows up on 2/6 Connors short trade filters. GU (Gushan Environmental Energy) RSI(2) is only at 74.1, but it closed 10% above its upper BB(20,2) and closed above its upper BB(16,2.5) yesterday (a strong sign for a reversal). |
| Kevin_in_GA 4,599 posts msg #94454 - Ignore Kevin_in_GA |
6/30/2010 9:25:01 PM 6/30/2010 update: Long trades: SHW (Sherwin-Williams Co) - bought 95 shares at 70.06 ($6605.70). Closed today at 69.19 (down 1.24% for a loss of $82.65) PNRA (Panera Bread Co.) bought 88 shares at 75.23 ($6620.64). Closed today at 75.28 (up 0.08% for a gain of $5.28) RCI (Rogers Communications) - bought 201 shares at 33.15 ($6663.15). Closed today at 32.76 (down 1.18% for a loss of $78.39) Short trades: GAME (Shanda Games) shorted 1128 shares at 5.91 ($6666.48). Closed today at 5.81 (up 1.69% for a gain of $112.80) ATHN (Athenahealth, Inc) shorted 260 shares at 25.64 ($6666.40). Closed today at 5.81 (up 1.69% for a gain of $112.80) GU (Gushan Environmental Energy) shorted 6667 shares at 1.00 ($6667.00). Closed today at 0.97 (up 3.00 % for a gain of $200.01) Total invested = $39889.37 (keeping profits from all previous trades ($787) in cash for this paper trading exercise). My goal is to only invest a maximum of $40,000 at any time. Net gain on the day of +0.07% or up $29.65. Staying in all trades for now - there are no better short or long plays to take, looking at the Connors filters as well as some of the Z-score and BB filters I use. No reason to change anything right now, since no exit signals were triggered on any of these trades. |
| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 2 3 4 5 ... 22 >>Post Follow-up |
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